I have estimated a DSGE model with 7 shocks and 2 additional news shocks. I would like to estimate a DSGE-VAR to compare the IRFs of these two news shocks with the original DSGE IRFs.
I cannot estimate the DSGE-VAR with fewer observables than shocks but I wouldn’t like to add additional observables to the model. I thought that I could take the smoothed series of the news shocks from the first DSGE estimation and add them as observables for the DSGE-VAR estimation. Does this invalidate the comparison between DSGE-VAR and DSGE IRFs as an exercise of model performance?