IRF when order > 1; How to Save Replic Draws?


#1

Dear all,

I’m working on a non-linear model in Dynare. I simulate the model using

stoch_simul(order=2, irf=20, replic=500,…);

I find that stoch_simul option ‘replic >> 50’ is particularly helpful in terms of smoothing out the impulse response functions. There are numerous discussions about it’s otherwise oscillating nature on this forum. But I’m wondering if there is simple way to save all 500 draws to plot the range of IRF estimates akin to bootstrapped confidence intervals? After all, the fact that the IRF is smooth suggests that a lot of averaging takes place, which makes me suspicious as to how large is the uncertainty surrounding each point estimate? They must be stored somewhere, and if so – how do I find them?

Many thanks,

Justas


#2

No, those are not saved. You would need to hack the irfs.m. But apart from that I do not understand the logic of what you saying. At higher order we consider Generalized IRFs because we are integrating out the effect of past and future shocks. So what would be the interpretation of your uncertainty bands? At any given point in the state space for any series of future shocks, there is no uncertainty about the path of variables.