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Forecast Error Decompositions

 

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Calculate a decomposition of the within-sample h-steps ahead forecast errors at initial and posterior model parameter values, or from a sample from the prior or the posterior distribution of the parameters. 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 decomposition is performed in terms of the error due to state uncertainty, structural shock uncertainty, and measurement error uncertainty. State uncertainty is given by the impact on the revision of the state estimation between the smooth and the update estimate. The shock uncertainty is the impact of the structural shocks on the h-steps ahead forecast error, with the shock values being taken from the smooth estimates. Finally, measurement error uncertainty is represented by the smooth estimate of the measurement error.

 

Additional Information

A more detailed description about forecast error decompositions of structural shocks can also be found in Section 11.2 of the YADA Manual.

 

 


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