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Decompositions

 

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The decompositions menu item includes:

Forecast Error Decompositions

Calculate a decomposition of the within-sample h-steps ahead forecast errors.

Observation Weights

Compute decompositions of the projected state variables and the structural shock in terms of the observed variables and the initial conditions or the weights on these variables.

Observed Variable Decompositions

Calculate a decomposition of the observed variables into the influence of the initial state, the mean (or steady-state), the structural shocks, and the measurement errors.

State Variable Decompositions

Calculate a decomposition of the state variables into the influence of the initial state and the structural shocks.

Correlation Decompositions

Compute a decomposition of cross autocorrelations into the various shocks or shock groups and measurement errors.

Spectral Decompositions

Compute a decomposition of the population spectrum into the influences of various structural shocks or shock  groups and measurement errors at various frequencies.

Variance Decompositions

Calculate the forecast error variance decomposition of the observed variables.

Conditional Variance Decompositions

Calculate the forecast error variance decomposition of the observed variables when the impact of the state variable and the measurement error uncertainty is overlooked.

 

 


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