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Posted: **Fri Dec 20, 2013 11:28 am**

I'm trying to program the variance decomposition for a VEC Model, I try with the "decomp" command, but does not work.

This command is exclusive to VAR?

How I can program this for VEC?

thanks

Posted: **Fri Dec 20, 2013 11:32 am**

Code: Select all


create u 100
series y=nrnd
series z=nrnd
series x=nrnd

var v.ec 1 2 x y z

show v.decomp(2) x y z

Posted: **Fri Dec 20, 2013 7:53 pm**

this works very well, thanks

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Variance decomposition for VEC

Variance decomposition for VEC

Re: Variance decomposition for VEC

Re: Variance decomposition for VEC