Calculate the forecast error variance decomposition of the endogenous variables for either the original data or for levels data. Parameter values are given by the initial or the marginal/joint/DSGE posterior mode values, or a sample from the prior or the posterior distribution. In the event that a sample from the posterior is selected, the number of parameters in the sample is determined by the number of post burn-in posterior draws and the percentage use of posterior draws for impulse responses, variance decompositions and other functions of the parameters. These values are set in the posterior sampling frame on the Options tab.
Shock groups can optionally be used for the decomposition. These groups are set on Actions menu.
Additional Information
• | A detailed description about variance decompositions in DSGE-VAR models can be found in Section 16.3 of the YADA Manual. |
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