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State Variable Correlations

 

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When run for the time domain case, these functions compute sample or population moments of the state variables at initial or posterior mode parameter values, or a sample from the prior or the posterior distribution of the parameters. For the frequency domain case, the functions compute the coherence for the state variables.

The population moments are quickly computed since their values are known once the parameters are treated as know. The sample moments, on the other hand, need to be estimated through simulation. The number of simulation paths per parameter value is determined in the forecasting frame on the Miscellaneous tab, while the number of parameters 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. All these values are set in the posterior sampling frame on the Options tab.

Time domain estimates.

Frequency domain estimates.

 

Additional Information

A more detailed description about the population moments can also be found in Section 5.8 of the YADA Manual, while coherence is described in Section 13.6.

 

 


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