problems on estimated shocks

[Jayant]

Hello
Please, I would like to consult you about a question. In a paper, I found an estimated shock by the model and the shock variable in the form of actual data are plotted in the same figure. I don’t know how I programmed /what command I put in to realize it in dynare. Thanks very much.

[jpfeifer]

You need to provide more details. Usually you do not know the shocks in the data and cannot compare them to smoothed shocks coming from the Kalman smoother.

[Jayant]

Thank your reply
Now, I send the screenshot from the paper to you. I don't know what command should I add to the program to realize it. Thanks

[jpfeifer]

My guess is that they HP-filter the results from

Code: Select all

shock_decomposition