abnormal impulse response figure

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abnormal impulse response figure

Postby Mandy » Fri Jun 06, 2014 8:18 am

hello!
I run a DSGE model with dynare, but the impulse response figure seems strange.
The figures are like waves fluctuating frequently in the first periods.

What is the problem? Thank you in advance!
Mandy
 
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Re: abnormal impulse response figure

Postby Daniel Bendel » Fri Jun 06, 2014 9:00 am

You may have wrong timing.
Germany, Cologne
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Re: abnormal impulse response figure

Postby jpfeifer » Fri Jun 06, 2014 2:48 pm

Exactly, wrong timing of the predetermined states often results in complex eigenvalues and thus oscillating IRFs.
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
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Re: abnormal impulse response figure

Postby Mandy » Sat Jun 07, 2014 6:37 am

Thank you very much!but I don't know what does "wrong timing" mean?
Mandy
 
Posts: 13
Joined: Wed May 21, 2014 1:02 pm

Re: abnormal impulse response figure

Postby Mandy » Sat Jun 07, 2014 6:54 am

Does it mean I should change the code about "stoch_simul" ?
I'm very confusing. Thank you!
Mandy
 
Posts: 13
Joined: Wed May 21, 2014 1:02 pm

Re: abnormal impulse response figure

Postby jpfeifer » Sat Jun 07, 2014 7:17 am

It means there is a mistake in your model equations. Most probably a confusion of timing, i.e. you use for example k(-1) when it should be k or c when it should be c(+1).
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
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Re: abnormal impulse response figure

Postby Mandy » Sat Jun 07, 2014 7:21 am

Oh I see. Thank you very much! I appreciate your help!:)
Mandy
 
Posts: 13
Joined: Wed May 21, 2014 1:02 pm


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