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. |
Page url: http://www.texlips.net/yada/help/index.html?set_dsge_var_shocks.htm