Hi,

I am puzzled by one result in Dynare and would like your help to understand it.

I would like to plot response of the expectation of a variable, say consumption, to a one time shock (the typical impulse-response graph). I have potentially two ways of doing this. The first is to create a new variable, EC = C(+1) and plot it. The second is to plot the one-period-ahead IRF for consuption.

In a first order approximation both procedures give the same result. In a second order, they are different, but the difference is always constant (I start the IRF at the “stochastic steady state”, defined as the situation where all shocks are shut-down but agents expect them to be non-zero, but this does not matter for the result).

I would like to understand why they are different.

Thank you,

Max