Highly autocorrelated smoothed shock

Dear Johannes,

Could you please help have a look at the attached figure, the smoothed sunspot shock seems highly autocorrelated. Does it mean there is something wrong with my model ? If so, then estimated results can not be trusted?

Thanks in advance,
SmoothedShocks1.pdf (16.2 KB)

What are the assumptions on that shock? If your assumptions are that it must be uncorrelated, then yes, there is an issue. However, at least I do not have a good intuition on the theoretical properties a sunspot shock should have. This makes it hard to tell whether one should consider this to be problematic.