I have a query regarding the specification of shocks in the Model.
Instead of AR(1) process for each of the three foreign variables in my model, I would like to specify VAR(2) path for my three foreign variables (see the below excerpt from Justiniano Presto (2010).
How do I specify this under the model block in dynare?
In the below example for bvar, dx and dy are written as AR(1) under the model block.
How can i write it as VAR(2)