Is anyone knows how to obtain Impulse response function with their confindence band when using stoch_sumul or estimation in dynare?
Thanks!
Samuel
Theoretical IRFs are derived from the solution of the model, from the policy and transition functions. That is, when the model is solved each variable x is expressed as:
x = g(Y, e)
where Y is the vector of the model’s state variables (pre-determined) and shock e. In a linearised model the function g(.) is linear. Thus, given the shock e you get the IRF, which is exact.
What IRFs are you talking about exactly?
Hi, Thank you for your prompt response.
I am talking about IRF plots with their confidence bounds.
Thank you and good weekend!
Samuel.