Hi,
I’m trying to study an economy subject to a skewed-normal shock using the “unstable-8” version of Dynare (with skew e=-0.99 in the shocks block).
It occurred to me that there is not equivalent of ghs2 (a ghs3) for the shift due to skewed innovations.
It seems to me that it is not embedded in g_0 either. Skewed innovations would in general imply an additional shifter.
Am I looking in the wrong places?
Thanks and best,
Gianni
Indeed, the perturbation solver does not take into account asymmetric shocks, so you need to compute these matrices by hand as I have done here:
At first and second order this is not a problem, but at third and higher orders this is not correct. At some point we will tackle this in Dynare, but it is not a high priority.
Dear Willi,
many thanks for your response.
Best,
Gianni