Search found 2 matches
- Sat Jul 02, 2011 2:51 am
- Forum: VARs (Vector Autoregression Models)
- Topic: Den Haan JME(2000)
- Replies: 4
- Views: 8298
Re: Den Haan JME(2000)
From your example, how do you extract the contribution of each shock from the correlation of forecast errors as implied by the VAR? * Evaluate the forecast correlations at the base model @ForecastCorrs(model=base,corrs=basecorr) 1960:3 * @VARBootSetup(model=base) bootvar dec series[vect] bootcorr gs...
- Fri Jul 01, 2011 11:41 am
- Forum: VARs (Vector Autoregression Models)
- Topic: Den Haan JME(2000)
- Replies: 4
- Views: 8298
Re: Den Haan JME(2000)
How do you decompose the correlation between two variable into the contributions of the structural shocks?