Relative IRF

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Relative IRF

Postby oper68 » Wed Jul 12, 2017 5:01 pm

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,
oper68
 
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Re: Relative IRF

Postby jpfeifer » Fri Jul 14, 2017 6:29 pm

They are not the same, because in https://github.com/JohannesPfeifer/DSGE ... U_2003.mod the law of motion for the exogenous process is
Code: Select all
a = rho*a(-1)+sigma_tfp*e;

Thus, the standard deviation of the shock in the AR-process is not set in the
Code: Select all
shocks;

block, but rather corresponds to
Code: Select all
sigma_tfp

Dynare does not know this and thus cannot use the
Code: Select all
relative _irf

to construct a "true" unit shock.
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
jpfeifer
 
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Location: Cologne, Germany


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