Stochastic simulation
Posted:
Sat Apr 28, 2012 12:19 amby kwaner
Suppose I perform stochastic simulation of a DSGE model as:
stoch_simul(periods=200,irf=40,order=2) Y C;
Dynare produces the moments as a standard output. Now, I compute the moments from the simulated Y and C series. These two moments seem to be different. Any ideas?
Re: Stochastic simulation
Posted:
Tue May 01, 2012 8:52 amby kyri82
Dynare drops by default the first 100 observations. Thus if you are computing the moments over the whole generated sample they will be different. Check the options for stoch_simul in the manual (page 33).
To see how many observations have been dropped type: options_.drop
To alter the number of observations dropped do: stoch_simul(periods=200,irf=40,order=2, drop=INTEGER)
Hope it helps
Re: Stochastic simulation
Posted:
Thu May 10, 2012 8:13 amby ahnulxy
kyri82 wrote:Dynare drops by default the first 100 observations. Thus if you are computing the moments over the whole generated sample they will be different. Check the options for stoch_simul in the manual (page 33).
To see how many observations have been dropped type: options_.drop
To alter the number of observations dropped do: stoch_simul(periods=200,irf=40,order=2, drop=INTEGER)
Hope it helps
It really helps! Thanks very much!