Sequences of both negative and positive shockss

Stochastic simulations
1

Hi everyone,
I would like to simulate my model under both negative and positive shocks. In fact, I would like to draw a sequence of shocks which will be positive and negative and simulate the model using those. How can I do that exercise with Dynare?

2

I’m not quite sure why you would need a sequence of shocks, but you could try using histval.

To generate positive and negative shocks is simple. Suppose you have a law of motion for tfp:

a=rho*a(-1)+e_a

This will generate a positive shock if you specify the shocks block in the standard way:

var e_a; stderr 0.01

If on the other hand you want to generate a negative shock, just use:

a=rho*a(-1)-e_a

3

Thank you Jd1090 for your reply,
I would not want to separate the two shocks. Let me be clear: for a law of motion like this a=rho*a(-1)+e_a, I would like the shock e_a to be alternately positive and negative. So in one law of motion, I would like to have impulse responses for a shock that could be alternately negative and positive…
Thank you for your help in advance.

4

Using the simult_-function of Dynare, you can simulate the model with any given sequence of shocks that you want. An example is at
github.com/JohannesPfeifer/DSGE_mod/blob/master/RBC_news_shock_model/RBC_news_shock_model.mod

5

Thank you jpfeifer
I will back to you when I will be stuck.
best,