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| Title: | | A Critical Note on the Forecast Error Variance Decomposition  |
| 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: | | Publikationen von Forscherinnen und Forschern des ZEW ZEW Discussion Papers
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| dp08065.pdf | | 233.96 kB | Adobe PDF |
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