#74: Variance decomposition gives dummy results in the presence of non- stationary vars ---------------------------+------------------------------------------------ Reporter: sebastien | Owner: michel Type: bug | Status: accepted Priority: major | Milestone: Component: Core M-files | Version: 4.1.0 Resolution: | Keywords: ---------------------------+------------------------------------------------ Changes (by michel):
* owner: => michel * status: new => accepted
Comment:
There is no unit root in this model. But BETAA = 1.001^-0.25 introduces a root of 1.0002 that Dynare treats correctly as > 1.0 Utility and Welfare in volume introduce very large values into the computations. It would be better to use their log as variables.
Dynare in branches/4.0 doesn't provide a correct decomposition either. (see the decomposition for sxp). In addition, one eigenvalue is reported as a NaN.
However, we shouldn't display variance decomposition for variables that don't have any variance and increase the (currently unused threshold on disp_th_moments.m line 44 of 1e-12).
For the denominator of the variance decomposition, we could consider cumulate the various contributions rather than using aggregate variance.