# Questions tagged [variance-decomposition]

A decomposition of variance explained by a model into additive contributions from each predictor.

28 questions
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### Decomposing R^2 into independent variables

Consider a linear regression model: $$y = β_0 + β_1X_1 + β_2X_2 + ... + β_kX_k + ε$$ where $R^2 = 1 - (SSR/SST)$. I would like to determine the contribution of a factor $i$ (call it $R^2_i$) into ...
0answers
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### Correcting for ARCH effect in VAR and impulse response results

I find significant ARCH effect in my series when running a VAR analysis $Y_t=(y_{1,t};y_{2,t};y_{3,t};y_{4,t};y_{5,t})^\top$ I have two questions: Does the ARCH effect impact the impulse response ...
1answer
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1answer
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### Is there a way to “decorrelate” autocorrelation?

Just as how Principal Component Analysis tries to "decorrelate" the signals, is there a way, given a time series potentially with autocorrelation with unknown lag length, to transform that time ...
0answers
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### Granger causality and variance decomposition yield conflicting results

I am analyzing a VAR model with 8 variables and 12 lags. When analyzing Granger causality test - it seems there is no relationship between some of the key variables, monetary policy rate and loan ...
0answers
319 views

### Vector Autoregression Historical Decomposition

I would like to perform a historical decomposition of my VAR model that is identified with timing restrictions, similar to that in figure 10 of this paper: http://pubs.aeaweb.org/doi/pdfplus/10.1257/...
1answer
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3answers
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### How to split r-squared between predictor variables in multiple regression?

I have just read a paper in which the authors carried out a multiple regression with two predictors. The overall r-squared value was 0.65. They provided a table which split the r-squared between the ...
2answers
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### Collinearity diagnostics problematic only when the interaction term is included

I've run a regression on U.S. counties, and am checking for collinearity in my 'independent' variables. Belsley, Kuh, and Welsch's Regression Diagnostics suggests looking at the Condition Index and ...