Dear Professor Pfeifer,
I was doing the bayesian estimation, and I found that the variance decomposition results after estimation were quite different when I changed one of the observation data series. For instance, the variance decomposition results I get when using Y, C, I, R, Pie as observation series are so different from the results using Y, C, R, Pie, Hours or some other combinations as observation series.
In this case, how should I judge which one is better or which variance decomposition result is correct?
Looking forward to your reply and thank you for your time.