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Spectral Decompositions

 

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Compute a decomposition of the population spectrum into the influences of the structural shocks and measurement errors at various frequencies. The population spectrum is estimated with the DSGE model at either the initial parameter values or at the posterior mode values.

It is possible to compute the spectral decompositions for either the observed variables or the state variables. 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 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 Section 13 of the YADA Manual.

 

 


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