Hello every one!

I am actually new here. I have a question;
Why do we always have an AR(1) process for introducing a Shock in DSGE models?
can we use an AR(2) process?

Of course, we can. Recently I noticed one paper:

Asset Purchases, Limited Asset Markets Participation and Inequality


He modelled the bond purchase shock as an AR(2) process. See Footnote 13 and references therein.

Yes, see also

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