Dynare forums

Dear all,

As I mentioned in my previous post besides other issues, I cannot get the oo_.FilteredVariablesKStepAhead structure after running estimation with the filter_step_ahead option:

Code: Select all

estimation(order=1,datafile=myOriginalData, mh_replic=300000, mh_nblocks=1, mh_drop=.3,  mh_jscale=0.2,
 mode_compute=6, filter_step_ahead = [1 4 8 12], forecast=20,smoother, filtered_vars, diffuse_filter,
nodisplay,
% do this only for the final model b/c takes a lot of time
moments_varendo,
conditional_variance_decomposition=[1 4 8 20],
%
graph_format=(eps,pdf))
lmcU lrkbarU lwbarU lRfU lpxU lpixU lkU lRnustarU
lHU lpiU lmcxU lpimcU lmcmcU lpimxU lmcmxU lpimiU
lmcmiU lpicU lpmcU lpiiU lpmiU lkbarU liU lpsizplusU
lcU lpkprimeU luU lpinvestU lsU aU lqU lxU
lpcU  lRU lyU  lRxU lpmxU lRkU

lylessdU nxdivGDPU lSlevU

data_HhatU

data_RU
data_wdiffU
data_cdiffU   
data_ydiffU 
data_ystardiffU
data_pistarU
data_RstarU 
data_HdiffU
data_impdiffU
data_piiU
data_pidU
data_picU
data_xdiffU
data_qdiffU
data_idiffU
data_gdiffU
;


This occurs both for ver. 4.3.3. and the snapshot ver. 2013-09-22.
There is no error message during the dynare session.

I presume this is due to the conflicting options (unknown to me) or the model's size.

All files attached.

Could you also please provide the mode-file? That way I can save on the mode_compute=6.

Attached.

This might be an error in the manual. If you use Bayesian estimation with the smoother command, the field that is set is just oo_.FilteredVariables. oo_.FilteredVariablesKStepAhead is for ML estimation

This doesn't seem to be right, since I'm asking for multiple-period forecasts filter_step_ahead = [1 4 8 12] but the oo_.FilteredVariables structure gives just vectors which I presume is one-step ahead forecasts which correspond to the option filtered_vars which I'm also using. It seems that the filtered_vars option overwrites the filter_step_ahead option, but this is not a welcome behavior.

Sorry, but this is a bug, which will be hopefully fixed in one of the next unstable versions. In case you are using the current unstable version, I am attaching the two files you need to replace to fix the issue. Please report any strange behavior you might encounter.

Thanks, Johannes. Seems to be working.