nonlinear variance decomposition# Economics - 经济
i*o
1 楼
Can anyone refer me a paper which has some clear description on how to do the
variance decomposition for a nonlinear system (say variance decomposition of Y
= A + B'X + X'CX while X follows a AR(p) process)? It seems that this need
simulation and average out the paths...
Thanks!
variance decomposition for a nonlinear system (say variance decomposition of Y
= A + B'X + X'CX while X follows a AR(p) process)? It seems that this need
simulation and average out the paths...
Thanks!