Thanks Johannes, see below
On 09/07/2012 09:19 AM, Johannes Pfeifer wrote:
Dear all,
I have two issues with conditional_variance_decomposition.
1.The option conditional_variance_decomposition in stoch_simul only triggers the decomposition, if theoretical moments are requested, i.e. periods=0. I guess this makes sense as the decomposition is based on the state-space form, which is a theoretical concept. However, we never provide a warning that no variance decomposition will be performed nor do we document the requirement in the manual.
We should add a warning in the code and in the manual
2.Even if one specifies order=2 (with periods=0), Dynare still outputs a variance_decomposition. If I understand it correctly, I am not sure this is a good idea as the decomposition is based on the first order state-space system. We should either shut off this feature for order=2 or at least provide an explicit warning that the decomposition is only for first order although a higher order approximation was used.
We should add a warning for all second order moments as the same is true for variance, correlations and autocorrelations
Please, enter a trac ticket
Best
Michel
Regards,
Johannes
Johannes Pfeifer
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