Does anyone have (or know of) an implementation of Chris Sims' pruning algorithm that runs in Dynare 4.0.4? I'm interested in a modification of simult_.m along these lines:
viewtopic.php?f=2&t=1669
The above implementation was for 3.065 but doesn't seem to run in 4.0.4. Any pointers appreciated.
Thanks,
Dave
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Pruning implementation for Dynare 4.0.4?
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Pruning implementation for Dynare 4.0.4?
by davidamdur » Thu Jul 02, 2009 9:28 pm
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Re: Pruning implementation for Dynare 4.0.4?
by sfahr » Mon Jul 06, 2009 6:27 pm
Hi Dave,
pleas try the attached file. Hopefully it works. Please let me know if it works.
Stephan
pleas try the attached file. Hopefully it works. Please let me know if it works.
Stephan
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simult_pruning4.m- Pruning in Dynare 4
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Re: Pruning implementation for Dynare 4.0.4?
by davidamdur » Tue Jul 07, 2009 2:55 pm
This worked beautifully. I counter-checked my results with and without pruning as you described in your earlier post, and they are similar for small shocks. For larger shocks, pruning lets me produce stable IRFs. Very very helpful. Thanks so much!
Dave
Dave
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