Hi. I know that the IRF to a joint shock is the sum of the individual IRFs when working with a linearized model (order=1). But I couldn’t find any academic paper that used this approach in its model. As I want to have a reference to apply this method into my model, can you help me by mentioning papers that used this approach in their model?
It’s a Folk Theorem type situation. It is so well-known that nobody states how they do that. In any case, it’s often easier to conduct a proper simulation with the two shocks using
simult_ than summing individual IRFs.