Shocks in VAR(2) form


#1

Hello,

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)
Best,
Ammu


#2

Simply write the VAR in the model block. See the exogenous process in
https://github.com/JohannesPfeifer/DSGE_mod/blob/master/Chari_et_al_2007/Chari_et_al_2007.mod


#3

Thank you Prof Pfeifer for the reference. This is very helpful.

Many Thanks
Ammu