Calculate a decomposition of the observed variables into the influence of the exogenous variables, the initial values, and the structural shocks. You can choose between bar chart decompositions and paths, and parameters determined by the initial or the marginal/joint/DSGE posterior mode estimates.
Decompositions
The decompositions are carried out at initial or the marginal/joint posterior mode parameter values using the estimated structural shocks, the exogenous variables and the initial values. Moreover, the observed variables can either be decomposed in their original form or using the annualization data in the data construction file.
Shock groups can optionally be used in the decomposition. A shock group is simply a collection of structural shocks, where each structural shock belongs to exactly one group. The shock groups are set on Actions menu.
Paths
The path decompositions can be performed at initial or the marginal/joint posterior mode parameter values as well as using draws from the prior or the posterior distribution. The path decompositions are available for either individual shocks or shock groups in original data or in annualized data. In contrast with the bar charts, the decomposed term for the paths is now given by the sum of the initial value term, the exogenous variable term, and the individual shock or shock group term.
Additional Information
• | A more detailed description about observed variable decompositions for DSGE-VAR models can be found in Section 16.4 of the YADA Manual. |
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