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Title:A Critical Note on the Forecast Error Variance Decomposition PDF Logo
Authors:Seymen, Atilim
Issue Date:2008
Series/Report no.:ZEW Discussion Papers 08-065
Abstract:The paper questions the reasonability of using forecast error variance decompositions for assessing the role of different structural shocks in business cycle fluctuations. It is shown that the forecast error variance decomposition is related to a dubious definition of the business cycle. A historical variance decomposition approach is proposed to overcome the problems related to the forecast error variance decomposition.
Subjects:Business Cycles
Structural Vector Autoregression Models
Forecast Error Variance Decomposition
Historical Variance Decomposition
JEL:C32
E32
Document Type:Working Paper
Appears in Collections:ZEW Discussion Papers
Publikationen von Forscherinnen und Forschern des ZEW

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