Historical Decomposition Using Model from Different Period

[macro_man]

Dear Estima,

Let's say I estimate a VAR model over the period 1980-2007 and impose restrictions to identify the structural shocks. Now, let's say I want to take the model estimated for the 1980-2007 and use it to do a historical decomposition of the shocks over the period after 2007. That is, I want to use one period's estimated VAR and factorization and apply it to a subsequent period. Is this possible and if so, is there an example you can point me to? Thanks.

[TomDoan]

The basic calculation is the same as is required for doing historical decomposition with simulated coefficients. (Section 4.3 of the VAR e-course workbook). You have to recompute the residuals for the one period using the coefficients from the other (rather than using simulated coefficients).