The RATS Software Forum

Hi Tom, Tanks for your reply. I am sorry for bothering you one more time. I am estimating a three dimensional VAR. I impose sign restrictions on the IRFs as in Uhlig(2005) to identify three shocks: demand shock, supply shock and a monetary shock. I compute the IRFs, the FEVDs and the historical deco...

Dear RAts users,
I have one more question concerning the historical decomposition.
Are the total effect of all the shocks and the contributions of each shock given respectively by base and baseplus series?
Thanks
Charbel

By impulse responses or FEVD we can analyze only the overall effects of a shock. In contrast by the historical decomposition, we can analyze the role of the shock in question in a specific period. I would like to decompose the forecast error variance of a particular variable in each sub-period based...

Dear Tom,
Is it possible with the code that you posted to decompose the variance of forecast error of the variables in the model based on the historical decompossition?
Thanks,
Charbel