Compute a decomposition of the cross autocorrelations for the observed variables into the contributions of the structural shocks. The decompositions can be computed at either the initial parameter values or at the marginal/joint/DSGE posterior mode values.
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 Sections 11.7 and 16.6 of the YADA Manual. |
Page url: http://www.texlips.net/yada/help/index.html?correlation_decompositions2.htm