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IRFs and simulated values

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IRFs and simulated values

Postby accolleyd » Sun Sep 14, 2014 5:20 pm

Hi, Let the exogenous variable in a DSGE model be epsilon and y the output . The IRF y_epsilon is the deviation of output from its steady state value after a one-off shock of magnitude one StandardDeviation(epsilon) occurs. What about the simulated variable y, is it the result of the same one-off shock, or repetitive random shocks? Regards
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Re: IRFs and simulated values

Postby jpfeifer » Sun Sep 14, 2014 5:24 pm

Simulated series are generated by drawing a sequence of random shocks from the specified distribution (mean 0 and covariance matrix given in the shocks-block).
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Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
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Re: IRFs and simulated values

Postby accolleyd » Sun Sep 14, 2014 5:34 pm

Thanks, Johannes
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