I am not talking about a one period shock, and then you observe the IRF, I am talking about simulating time series for endogenous variables given that we know the distribution of exogenous variable.

For example, if I have the TFP equation (AR 1 process), and I know the rho and I know the variance of the error, can we generate a time series of TFP in Dynare?

If we can generate exogenous time series like in 1, can we also generate time series for endogenous variables?
The reason why I am asking is, I would like to see where a variable would end up after a few periods if random shocks from a known dist happen during those period.
 specify the distribution of the shock which also determines the distribution of the exogenous variable
var ea; stderr 0.01;
 Simulate the endogenous variables. Here, Y and C.
stoch_simul(periods=1000) Y C
Check more options for these commands from the manual.
But that is not what I wanted. What you told me, is what would happen to Y when there is a one time shock to ea.
What I want is; what would Y look like when there is a shock every single period for 200 periods. The size of this shock is drawn from a distribution. Basically I want a computer generated path from Y, according to the specified distribution of the shocks.
Something like this, but for the endogenous variables.
I’m sorry @swooneytoad, but @kofiemma’s answer is correct.
stoch_simul(periods=1000)...
will draw random shocks for 1000 periods and compute the simulation. If you plot the results in oo_.endo_simul
you will get a graph similar to the one you show.
Exactly. And if you want more than 1 sample path, use the simul_replic
option. See e.g.
This is the solution.
I thought that those variables are the IRF, until I plotted them.
oo_.endo_simul
contains the IRF when you don’t use option periods
in the stoch_simul
command
Thank you so much.
There are just too many options etc in Dynare, that I never explored. I really thought it could only show IRF.
Merci, les equipe Dynare.
One final question, I hope; is there a way to specify the initial value of the simulation? I.e. if I want the sim to start from specific points.
See the Dynare manual on histval
.