I have some questions about the structural shock specified and significant level of impulse response function in this paper. First, I want to construct a structural shock that is caused by block of non-monetary in my model, there is a assumption in this paper
the behavior of variables during a monetary downturn is compared to their behavior during a downturn of equal magnitude caused by these structural real activity shocks.
. To be more precise to say
a non-monetary downturn is caused by a sequence of real activity shocks such that real income follows the exact same path as it does during a monetary downturn, but does not affect interest rate very much
. To do this, my idea is to estimate a var, then to do structural factorization by imposing long run restriction, but I don't know how to restrict the structural shocks of overnight and real income equivalently decrease real income in the same magnitude. Second, is there someone who knows how to show irf in similar way in this paper? I have no idea how to calculate the p-value of it.
