Dear Johannes,

Thank you very much for your helpful suggestion and guidance last time.

I just have 2 questions.

- I have been told that one reason that causes discrepancy between historical shock decomposition and forecast error variance decomposition is that Kalman filter which decomposes forecast error variance has filtered the structural shocks belonging to some frequencies, I am wondering that does shocks belonging to long term frequency data is more likely to be filtered by Kalman filter or shocks belonging to short term frequency data is more likely to be filtered by Kalman filter?
- why forecast horizons smaller than infinity in the FEVD cannot easily be compared to the historical decomposition results?

Thank you very much and look forward to hearing from you.

Kind regards,

Jesse