I’ve a question about variance decomposition. Justiniano et al (investment shock) and Christiano et al (risk shock) have obtained the variance decomposition at business cycle frequency (6 to 32 quarters or 8 to 32 quarters, respectively) using spectral density.
Is there a way to do it in Dynare?
I guess I’ve to use UnivariateSpectralDensity command, to get the spectrum and calculate the median of the variance between 2 pi / 32 = 0.19 and 2 pi / 6 = 1.05 frequencies (like Figure 2 of Justiniano et al). I have to do this for each shock of my model.
Is it correct?