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Clarify documentation on oo_.FilteredVariablesShockDecomposition 

(cherry picked from commit b68304e1e8bda36269e87cc500b59ad7bc556d09)
time-shift
Johannes Pfeifer 2016-03-30 13:50:15 +02:00 committed by Stéphane Adjemian(Charybdis)
parent ddb8e8f6e1
commit 62bdb510ab
1 changed files with 19 additions and 1 deletions
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@ -5957,7 +5957,13 @@ non-requested variables will be simply left out in this order.
@defvr {MATLAB/Octave variable} oo_.FilteredVariablesKStepAheadVariances
Variable set by the @code{estimation} command, if it is used with the
@code{filter_step_ahead} option. It is a 4 dimensional array where the k-steps are stored along the first dimension, while the fourth dimension of the array provides the observation for which the forecast has been made. The second and third dimension provide the respective variables. For example, if @code{filter_step_ahead=[1 2 4]} and @code{nobs=200}, the element (3,4,5,204) stores the four period ahead forecast error covariance between variable 4 and variable 5, computed at time t=200 for time t=204. Padding with zeros is analogous to @code{oo_.FilteredVariablesKStepAhead}.
@code{filter_step_ahead} option. It is a 4 dimensional array where the k-steps
are stored along the first dimension, while the fourth dimension of the array
provides the observation for which the forecast has been made. The second and third
dimension provide the respective variables.
For example, if @code{filter_step_ahead=[1 2 4]} and @code{nobs=200}, the element (3,4,5,204)
stores the four period ahead forecast error covariance between variable 4 and variable 5,
computed at time t=200 for time t=204. Padding with zeros and variable ordering is analogous to @code{oo_.FilteredVariablesKStepAhead}.
@end defvr
@defvr {MATLAB/Octave variable} oo_.Filtered_Variables_X_step_ahead
@ -5968,6 +5974,18 @@ Variable set by the @code{estimation} command, if it is used with the @code{filt
The nth entry stores the k-step ahead filtered variable computed at time n for time n+k.
@end defvr
@defvr {MATLAB/Octave variable} oo_.FilteredVariablesShockDecomposition
Variable set by the @code{estimation} command, if it is used with the
@code{filter_step_ahead} option. The k-steps are stored along the rows while the columns
indicate the respective variables. The third dimension corresponds to the shocks in declaration order.
The fourth dimension of the array provides the
observation for which the forecast has been made. For example, if @code{filter_step_ahead=[1 2 4]}
and @code{nobs=200}, the element (3,5,2,204) stores the contribution of the second shock to the
four period ahead filtered value of variable 5 (in deviations from the mean) computed at time t=200 for time t=204. The periods at the beginning
and end of the sample for which no forecasts can be made, e.g. entries (1,5,1) and
(1,5,204) in the example, are set to zero. Padding with zeros and variable ordering is analogous to
@code{oo_.FilteredVariablesKStepAhead}.
@end defvr
@defvr {MATLAB/Octave variable} oo_.PosteriorIRF.dsge