Navigation:  Menu Commands > Tools Menu > Decompositions >

 

Conditional Variance Decompositions

 

Print this Topic Previous pageReturn to chapter overviewNext page

Calculate the forecast error variance decomposition of the observed or the state variables without taking the impact of the state variable and the measurement error uncertainty into account. Parameter values are given by the initial or the 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.

The decompositions can be calculated for the original observed variables, using the annualization data from the data construction file, or the levels information from the same source.

Shock groups can optionally be used for the decomposition. These groups are set on Actions menu.

 

Additional Information

A more detailed description about conditional variance decompositions can also be found in Section 11.4 of the YADA Manual.

 

 


Page url: http://www.texlips.net/yada/help/index.html?conditional_variance_decomposi.htm