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Simulation moments
Posted:
Thu Feb 10, 2011 6:18 pmby kyri82
Hello everyone,
Why when I compute the moments of the simulated data myself do not exactly match those provided by Dynare? I mean, I can always produce the mean by the command:
mean(oo_.endo_simul(1,:))
but the result does not match the first moment of the first simuated endogenous variable.
Thanks!
Kyriacos
Re: Simulation moments
Posted:
Thu Feb 10, 2011 8:14 pmby jpfeifer
That is not the correct way. Dynare drops by default 100 points at the beginning of the simulation (see manual) plus the number of points required to initialize the autoregressive state space representation. Hence, it should be:
- Code: Select all
mean(oo_.endo_simul(1,options_.drop+M_.maximum_lag+1:end))
Re: Simulation moments
Posted:
Fri Feb 11, 2011 9:02 amby kyri82
jpfeir,
thanks for your response! So just to make it clear to me: even though in the matrix oo_.endo_simul(:,:) I can find data for as many periods as I have asked for in the stoch_simul(periods = INTEGER), dynare computes moments by excluding the first 100+sthng data?
Thanks again!
Kyriacos
Re: Simulation moments
Posted:
Fri Feb 11, 2011 9:12 amby jpfeifer
Yes, you are right. By setting options.drop=x you can change the number of points to be dropped. Note that this is also documented in the manual.
Re: Simulation moments
Posted:
Fri Feb 11, 2011 10:31 amby kyri82
Yes I know. I just thought that the data points are dropped all together. Thanks again!
Kyriacos