How to implement a Poisson process?

[CtGKKoK]

Hello all,

is it possible to implement in Dynare a compound Poisson process in continuous- or discrete-time?
Or is there any workaround to approximate it?

Thanks a lot,
M.

[jpfeifer]

In which context do you want the Poission process? As an exogenous shock? (Most probably the answer will be that it is not possible to do this in Dynare)

[CtGKKoK]

Yes, as an exogenous shock.

[jpfeifer]

Could you please elaborate what exactly you have in mind. In the context of simult_ you can in principle provide random numbers from any distribution to Dynare.