Why do the uncertainy shock have different results when I add more first-moment shocks.
Because additional level shocks move the stochastic steady state and therefore the point in the state space where you compute the IRFs.
I appreciate your reply. However, if that’s the situation, when I aim to comprehend the influence of uncertainty shocks on the macroeconomy, how many first-order moment shocks should I incorporate?
There is no general answer. Your economy should reflect the statistical properties of the economy, whatever that means. Different researchers may have different ideas/priors.
Thank you , I’ve got your mean.