Backing out shocks from an estimated DSGE model

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Backing out shocks from an estimated DSGE model

Postby parantap » Sat Jan 23, 2016 10:57 pm

Hi, Can anybody please help me with a naive question? I have a DSGE model with five shocks. i use 5 observables with a sample period of 40 and estimate my model with the standard Bayesian routine. I want to recover these five shocks using my estimated model? In fact, when I run such a programme, I get a simulated series of 5 smoothed shocks. I guess that these are the recovered shocks but the period horizon for these smoothed shocks is not the same as the sample period that I have. For example, I have a sample periiod of 40 which means I have 40 observations. However, i get 136 smoothed shocks. Shouldn't I get also 40 smoothed shock corresponding to my sample period? How does dynare create 136 smoothed shocks? Manual does not sayanything about it.

Thanks in advance foryour help.

Parantap Basu
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Re: Backing out shocks from an estimated DSGE model

Postby jpfeifer » Sun Jan 24, 2016 4:36 pm

There must be something wrong with your mod-file and/or data. The number of periods should coincide with the length of the smoothed shocks.
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Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
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Re: Backing out shocks from an estimated DSGE model

Postby parantap » Sun Jan 24, 2016 6:34 pm

Yes. I figured this out. Thank you.
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