Hi,
I'd like to know what is the best way to get the IRFs of a baysian estimated DSGE model. Should I use stoch_simul?
My model is attached, so can you help me telling where should I write the part of code that indicates the IRF?
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Impulse response function
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Impulse response function
by irisqueiroz » Sat Jun 22, 2013 4:35 pm
- Attachments
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Data_Brasil.m- (7.96 KiB) Downloaded 53 times
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- dynare_code.txt
- (8.52 KiB) Downloaded 64 times
- irisqueiroz
- Posts: 15
- Joined: Mon Jan 21, 2013 2:39 pm
Re: Impulse response function
by irisqueiroz » Sat Jun 22, 2013 4:52 pm
Once I tried to insert this part in the code:
stoch_simul(conditional_variance_decomposition = [1 2 4 8 12 40], relative_irf, irf=40);
But when I checked the result, it didnt make sense. For exemple, the IRF of the variable d_y (productio growth) to policy monetary shocks (eps_i) went from -120 to 20... but the values of growth in the period analysed is in the interval: [-0.0390,0.0270].
I dont know if the graph is in a different scale, or just wrong.
Thanks!
stoch_simul(conditional_variance_decomposition = [1 2 4 8 12 40], relative_irf, irf=40);
But when I checked the result, it didnt make sense. For exemple, the IRF of the variable d_y (productio growth) to policy monetary shocks (eps_i) went from -120 to 20... but the values of growth in the period analysed is in the interval: [-0.0390,0.0270].
I dont know if the graph is in a different scale, or just wrong.
Thanks!
- irisqueiroz
- Posts: 15
- Joined: Mon Jan 21, 2013 2:39 pm
Re: Impulse response function
by jpfeifer » Sat Jun 22, 2013 5:00 pm
Why don't you use the bayesian_irf option of the estimation command?
- jpfeifer
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- Location: Cologne, Germany
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