I am working with a medium-sized DSGE model with nominal rigidities and financial frictions. I am interested in estimating the impulse responses of variables to second-moment shocks for the productivity process. I model the productivity process as follows:
At present, I am examining the impulse responses of model variables to uncertainty/second-moment shocks (sigma_a in this case) by taking the 3rd order solution in conjunction with pruning. If I have to proceed with estimation what would be relevant references/codes that I could go through to understand the process?