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Convergence of Impulse Response Functions
Posted:
Tue Feb 08, 2011 12:22 pmby condilac
The IRF of the code does not converge to the steady state. I have changed the variance of the shock and increased the periods for convergence but still same.
Any ideas?
Thanks in Advance.
Re: Convergence of Impulse Response Functions
Posted:
Tue Feb 08, 2011 1:35 pmby jpfeifer
You may have a unit root in the model, meaning that the shocks generate effects that are permanent. Does Dynare give you theoretical moments or are they NaN?
Re: Convergence of Impulse Response Functions
Posted:
Tue Feb 08, 2011 2:11 pmby condilac
Dynare gives theoretical moments, none of them is NaN.
Re: Convergence of Impulse Response Functions
Posted:
Tue Feb 08, 2011 4:44 pmby jpfeifer
Then you might want to post the mod-file so people can look into it.