#74: Variance decomposition gives dummy results in the presence of non- stationary vars ---------------------------+------------------------------------------------ Reporter: sebastien | Owner: michel Type: bug | Status: closed Priority: major | Milestone: Component: Core M-files | Version: 4.1.0 Resolution: fixed | Keywords: ---------------------------+------------------------------------------------ Changes (by michel):
* status: accepted => closed * resolution: => fixed
Comment:
This model doesn't contain an exact unit root, but a root very close to zero. Some variances are therefore very large and in this case the sum of the effects of each shock is different from aggregate variance by a significant amount because of numerical error.
I now report variance decomposition relative to the sum of the effects of each shock rather than relative to aggregate variance. If the sum of the effects of each shocks is different from aggregate variance by more than 0.01 % a warning is displayed.
Fixed in commit c2f7f0a555882acd50cbb93b4c7c79603fac58ba and f76a657ceac93b488e0b242f9d30b20c0a9d5856 (4.1)