Shock selection and linear option in Extended Path

Dear Forum,

  1. During the extended path simulation, even if I keep multiple shocks turned on, I still get single simulation matrix e.g. if my number of shocks is 3 and number of endogenous variables 7 and I run simulation for 1000 periods, I get a oo_.endo_simul of size 7 by 1001. Is there a way to know for which shock it has been produced? If we got an oo_.endo_simul of size 7 by 1001 by 3, it would have been nicer.
  2. Is there a way to turn on linear option for perfect foresight solver in extended path simulation?

Thanks in advance.

  1. Extended path simulations are nonlinear simulations for the specified shock series. In contrast to linear models, where the individual shock responses are additive, you need to conduct joint simulations. That explains why you get one vector for every endogenous variable. If you want to simulate one shock at a time, you need to conduct three separate simulations.
  2. No, but what would even be the point of that?

Dear Prof. Pfeifer,

Thank you very much for clarifying the first point.

Regarding the second point, I want to compare linear and nonlinear model using extended path.

You can just run a standard perfect foresight simulation with the linear_approximation option in that case.