Command for generating model moments in MATLAB
Posted:
Thu Jul 18, 2013 2:25 amby Thassia
Hello,
I am trying to generate the moments for an economic model in Dynare. I have the model solution in Matlab however I need help using the Matlab solution to generate model moments in Dynare.
In other words how can one incorporate
MATLAB command
[G,C0,M,fmat,fwt,ywt,gev,eu] = gensys(G0,G1,CC,Psi,Pi);
into the stoch_simul command
eg stoch_simul(order=1,irf=40) y_h c_h i_h b_h ;
in DYNARE
Any help would be appreciated!!
Re: Command for generating model moments in MATLAB
Posted:
Thu Jul 18, 2013 6:34 amby jpfeifer
You could do it, but the programming costs are most probably prohibitive. If you already have the model solution in non-Dynare form I would recommend that you use the state-space form to generate the model moments yourself. You can basically find the formulas in Kim, Kim, Schaumburg. Sims.
Re: Command for generating model moments in MATLAB
Posted:
Tue Jul 23, 2013 4:35 pmby Thassia
Thank You.
"CALCULATING AND USING SECOND ORDER ACCURATE SOLUTIONS OF DISCRETE TIME DYNAMIC EQUILIBRIUM MODELS"
Correct?
Regards.
Re: Command for generating model moments in MATLAB
Posted:
Wed Jul 31, 2013 8:20 pmby Thassia
Which formulas or equation number are you referring to specifically?
Re: Command for generating model moments in MATLAB
Posted:
Wed Aug 07, 2013 4:37 amby Thassia
jpfeifer wrote:You could do it, but the programming costs are most probably prohibitive. If you already have the model solution in non-Dynare form I would recommend that you use the state-space form to generate the model moments yourself. You can basically find the formulas in Kim, Kim, Schaumburg. Sims.
Jpfeifer, I still have not solved this problem. Could you help explain what you mean by use the state form to generate the model moments? I read the paper that you suggested and I think the equations of interest are (39) -(42) but I do not know how to use them to generate the moments.
Regards,
Thassia