Historical decompositions for nonlinear vector autoregression models

Benjamin Wong

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: The historical decomposition is standard within the vector autogression (VAR) toolkit. It provides an interpretation of historical fluctuations in the modelled time series through the lens of the identified structural shocks. The proliferation of nonlinear VAR models naturally leads to extending the historical decomposition into nonlinear settings. This article discusses how to calculate an exact historical decomposition for a large class of popular nonlinear VAR models. In particular, the standard historical decomposition one obtains from a linear VAR is nested within the nonlinear case. The approach discussed in this article is sufficiently general to be relevant for many popular variants of nonlinear VAR models.

Keywords: Historical Decomposition; Innovation Accounting; Nonlinear VAR models (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2017-10
New Economics Papers: this item is included in nep-ecm and nep-ore
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2017-62

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