I am estimating a DSGE model for two subsamples because observed GDP is not variance stationary over the entire dataset. The first subsample has higher GDP volatility, and the second subsample has lower GDP volatility (which started after a structural adjustment program was implemented).
My problem is that the correlation between
I has different signs for the 2 subsamples. Does this mean that the nature of shocks over the business cycles for the 2 samples are different? And if so, can I use different sets of shocks in the 2 models for the 2 subsamples?
Thanks for taking the time to write a reply.