Variance Decomposition command

BVAR
1

Hi,

May I ask a question about the variance decomposition. After reading the manual and several posts, I am learning how to do it in dynare. Specifically, how to write the command in the programme.
Here is the command I wrote,
ms_variance_decomposition(file_tag =mod_file, output_file_tag =tag_file, simulation_file_tag =sim_file_tag, horizon =12, no_error_bands, shock_draws =10000, shocks_per_parameter =10 , thinning_factor =1, free_parameters = [0.5127,0.6799, 0.3041,1.0732,0.5017,0.7911,0.5137,0.7413,0.9988,0.9906,0.9179,0.9497], parameter_uncertainty, regimes);
However, I got an error,
MS-SBVAR Variance Decomposition
Error using set_ms_estimation_file (line 39)
ERROR: Could not find free parameter file: est_free_mod_file.out

Error in ms_variance_decomposition (line 36)
[options_, oo_] = set_ms_estimation_file(options_.ms.file_tag, options_, oo_);

Error in sme_estimation (line 521)
[options_, oo_] = ms_variance_decomposition(M_, options_, oo_);

Error in dynare (line 180)
evalin(‘base’,fname) ;

It seems the problem is related to the ‘free parameter’ option. So could anyone help me to correct the mistakes I have in the command above.

Many thanks

mydata.mat (5.3 KB)

sme_estimation.mod (7.0 KB)

2

ms_variance_decomposition is for Markov-switching BVARs, not DSGE models.

3

Thanks for replying in the late evening.

Does it mean that for DSGE model, we only need to do conditional forecast error variance decomposition?

Thanks

4

What else do you need? The unconditional one should always be provided by Dynare when you request theoretical moments.

5

I see. The unconditional one is reported just before the conditional one, right?

6

Yes, that is correct.

7

Thank you very much!