How to change standard deviations of shocks?


#1

Dear all,
I have a question concerning the size of standard deviations of shock .Impulse response function is the impact of 1 unit standard deviation by default.
In a linear model I have four shocks: monetary policy shock, technology shock, cost-push shock and housing preference shock. If I want to change housing preference shock to 5 unit standard deviation, the rest donot change. Is there a way to do that?
Thank you!


#2

I am not sure whether I have gotten your question correctly or not, however I think You should set shocks block as follows

shocks;
var v; // defined shock as varexo
stderr 0.1; // standard error of shock
[and similarly for other shoks]
end;

then you can easily change stderr to have desirable simulations.


#3

At first order, the IRFs are linear. Thus, the IRF to a 5 standard deviation shock will simply be five times the IRF to a 1 standard deviation shock. IF you want to simulate You could use the simult_-function to generate any shock combination you want. See


for an example.