Compute a decomposition of the population spectrum into the influences of the structural shocks at various frequencies. The population spectrum is estimated with a DSGE-VAR model at either the initial parameter values or at the marginal/joint/DSGE posterior mode values. The spectrum can optionally be normalized by the variance of the selected variable. For observed variables that can be annualized, the spectrum for the annualized variable can also be displayed.
The shocks can either be displayed individually or as shock groups. The shock groups are set on Actions menu. It is also possible to select a band for the cyclical fluctuations, thus distinguishing cyclical fluctuations from the high frequency fluctuations and from the low frequency fluctuations. Below this band has been selected at 1 to 8 years. For quarterly data this corresponds to the frequencies between π/16 (equal to 2π divided by 32 quarters) and π/2 (equal to 2π divided by 4 quarters) measured in radians.
Additional Information
• | A more detailed description about spectral density estimation can also be found in Sections 13 and 16.7 of the YADA Manual. |
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