I am trying to estimate a news shock and I would like some clarifications regarding the way to do that.
As far as I understood, it is possible to easily model it by adding a lagged “varexo” like here:
in this case, the agent anticipates a future shock that will materialize with 100% probability 4 periods from now. Is it correct?
I would like to know how it is possible to estimate a “pure news shock”, i.e. a shock that is anticipated but does not materialize. In order to do that, I would need a new surprise shock, equal in value and opposite in sign to the anticipated one. How can I model that? I thought of something like
but it is probably wrong. Is there any way to model it?