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extremely large response of IRFs

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extremely large response of IRFs

Postby zhanghuifd » Tue May 02, 2017 3:05 am

Dear friends,

I have encountered a weird problem that my model's IRFs is extremely large at third order, although I set the variance of shocks equal to 0.01 or smaller.
I have checked my model again but could not solve it yet.
i.e. The maximum point of output reached at over 100.

Thanks for any help!
zhanghuifd
 
Posts: 36
Joined: Tue Mar 21, 2017 8:14 am
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Re: extremely large response of IRFs

Postby jpfeifer » Tue May 02, 2017 10:08 am

Are you using pruning?
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
jpfeifer
 
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Location: Cologne, Germany
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Re: extremely large response of IRFs

Postby zhanghuifd » Tue May 02, 2017 11:43 am

Yes, I am using pruning.

But now this problem seems to be solved since I reset s.s of volatility smaller than 0.001.

Thanks for your reply!
zhanghuifd
 
Posts: 36
Joined: Tue Mar 21, 2017 8:14 am
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