Hi everyone,

I have a question regarding the calculation of IRF’s when there is time-varying volatility (an uncertainty shock to e.g. an AR(1) process of technology).

When I calculate the impulse response functions using the toolkit of Andreasen, Martin M., Jesús Fernández-Villaverde and Juan F. Rubio-Ramírez (2013): “The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications”, the IRF’s are both **qualitatively** and quantitatively different from calculating them based on the deviation of the ergodic mean, as suggested in this (very helpful) thread Time varying volatility

Attached is the code I used for the comparison. It is originally the code of Fernandez-Villaverde, obtained from faculty.wcas.northwestern.edu/~l … labus.html, modified just with respect to the different ways of computing the IRF.

rbc_sv_low.mod (5.12 KB)