shocks — specifies shocks on deterministic or stochastic exogenous variables
shocks
[( OPTION
,... );]
(1) DETERMINISTIC SHOCK STATEMENT
|
(3) STOCHASTIC SHOCK STATEMENT
[
(1) DETERMINISTIC SHOCK STATEMENT
|
(3) STOCHASTIC SHOCK STATEMENT
...]
end;
(1) var VARIABLE_NAME
; periods (2) PERIOD STATEMENT; values EXPRESSION;
(2) INTEGER
[: INTEGER
] [INTEGER
[: INTEGER
]
...] ;
(3) (4) VARIANCE STATEMENT | (5) COVARIANCE STATEMENT | (6) STANDARD ERROR STATEMENT
(4)
var VARIABLE_NAME
= EXPRESSION
;
(5)
var VARIABLE_NAME
, VARIABLE_NAME
= EXPRESSION
;
(6)
var VARIABLE_NAME
; stderr EXPRESSION
;
shocks_file = FILENAME: reads sequence of deterministic shocks from FILENAME. It can be either a *.m or a *.mat file. The file must create vectors with the same names as the deterministic exogenous variables.
For deterministic simulations, the shocks block specifies temporary changes in the value of an exogenous variables. For permanent shocks, use an endval block.
When specifying shocks on several periods, the values EXPRESSION
must return either a scalar value common to all periods with a shock or a column vector with as many elements as there are periods in the periods statement just before it.
For stochastic simulations (available only in the Matlab or Scilab versions), the shocks block specifies the non zero elements of the covariance matrix of the shocks.
It is possible to mix deterministic and stochastic shocks to build models where agents know from the start of the simulation about future exogenous changes. In that case stoch_simul will compute the rational expectation solution adding future information to the state space (nothing is shown in the output of stoch_simul) and forecast will compute a simulation conditional on initial conditions and future information.