How to implement a Poisson process?

Stochastic simulations
1

Hello all,

is it possible to implement in Dynare a compound Poisson process in continuous- or discrete-time?
Or is there any workaround to approximate it?

Thanks a lot,
M.

2

In which context do you want the Poission process? As an exogenous shock? (Most probably the answer will be that it is not possible to do this in Dynare)

3

Yes, as an exogenous shock.

4

Could you please elaborate what exactly you have in mind. In the context of simult_ you can in principle provide random numbers from any distribution to Dynare.

5

I also have the same problem!! I want to write a shock (varexo) mu, with two values{mu1,mu2} to make it as a two-state Markov Chain. But I don’t know how to do it…

6

@Aurelia Could you please provide more information on what exactly you are trying to do? Usually, Dynare works with continuous processes, so there is no reason to discretize the state space