Variance Decomposition Analysis for Nonlinear Economic Models1
提出一种新的总方差方法，用于非线性经济模型的方差分解，并与广义预测误差方差分解（GFEVD）比较，发现当冲击为乘性或交互时结果不同，推荐使用新方法以正确量化各结构性冲击的相对方差贡献。
Abstract In this paper, we propose a new method called the total variance method and algorithms to compute and analyse variance decomposition for nonlinear economic models. We provide theoretical and empirical examples to compare our method with the only existing method called generalized forecast error variance decomposition (GFEVD). We find that the results from the two methods are different when shocks are multiplicative or interacted in nonlinear models. We recommend that when working with nonlinear models researchers should use the total variance method in order to see the importance of indirect variance contributions and to quantify correctly the relative variance contribution of each structural shock.