Structural correlation decompositions for business cycle analysis

Michal Andrle

Economics Letters, 2012, vol. 115, issue 3, 390-391

Abstract: 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.

Keywords: Correlation decomposition; State space; DSGE (search for similar items in EconPapers)
JEL-codes: C1 E50 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176511006173
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:115:y:2012:i:3:p:390-391

DOI: 10.1016/j.econlet.2011.12.094

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu (repec@elsevier.com).