Issues with code 2 shocks

Stochastic simulations
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izzzzy.mod (1.2 KB)

Hello,

I am having issues with my codes. I am modelling a RBC model with 2 shocks - TFP and revenue shocks. However, dynare is producing the IRFs for TFP shock only.
My questions are as follows;

  1. How do I resolve the issue and get dynare to produce IRFs for both shocks?
  2. How do I instruct dynare to simulate second moments for TPF shock, revenue shock and both shocks?
    Please could you advise me on how to resolve this?
    Thanks.
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Dynare is already producing IRFs for both shocks as you can see - for A and R. The issue is that from this equation gc+Ig+gt=tau_c*c+tau_k*r*k+tau_h*w*h+R, R does not significantly affect any of the variables. For example, if you write the equation as follows gc=tau_c*c+tau_k*r*k+tau_h*w*h+R-(+Ig+gt), R does not significantly affect gc because there is a feedback from (+Ig+gt) which cancels that effect. Dynare do not show the IRFs for revenue shocks because they are almost zero. If you want to see the almost-zero IRFs for revenue shocks, you can plot them manually. They are in the oo_ folder. So it is a feature of your model, depending on the parameters you have, not a dynare problem.

Screenshot from 2021-10-14 10-46-50
Screenshot from 2021-10-14 10-46-501097×413 16.6 KB

3

You can also set irf_plot_threshold = 0

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Hello Kofiemma,

Thank you for your kind response and intuition.

How do I instruct Dynare to simulate second moments for TPF shock only, revenue shock only and both shocks? What command I mean?

Is it “stoch_simul” (order=1,irf=40, hp_filter=100, second moment)?
Please correct me if I am wrong.

Thanks

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Hello Prof.

When you say “set irf_plot_threshold = 0” can you explain further please?

Thanks

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  1. If you want conditional moments, you need to simulate the model with one shock at a time. See e.g. DSGE_mod/Gali_2015_chapter_4.mod at master · JohannesPfeifer/DSGE_mod · GitHub
  2. See the Dynare manual om irf_plot_threshold`` . It's an option of stoch_simul`.