Irf in second order approximation with pruning and without pruning

Stochastic simulations
1

Hi,
I find a question as i plot irf in second order approximation. There is a productiviy shock in the model. When i do not use pruning algorithm, the irf graphs of postive shock and negative shock are symmetric as expected. However, when i use pruning algorithm, the graphs are asymmetric. Could anyone explain it?

I have to use a algorithm like pruning or nlme in second order approximaiton, because the shock size is so small if they are not applied. what should i do to get a symmetric irf graphs under the same shock with different directions.

The code is attached as follows. You can run Main.M file to get the graph
Renjun.rar (3.5 KB)

Many Thanks

2

Why should you get symmetric IRFs? The model is not symmetric and you are solving it nonlinearly.

3

Thanks for your kind reply.

I think it should be symmetric as it is exactly symmetric in second order approximation without pruning. So asymmetry comes from pruning algorithm, not the model itself i guess. Why you think the model is not symmetric?

4

The IRFs are not perfectly symmetric. The differ, if only a bit for the small shock size.

5

ok！ Thanks very much!