# Variance Decomposition

**URL:** <https://forum.dynare.org/t/variance-decomposition/4659>\
**Category:** Dynare contributions and examples\
**Created:** [28 April 2015 12:50 UTC](https://forum.dynare.org/t/variance-decomposition/4659 "2015-04-28T12:50:35Z")\
**Posts on this page:** 1\
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**Author:** ![jpfeifer](https://forum.dynare.org/user_avatar/forum.dynare.org/jpfeifer/32/5044_2.png) [@jpfeifer](https://forum.dynare.org/u/jpfeifer)\
**Post date:** [28 April 2015 13:23 UTC](https://forum.dynare.org/t/variance-decomposition/4659/2 "2015-04-28T13:23:24Z")

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Dynare uses standard time series techniques for linear state space models. For forecast error variance decompositions, see Lütkepohl (2005): New Introduction to Multiple Time Series Analysis, Chapter 2.3.3.  
For the shock decomposition, A Kalman Filter/Smoother Approach is used. See Durbin/Koopman (2012): Time Series Analysis by State Space Methods or Hamilton (1994)

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