# Persistence parameters of exogenous shocks

**URL:** <https://forum.dynare.org/t/persistence-parameters-of-exogenous-shocks/26812>\
**Category:** Replication Attempts\
**Created:** [2 December 2024 10:28 UTC](https://forum.dynare.org/t/persistence-parameters-of-exogenous-shocks/26812 "2024-12-02T10:28:11Z")\
**Posts on this page:** 4\
**Page:** 1

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**Author:** ![godsboy](https://forum.dynare.org/letter_avatar_proxy/v4/letter/g/bc8723/32.png) [@godsboy](https://forum.dynare.org/u/godsboy)\
**Post date:** [2 December 2024 10:28 UTC](https://forum.dynare.org/t/persistence-parameters-of-exogenous-shocks/26812/1 "2024-12-02T10:28:11Z")

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Thank you very much! I recently read a paper and I ran into some questions and would like to ask you. In this article, we simulate an incremental carbon tax policy shock, and the author’s persistence parameter of the exogenous shock of this policy parameter is set to an exaggerated 0.9999, instead of using the estimation method to derive the persistence parameter.What is the reason for this setting, and does it affect the robustness of the model results?The detailed code i.e. article is attached.The exogenous shock settings are as follows：//Eq. 76 carbon tax process  
TAU\_X\_SHOCK=0.99999\*TAU\_X\_SHOCK(-1)+eps\_TAU\_X+eps\_TAU\_X(-1)  
+eps\_TAU\_X(-2)+eps\_TAU\_X(-3)+eps\_TAU\_X(-4)+eps\_TAU\_X(-5)  
+eps\_TAU\_X(-6)+eps\_TAU\_X(-7)+eps\_TAU\_X(-8)+eps\_TAU\_X(-9)  
+eps\_TAU\_X(-10)+eps\_TAU\_X(-11)+eps\_TAU\_X(-12)  
+eps\_TAU\_X(-13)+eps\_TAU\_X(-14)+eps\_TAU\_X(-15)  
+eps\_TAU\_X(-16)+eps\_TAU\_X(-17)+eps\_TAU\_X(-18)  
+eps\_TAU\_X(-19)+eps\_TAU\_X(-20)+eps\_TAU\_X(-21)  
+eps\_TAU\_X(-22)+eps\_TAU\_X(-23)+eps\_TAU\_X(-24)+eps\_TAU\_X(-25)  
+eps\_TAU\_X(-26)+eps\_TAU\_X(-27)+eps\_TAU\_X(-28)  
+eps\_TAU\_X(-29)+eps\_TAU\_X(-30)+eps\_TAU\_X(-31)+eps\_TAU\_X(-32)  
+eps\_TAU\_X(-33)+eps\_TAU\_X(-34)+eps\_TAU\_X(-35)  
+eps\_TAU\_X(-36)+eps\_TAU\_X(-37)+eps\_TAU\_X(-38)+eps\_TAU\_X(-39);  
[Climate actions and macro-financial stability The role of central.pdf](https://forum.dynare.org/uploads/short-url/2ZRTgycgOHJSjVYMwjbcqzgbFNc.pdf) (1.1 MB)  
[代码.pdf](https://forum.dynare.org/uploads/short-url/iv5S0wcoI5auSHTs7OGZwCIMfW1.pdf) (73.4 KB)

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**Author:** ![jpfeifer](https://forum.dynare.org/user_avatar/forum.dynare.org/jpfeifer/32/5044_2.png) [@jpfeifer](https://forum.dynare.org/u/jpfeifer)\
**Post date:** [2 December 2024 13:34 UTC](https://forum.dynare.org/t/persistence-parameters-of-exogenous-shocks/26812/2 "2024-12-02T13:34:25Z")

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This basically looks like a short-cut to implementing a permanent shock (which would happen with a unit root) without going all the way and having to compute the new steady state.

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<div class="post-metadata">

**Author:** ![godsboy](https://forum.dynare.org/letter_avatar_proxy/v4/letter/g/bc8723/32.png) [@godsboy](https://forum.dynare.org/u/godsboy)\
**Post date:** [2 December 2024 14:07 UTC](https://forum.dynare.org/t/persistence-parameters-of-exogenous-shocks/26812/3 "2024-12-02T14:07:33Z")

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Does this parameter setting affect the robustness of the model’s calculation results? Why does the general DSGE simulation use estimation for the persistence parameters and this model uses the set one?

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**Author:** ![jpfeifer](https://forum.dynare.org/user_avatar/forum.dynare.org/jpfeifer/32/5044_2.png) [@jpfeifer](https://forum.dynare.org/u/jpfeifer)\
**Post date:** [2 December 2024 15:43 UTC](https://forum.dynare.org/t/persistence-parameters-of-exogenous-shocks/26812/4 "2024-12-02T15:43:00Z")

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You have the replication files, so that is what the authors did. I have no idea what they intended to do. Most likely only the authors can answer your questions.