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Set DSGE-VAR Shocks

 

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Select the set of state shocks of the DSGE model to identify within DSGE-VAR models. It is possible to identify as many structural shocks to DSGE-VAR models as there are observed variables. Hence, if the DSGE model has at least as many state shocks as there are observed variables, then a subset of these shocks can be identified within the DSGE-VAR setting. This function lets you select a subset of the state shocks as structural shocks to the DSGE-VAR. If the number of state shocks is equal to the number of observed variables, the function will tell you this.

 

Additional Information

A detailed description about identification of the structural shocks of DSGE-VAR models can be found in Section 15.8 of the YADA Manual.

 

 


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