qpm_decompose: Historical shock decomposition

In qpmR: Quarterly Projection Models for Monetary Policy Analysis

Historical shock decomposition

Description

Splits the smoothed history of every variable into the additive contributions of each structural shock plus the carry-over of the pre-sample initial state: with smoothed shocks e_t,

a_t = sum_j c_j(t) + c_0(t), c_j(t) = P c_j(t-1) + Q_j e_{j,t}

The contributions sum exactly to the smoothed state (deviations from steady state); this identity is verified internally.

Usage

qpm_decompose(fit, vars = NULL)

## S3 method for class 'qpm_decomposition'
plot(x, var = NULL, drop_zero = TRUE, periods = NULL, ...)

Arguments

fit	A qpm_filtration from qpm_filter().
vars	Variables to keep (default: all declared variables).
x	A qpm_decomposition.
var	Variable to plot.
drop_zero	Drop components that never contribute.
periods	Optional integer window of period indices to display (e.g. 81:110 for the last 30 quarters).
...	Unused.

Value

A long data frame of class qpm_decomposition with columns period, variable, component (shock names plus "initial"), and value (contribution, in deviations from steady state). plot() draws a stacked-bar decomposition with the smoothed total overlaid.

Examples

sol <- qpm_solve(qpm_template("bkl"))
obs <- simulate(sol, nsim = 60, seed = 3, burn = 20)
fit <- qpm_filter(sol, obs[, c("period", "pi", "i", "q")])
dec <- qpm_decompose(fit)
plot(dec, var = "pi")

qpmR documentation built on Sept. 29, 2026, 5:10 p.m.