Dynare forums

Now I know that adding

Code: Select all

smoother

in

Code: Select all

 estimation

can give us the smoothed predictions of endogenous variables and shocks. However, I only want to turn on one shock and shut down the others to see how this shock can explain the variance. Is that feasible?

It seems you are looking for the

Code: Select all

shock_decomposition

command.

jpfeifer wrote:It seems you are looking for the

Code: Select all

shock_decomposition

command.

Sorry that I didn't precisely convey my question. I mean how to draw the following graph? Specifically, how are the red and green lines drawn?

Run

Code: Select all

shock_decomposition

and read out the respective contribution of particular shock in

Code: Select all

oo_.shock_decomposition

and plot it along with the variable itself. Dynare does not do this automatically.

jpfeifer wrote:Run

Code: Select all

shock_decomposition

and read out the respective contribution of particular shock in

Code: Select all

oo_.shock_decomposition

and plot it along with the variable itself. Dynare does not do this automatically.

Many thanks, Prof!

I got a three dimensional array, in which the 1st dim is endogeneous variable, the 2nd dim is shocks, and the 3rd is time. However, I cannot understand inside order of the 1st dim and the 2nd dim.

I wrote

Code: Select all

shock_decomposition LogL, Ql, I, B, C, Y, N;

But the length of the 1st dimension is 35 instead of 7 (there are 35 endo vars in my model). Is the order of endo vars inside the 1st dim is what I declared? The length of the 2nd dimension is 10, but there are only 8 shocks in my model (if one is the prediction with all shocks, what is the rest?).

Sorry for all the bother...and thanks again!

From the function header:

% function z = shock_decomposition(M_,oo_,options_,varlist)
% Computes shocks contribution to a simulated trajectory. The field set is
% oo_.shock_decomposition. It is a n_var by nshock+2 by nperiods array. The
% first nshock columns store the respective shock contributions, column n+1
% stores the role of the initial conditions, while column n+2 stores the
% value of the smoothed variables. Both the variables and shocks are stored
% in the order of declaration, i.e. M_.endo_names and M_.exo_names, respectively.

jpfeifer wrote:From the function header:

% function z = shock_decomposition(M_,oo_,options_,varlist)
% Computes shocks contribution to a simulated trajectory. The field set is
% oo_.shock_decomposition. It is a n_var by nshock+2 by nperiods array. The
% first nshock columns store the respective shock contributions, column n+1
% stores the role of the initial conditions, while column n+2 stores the
% value of the smoothed variables. Both the variables and shocks are stored
% in the order of declaration, i.e. M_.endo_names and M_.exo_names, respectively.

thank you Prof.jpfeifer