How IRFs are computed for the model like this?

This forum is closed. You can read the posts but cannot write. We have migrated the forum to a new location where you will have to reset your password.
Forum rules
This forum is closed. You can read the posts but cannot write. We have migrated the forum to a new location (https://forum.dynare.org) where you will have to reset your password.

How IRFs are computed for the model like this?

Postby ahnulxy » Sat Jun 16, 2012 6:16 am

For example, I just have 2 variables, a, b, in the model and one exogenous shock e_m, which is iid standard normal.

a=0.6*a(-1)+0.4*a(+1)+b;

b=0.88*b(-1)+e_m;

it is easy to compute irf for variable "b", but how irf is computed for variable "a" since there are lead and lag in the first equations?
ahnulxy
 
Posts: 43
Joined: Thu May 10, 2012 7:24 am

Re: How IRFs are computed for the model like this?

Postby jpfeifer » Tue Jun 19, 2012 12:12 pm

Dynare computes the model solution to the system of equations you enter. This solution has a recursive state-space form from which IRFs are easily computed.
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
jpfeifer
 
Posts: 6940
Joined: Sun Feb 21, 2010 4:02 pm
Location: Cologne, Germany


Return to Dynare help

Who is online

Users browsing this forum: No registered users and 5 guests

cron