What is the meaning of total stochastic in historical decomposition?

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

Moderators: EViews Gareth, EViews Moderator

lzhcumt
Posts: 1
Joined: Mon Jan 14, 2019 6:43 am

What is the meaning of total stochastic in historical decomposition?

Postby lzhcumt » Mon Jan 14, 2019 7:39 pm

Hi everyone,

I am using SVAR model with EViews 10.0, I estimated the historical decomposition, but I do not understand the meaning of "total stochastic" in historical decomposition graph (please see the red shade area in the following image attachment). Can some me answer this question, thanks in advance.

Best,
Zhenhua
Attachments
Historical decomposition.png
Historical decomposition.png (18.69 KiB) Viewed 4230 times

nadybe
Posts: 12
Joined: Wed Mar 30, 2016 7:52 am

Re: What is the meaning of total stochastic in historical decomposition?

Postby nadybe » Wed Aug 31, 2022 3:38 am

Hello, did you have an answer to your question?

EViews Glenn
EViews Developer
Posts: 2671
Joined: Wed Oct 15, 2008 9:17 am

Re: What is the meaning of total stochastic in historical decomposition?

Postby EViews Glenn » Mon Sep 26, 2022 2:32 pm

Sorry. Never saw this one until now.

One can look at the summed effect of all of the shocks on the variable in question, which can be decomposed into shocks from each source. The former is the total effect of all of the stochastic components, which can be compared to the effect from the specified stochastic component.


Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 12 guests