Structural correlation decompositions for business cycle analysis

This note demonstrates a decomposition of correlations into contributions of structural shocks. The method is useful for analysis of complex models that can be expressed as linear state-space models, e.g., DSGE, SVAR or dynamic factor models.

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Year of publication:	2012
Authors:	Andrle, Michal
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 115.2012, 3, p. 390-391
Publisher:	Elsevier
Subject:	Correlation decomposition \| State space \| DSGE

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Type of publication:	Article
Classification:	C1 - Econometric and Statistical Methods: General ; E50 - Monetary Policy, Central Banking and the Supply of Money and Credit. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011041679