Dynare forums

Hi,
Just a quick question, what is the difference between the default "relative _irf" command of Dynare and the IRF used to replicate Schmitt-Grohe Uribe (2003) by Johannes Pfeifer? They are both normalizing to a unit shock size, but they are not exactly the same.

Thanks,

They are not the same, because in https://github.com/JohannesPfeifer/DSGE ... U_2003.mod the law of motion for the exogenous process is

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a = rho*a(-1)+sigma_tfp*e;

Thus, the standard deviation of the shock in the AR-process is not set in the

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shocks;

block, but rather corresponds to

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sigma_tfp

Dynare does not know this and thus cannot use the

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relative _irf

to construct a "true" unit shock.