Thanks for your reply. My understanding from following the threads is that by changing the simult.m file non normal shocks can be incorporated in Dynare. However you talk about how this approach would be not correct at higher order. https://forum.dynare.org/t/drawing-from-non-normal-distributions-uniform-in-simulation/4966?u=skumar
I am currently using third order perturbation to solve my model. All the shocks in my models are independent of each other. Could you elaborate on the issues or the correct way to go for third order models?
Thanks again.