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Structural Shock Correlations

 

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Compute sample correlations of the estimates of the structural shocks at initial, marginal/joint/DSGE posterior mode parameter values, or a sample from the prior or the posterior distribution of the parameters. 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.

 

Additional Information

A detailed description about identification of the structural shocks of DSGE-VAR models can be found in Section 15.8 of the YADA Manual.
A detailed description about estimation of the structural shocks of DSGE-VAR models can be found in Section 16.1 of the YADA Manual.

 

 


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