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In the command "stoch_simul", there is an option called "drop" which represents the number of points dropped at the beginning of simulation before computing summary statistics. I wonder that what the use of "drop" is. I guess it is used to diminish the effect of starting distribution (burn-in sample) as in Metropolis Algorithm in Bayesian Estimation. Is it right?

I have looked for how IRF is computed and I discover "drop" is involved in determining the IRF of variable based on second-order policy function. But why we need to discard the path of variable for "n" time step, where "n" is the value in "drop"?

Thanks for attention...

Hi

dennis0125hk wrote:In the command "stoch_simul", there is an option called "drop" which represents the number of points dropped at the beginning of simulation before computing summary statistics. I wonder that what the use of "drop" is. I guess it is used to diminish the effect of starting distribution (burn-in sample) as in Metropolis Algorithm in Bayesian Estimation. Is it right?

Yes you're right.

dennis0125hk wrote:I have looked for how IRF is computed and I discover "drop" is involved in determining the IRF of variable based on second-order policy function. But why we need to discard the path of variable for "n" time step, where "n" is the value in "drop"?

You will find some explanations in the User Guide by Tommaso (section 3.8.2) available in the documentation section of www.dynare.org

Best, Stéphane.