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A Two Country Model Autocorrelation Problem
Posted:
Fri Aug 28, 2015 5:36 pmby sp1589
Hi all
I have a two country model that generates the same autocorrelation between all variables with the exception of one. I am not sure what is the problem. I would appreciate any help.
Thanks
Re: A Two Country Model Autocorrelation Problem
Posted:
Sun Aug 30, 2015 11:36 amby jpfeifer
You only have one shock activated. All other have 0 variance.
Re: A Two Country Model Autocorrelation Problem
Posted:
Sun Aug 30, 2015 3:40 pmby sp1589
Hi jpfeifer
Yes, I want to have only that shock initially. It is a monetary policy shock. Is there a reason why it generates equal autocorrelation between all variables? I am not sure if I am missing something here or there is something wrong in the specification of the model.
Re: A Two Country Model Autocorrelation Problem
Posted:
Mon Aug 31, 2015 8:50 amby jpfeifer
Hard to say. There must be something in your model that implies that all variables move proportionally in response to a TFP shock.