我在想是不是应该把这个冲击从mod文件中删除,连带该冲击的AR(1)过程一起删除?
一个老外给我答复说,大家帮忙解释下,谢谢:
The easiest way is to just subtract the contribution from the historical decomposition.
The gist comp, as you will recall from intro econometrics, breaks down the contributions of the shocks to the variable at hand. When you just remove the monetary policy shock, you have a counter factual dGDP series without the (possible, and to be determined) stabilization properties of countercyclical monetary policy...