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