How to obtain exogenous variables?

[xuyongdeng]

Hi, suppose I have data y_t. Shocks are denoted as z_t. The exogenous variables are e_t. I have all the parameters. My questions is how can I obtain the exogenous variables e_t from y_t and parameters. As in my programme, I want to bootstrap the data from exogenous variables. Thanks in advance.

[jpfeifer]

Shocks are exogenous variables, so I don't understand what you want. My guess is you want to run the smoother in order to obtain smoothed shocks. You may be looking for the calib_smoother command. See https://github.com/DynareTeam/dynare/blob/master/tests/fs2000/fs2000_calib.mod for an example.

[xuyongdeng]

Hi, shocks are following AR process. Exogenous variables are innovations from the shocks AR processes. I want to get the shocks or these innovations from observed data. Any suggestions?

[jpfeifer]

As I wrote above: use the

Code: Select all

calib_smoother

[xuyongdeng]

Hi jpfeifer, thank you for your reply. I understand that you have to have the shocks standard deviations if you want to use calib_smoother. But if I only have observed variables and model parameters and no shock standard deviations, can I still use ''calib_smoother" to get unobserved variables and shocks?
Thanks a lot for your help.

[jpfeifer]

In that case, you need to estimate the standard deviations of the exogenous shock processes. You need those numbers for the Kalman smoother