I am new to DYNARE. I was wondering how to do a variance decomposition by frequency, say 6 to 32 quarters and higher and shorter frequencies. Thanks for the help.

See the manual on conditional_variance_decomposition.

Thanks Johannes. The manual is the first place I did and there is nothing on variance decomposition by frequency, say business cycles frequency. I know how to do the variance decomposition at various horizons but not by frequency. Any help is appreciated here. Thanks.

Hi,

I know my question for some people is trivial. I’ve been looking for an answer for a few hours now and can’t find how to do a variance decomposition by frequency. I would really appreciate if someone can help me on this. It would take a few seconds of your time, instead of me looking for hours or days. ANY help much appreciated. Thank you!

What do you mean with “by frequency”? You mean you want e.g. at horizon 8 to decompose the variance in low-frequency and high frequency via a band-pass filter with a particular cutoff? If yes, this is currently not possible. If you specify the hp_filter-option, the conditional_variance_decomposition will take place on hp-filtered data. Other user-defined filters are not supported.

Johannes,

thank you for your response. By frequency, I meant the variance decomposition for movements between 6 and 32 quarters for example, or in frequency domain from pi/3 to pi/16. I know how to get the variance decomposition at different horizons. Thanks.

Then my comment applies. Only the HP-filter is supported for this. With hp_filter=1600 and conditional_variance_decomposition=[6] will you will at horizon 6 essentially get the variance decomposition of time series passed through a high-pass filter with all frequencies above pi/16 being included in the pass-band (See Baxter/King 1999: MEASURING BUSINESS CYCLES WITH BAND-PASS FILTERS, p. 586-587)

Thank you Johannes.