Commit c5ecad8c authored by Sébastien Villemot's avatar Sébastien Villemot
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Ref. manual: add a description of oo_.conditional_variance_decomposition

parent 2914739b
......@@ -2934,7 +2934,9 @@ Computes a conditional variance decomposition for the specified
period(s). Conditional variances are given by
@math{var(y_{t+k}|t)}. For period 1, the conditional variance
decomposition provides the decomposition of the effects of shocks upon
impact. The results are stored in
@item pruning
Discard higher order terms when iteratively computing simulations of
......@@ -3262,6 +3264,16 @@ three times in the unfolded @math{G_3} matrix, they must be multiplied
by 3 when computing the decision rules.
@end itemize
@defvr {MATLAB/Octave variable} oo_.conditional_variance_decomposition
After a run of @code{stoch_simul} with the
@code{conditional_variance_decomposition} option, contains a
three-dimensional array with the result of the decomposition. The
first dimension corresponds to forecast horizons (as declared with the
option), the second dimension corresponds to endogenous variables (in
the order of declaration), the third dimension corresponds to
exogenous variables (in the order of declaration).
@end defvr
@node Estimation
@section Estimation
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