Dear Maureen,
sorry, I forgot that Smets/Wouters do not have measurement error. Regarding your question: It clearly does not matter.The only condition is that you have at least as many disturbances as you have observed series as otherwise stochastic singularity would occur. That’s the reason why Smets/Wouters match the number of shocks to the number of variables. There is for example the Schmitt-Grohe/Uribe (2009)-paper “What’s news in business cycles?”. They have several exogenous disturbances and add additional measurement error to each observed variable:
columbia.edu/~mu2166/news_in_bc/paper.pdf
This gives you more shocks than observed variables.
Best
Johannes