Conditional forecast + predetermined shocks ?
Posted: Wed Jan 11, 2012 3:44 pmHi everybody,
I have a very simple question: does the "conditionnal_forecast" command takes into account predetermined shocks declared under "varexo_det" ?
If, as it looks like in my results, the answer is no, is there any not too cumbersome way to make a simulation of this kind, including typically:
- a predetermined (anticipated) shock on a deep parameter of the model
- an ex-post (unanticipated) constant monetary policy
My guess is that I'd need to use the "forecast" command which is able to take into account the predetermined shock, and then manipulate the realizations of the monetary policy shock to obtain an ex-post constant monetary policy. Am I right and if yes, does anyone have an exemple of code that does this ?
Thank you very much for any help
I have a very simple question: does the "conditionnal_forecast" command takes into account predetermined shocks declared under "varexo_det" ?
If, as it looks like in my results, the answer is no, is there any not too cumbersome way to make a simulation of this kind, including typically:
- a predetermined (anticipated) shock on a deep parameter of the model
- an ex-post (unanticipated) constant monetary policy
My guess is that I'd need to use the "forecast" command which is able to take into account the predetermined shock, and then manipulate the realizations of the monetary policy shock to obtain an ex-post constant monetary policy. Am I right and if yes, does anyone have an exemple of code that does this ?
Thank you very much for any help