I used data of Japan from 1994q1:2012q4 and try to run the code of DSGE-VAR in Rabanal & Rubio-Ramirez model (2001). GDP and real wage is de-trend using HP-filter (file predata.m). The code didn’t have errors but the result of IRFs is very strange. Could anyone explain it to me? Thank you very much.
All files are attached below.
IRFs.zip (761 KB)
example.zip (154 KB)