simulated data explodes quickly
Posted: Tue Feb 22, 2011 3:45 amHi,
I'm using dynare to estimate a DSGE model. During the estimation, I use mode_compute=6, and I finally get some results. In order to verify whether the results reasonable, I want to simulate data using my model and estimate the model again with the simulated data. But the problem is, the simulated data explodes very quickly, e.g., from the 5th period, unless the standard error of innovation is very very small, e.g. 0.000001.
Anyone knows what's wrong with the model?
Thanks,
Ji
I'm using dynare to estimate a DSGE model. During the estimation, I use mode_compute=6, and I finally get some results. In order to verify whether the results reasonable, I want to simulate data using my model and estimate the model again with the simulated data. But the problem is, the simulated data explodes very quickly, e.g., from the 5th period, unless the standard error of innovation is very very small, e.g. 0.000001.
Anyone knows what's wrong with the model?
Thanks,
Ji