State space representation in Dynare

[ingstr]

A short note on the state space representation in Dynare.

[jpfeifer]

The proper way to do this would be to use the

Code: Select all

kalman_transition_matrix.m

See http://www.dynare.org/phpBB3/viewtopic.php?f=1&t=7912

[Aldo]

I think, the way to retrieve an state space representation of Ingstr is very helpful for two reasons:

1. You can retrieve an state space in the same order (position) of all endogenous variables declared after the var command.

2. I think, the way proposed for Jpfeifer, about kalman_transition_matrix.m is applied to get an state state representation only for "state variables", that is, "purely backward variables" and the "mixed variables" according to definition of Manual (pg. 47), but I suspect we will also need to include the another variables: "Purely forward variables" and "Static variables".

Is there some idea to retrieve the "complete" state space using kalman_transition_matrix.m ? that is, for all variables?

Greetings.

Aldo

[jpfeifer]

What do you mean with all variables? The

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kalman_transition_matrix.m

can provide you with all four matrices used for state-space representations (the ABCD) as shown in https://github.com/JohannesPfeifer/DSGE_mod/blob/master/FV_et_al_2007/ABCD_test.m

[Aldo]

I mean:
"all variables": purely backward variables, mixed variables, Purely forward variables and Static variables.

I make this distintion because I see the ABCD representation with kalman_transition_matrix.m is applied to get transition matrices only for varobs and state variables, that is, "purely backward variables" and the "mixed variables".