problems on estimated shocks

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problems on estimated shocks

Postby Jayant » Fri Apr 01, 2016 2:27 am

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.
Jayant
 
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Joined: Thu Mar 31, 2016 2:19 pm

Re: problems on estimated shocks

Postby jpfeifer » Fri Apr 01, 2016 6:41 am

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.
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Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
jpfeifer
 
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Re: problems on estimated shocks

Postby Jayant » Fri Apr 01, 2016 7:18 am

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
Attachments
screenshot.doc
the screenshot from the paper
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Jayant
 
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Re: problems on estimated shocks

Postby jpfeifer » Tue Apr 05, 2016 3:42 pm

My guess is that they HP-filter the results from
Code: Select all
shock_decomposition
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
jpfeifer
 
Posts: 6940
Joined: Sun Feb 21, 2010 4:02 pm
Location: Cologne, Germany


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