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Dear Jpfeifer,

Many thanks for your help. Your answer makes me know that it's not my model's problem, which I have worried about several days. As for the unanticipated shocks, the IRF should be the graph of IRF to a_c directly generated by dynare in my code, right?

Yes.

Dear Jpfeifer,

Many thanks for your instant help. Since I am not good at Matlab programming, I am a bit confused about the code in the replication file from your homepage.

Code: Select all

/initialize IRF generation
initial_condition_states = repmat(oo_.dr.ys,1,M_.maximum_lag);
shock_matrix = zeros(options_.irf,M_.exo_nbr); %create shock matrix with number of time periods in colums

// set shocks for pure news
shock_matrix(1,strmatch('eps_z_news',M_.exo_names,'exact')) = 1; %set news shock to 1 (use any shock size you want)
shock_matrix(1+8,strmatch('eps_z_surprise',M_.exo_names,'exact')) = -1; %8 periods later use counteracting shock of -1

y2 = simult_(initial_condition_states,oo_.dr,shock_matrix,1);
y_IRF = y2(:,M_.maximum_lag+1:end)-repmat(oo_.dr.ys,1,options_.irf); %deviation from steady state


// manually select variables for figure
figure
subplot(2,1,1)
plot(y_IRF(strmatch('y',M_.endo_names,'exact'),:)); % use strmatch to select values
title('Output');
subplot(2,1,2)
plot(y_IRF(strmatch('z',M_.endo_names,'exact'),:));
title('TFP');

// Automatically loop over variables for figure (may require different setting for subplots in larger models)
figure
for ii=1:M_.orig_endo_nbr
    subplot(3,3,ii)
    if max(abs(y_IRF(ii,:)))>1e-12 %get rid of numerical inaccuracies
        plot(y_IRF(ii,:));
    else
        plot(zeros(options_.irf,1));
    end
    title(deblank(M_.endo_names(ii,:)));
end

I think I need to modify some code to apply my model. How can I draw the IRF of the unrealized news shock to y,n,p_dc,c in my model? Besides, as your JEDC paper, I introduce both 4 period and 8 period news components, how can I set pure news? Moreover, I just generate Bayesian estimated IRF in my code, but it seems that your code file generates simulated IRF. Is it possible to generate Bayesian estimated IRF of unrealized shocks?

At the current stage, generating pure news shocks Bayesian IRFs in estimation is not easily possible. You need to rely on simulation. Regarding my code, I think it is well-documented and you need to put more effort into understanding it. If you have specific questions, I am happy to answer them.