Compute a decomposition of the cross autocorrelations into the contributions of the structural shocks and the measurement errors. The decompositions can be computed at the initial or at the posterior mode parameter values and can be performed for either the observed variables or for the state variables.
As an alternative to the individual shocks it is also possible to use shock groups for 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.
Additional Information
• | A more detailed description about correlation decompositions can also be found in Section 11.7 of the YADA Manual. |
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