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.

中文翻译：

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非线性经济模型的方差分解分析

在本文中，我们提出了一种称为总方差法的新方法和算法来计算和分析非线性经济模型的方差分解。我们提供了理论和经验示例，以将我们的方法与称为广义预测误差方差分解 (GFEVD) 的唯一现有方法进行比较。我们发现，当冲击在非线性模型中相乘或相互作用时，两种方法的结果是不同的。我们建议研究人员在处理非线性模型时应使用总方差法，以了解间接方差贡献的重要性，并正确量化每个结构性冲击的相对方差贡献。