I have a question about this linked code by Prof Pfeifer. In this example, we have one anticipated news shock and one unanticipated shock. If we were to specify two shocks where both were unanticipated (with still 8 periods in between), would this code be adapted as follows? (Q1)
z=rhoz*z(-1)+eps_z_surprise + eps_z_news;
I guess my question is: is (-8) in line 89 (in the original code) specifying the anticipated nature of the shocks? (Q2)
Relatedly, the following part of the code specifies the timing between the shocks, and it doesn’t inform us anything about anticipation bit. Is that right? (Q3)
shock_matrix(1,strmatch(‘eps_z_news’,M_.exo_names,‘exact’)) = 1;
shock_matrix(1+8,strmatch(‘eps_z_surprise’,M_.exo_names,‘exact’)) = -1;
I hope my question(s) were clear. I just have not worked with anticipated shocks before, so I am trying to understand the notation and which part of the code brings us the anticipated bit (so I can change it).
Thank you so much for your guidance in advance,