hi!
after i do bayesian estimation, i want to simulate data using some of the estimated shocks,not all of them ,how can i do that using stoch_simul command? how to set the initial value?thanks a lot!
Hi, Didn’t test but I think that changing the values in M_.Sigma_e after the estimation will do the trick. If the shocks are not correlated, you just have to change the elements on the diagonal. The ordering of the shocks in M_.Sigma_e is defined by the order of declaration (with varexo
). For Instance, for removing the first shock just type M_.Sigma_e(1,1)=0;
after the estimation
command and before stoch_simul
.
Best,
Stéphane.
thank you so much it’s really helpful!
- What @stepan-a suggests results in new random shocks being drawn from the estimated distribution.
- What you seem to be looking for is counterfactual simulations based on the smoothed shocks. Please see Counterfactual simulations based on smoothed shocks
yes you are right what I am trying to do is counterfactual experiment .thank a lot !all the best