Uncertainty shocks with pruning

simple.mod (3.6 KB)

Hi friends,I study uncertainty shock.

First, I build a very simple RBC model with technology uncertainty shock.I could derive desired result that precautionary saving effect reduce a consumption and invest more.

Unfortunately, I try to imprement Andreasen(2018)'s Dynare pruning package and this result doesn’t match my first result.

Is this my mistake or common phenomana?

Sorry, attached mod.file ware not accurate. This is a correct file.
simple.mod (3.7 KB)

Please explain in more detail what you are trying to do and what the problem is that you are facing.

Hi professor.Thank you to reply.

I try to show that uncertainty shocks decrease consumption,wage,working hour,investment,capital, and output under sticky price.(posted code was more simple one)

In order to write IRF with third order perturbation, I implemented two methods that IRF around StochasticSteadyState and analytical GIRF. (I referred https://forum.dynare.org/t/third-order-perturbation/10522/14.)

Although model block ware same, these two IRF did not macth(i.e. some variable’s sign ware opposite ).
While I could derive consistent result in simulaton based IRF, model should be correct.

I can not distinguish this is my coding issue or some theoritical reason. Must these two IRF are same?

Analytical GIRFs are at the ergodic mean. That is different from the stochastic steady state. See e.g. Simult_ and nonzero IRFs in higher-order approximations

Dear professor,when I run the simple mod ,some problems take place like:
Undefined function or variable ‘RunDynarePruning’.

Simple error. The driver (line 203)
OutDynare = RunDynarePruning (optPruning oo_, M_, f_11);

Dynare error (line 293)
Evalin (’ base ', [fname ‘driver’]);

You seem to be using the original replication files. They require the pruning toolbox of Andreasen.

Thanks for your help,can you give me the link about the pruning toolbox of Andreasen?Best wishes!

Thanks for your help,best wishes!

I am using the pruning toolbox of Andreasen on estimating the impact of uncertainty shock to the TFP on a basic RBC with home production sector. They way I do stoch_simul I do it in the same way as in their pruning documentation.
However, when I put the calibrated values for the shocks based on the values I obtained from the particle filter, I get explosive Impulse Response Function as shown in the figures.

Can someone please tell me what is the problem and how to fix it?

home2.mod (3.1 KB)

Dear Professor @jpfeifer can you please tell me how to solve this problem of the explosive IRF? I do not know what is wrong in my code?

Sorry, but haven’t worked with that toolbox.