Professor Pfeifer , if I have a model like
[code]var a, b, c;
varexo d, e, f;
parameters rho xi;
rho = 0.95;
xi =0.8;
model;
a = rhoa(-1) + xi b + d;
b = rhob(-1) + xic+e;
c = rhoc(-1) + xia + f;
end;
shocks;
var d; stderr 1;
var e; stderr 2;
var f; stderr 3;
end;
stoch_simul(order=1);[/code]
Question 1: What kind of code should I use if i want a irf for 3 shocks hitting the system at the same time? Is the following new shock g working?
[code]var a, b, c;
varexo d, e, f, g;
parameters rho xi;
rho = 0.95;
xi =0.8;
model;
a = rhoa(-1) + xi b + d+1/sqrt(1^2+2^2+3^2)g;
b = rhob(-1) + xic+e+2/sqrt(1^2+2^2+3^2)g;
c = rhoc(-1) + xia + f+3/sqrt(1^2+2^2+3^2)*g;
end;
shocks;
var d; stderr 1;
var e; stderr 2;
var f; stderr 3;
var g; stderr sqrt(1^2+2^2+3^2);
end;
stoch_simul(order=1);[/code]
if I have a model like
[code]var a, b, c;
varexo d, e, f;
parameters rho xi;
rho = 0.95;
xi =0.8;
model;
a = rhoa(-1) + xi b + d+ xid(-1);
b = rhob(-1) + xic+e;
c = rhoc(-1) + xi*a + f;
end;
shocks;
var d; stderr 1;
var e; stderr 2;
var f; stderr 3;
end;
stoch_simul(order=1);[/code]
Question 2: Is the following new shock gg working? Thanks!
[code]var a, b, c;
varexo d, e, f, gg;
parameters rho xi;
rho = 0.95;
xi =0.8;
model;
a = rhoa(-1) + xi b + d+1/sqrt(1^2+2^2+3^2)gg +xi * 1/sqrt(1^2+2^2+3^2)gg(-1);
b = rhob(-1) + xic+e+2/sqrt(1^2+2^2+3^2)gg;
c = rhoc(-1) + xi*a + f+3/sqrt(1^2+2^2+3^2)*gg;
end;
shocks;
var d; stderr 1;
var e; stderr 2;
var f; stderr 3;
var gg; stderr sqrt(1^2+2^2+3^2);
end;
stoch_simul(order=1);[/code]