Shock decomposition after Occbin calib_smoother

Dear Prof Pfeifer

I am running this implementation of an NK model subject to the ZLB:

I noticed that if I run shock_decomposition after either of the calib_smoother commands, the resulting shock decompositions show large contributions from “initial values” during ZLB periods. These appear necessary to fit the data during such periods.

My question is: what do these “initial values” represent? They do not decay over time starting from the beginning of the simulation, as you would expect / typically find when ignoring OBCs and estimating a purely linear model.

More generally, is shock_decomposition the correct command to use after the Occbin smoother has been run, or is there an Occbin-specific version of the shock decomposition command?

Thank you

Shock decomposition is not compatible with OccBin yet. The results should be wrong.

Thank you very much for your reply. In what sense would they be wrong at this stage?

They won’t take the constraint into account.

Thank you very much