Dear friends, I am working on generating impulse response function of stochastic volatility shock based on a model proposed by Justiniano and Preston (2010, JIE).
To estimate the impulse responses, I have been following the code suggested in the replication mod file of Basu and Bundick (2017) posted on Professor Johannes Pfeifer’s GitHub.
stoch_simul(order = 3, shock = (eps_sv)) generates wriggly impulse responses as previously pointed out, so I am not using that function.)
The stochastic volatility term in my mod file is
eps_sv, and I have put 1 unit shock on
eps_sv but that generates no impulse response. (All values turn out to be 0.)
The steady state values of all variables calculated in my model are 0. Could that be the reason for such problem?
I appreciate your helpful comments. Thank you.
soedsge2_sv_jp.mod (5.4 KB)