Conditional forecast-constrained paths of different lengths
Posted: Tue Jul 22, 2014 8:33 pmDear Dynare users,
Is it somehow possible (or is it planned to be implemented in next releases) to perform conditional forecasting using constrained paths of different lengths? For example, I want to constrain the interest rate path for the next 4 periods, but the exchange rate for the next quarter only.
Trying to do this with ‘conditional_forecast’ resulted in obvious error of
I did not manage yet to successfully use the ‘flip_plan’ procedure for conditional forecasting, but some preliminary attempts with different lengths for individual constrained paths resulted in error:
With ‘perfect_foresight’ option and equal lengths of constrained paths, the simulation is performed fine (although I still have some issues interpreting the results).
Thank you!
Is it somehow possible (or is it planned to be implemented in next releases) to perform conditional forecasting using constrained paths of different lengths? For example, I want to constrain the interest rate path for the next 4 periods, but the exchange rate for the next quarter only.
Trying to do this with ‘conditional_forecast’ resulted in obvious error of
conditional_forecast_paths: all constrained paths must have the same length!
I did not manage yet to successfully use the ‘flip_plan’ procedure for conditional forecasting, but some preliminary attempts with different lengths for individual constrained paths resulted in error:
Attempted to access constraint_index.%cell(2); index out of bounds because numel(constraint_index.%cell)=1.
Error in det_cond_forecast (line 427)
indx_x(l2) = length(controlled_varexo) + pf * (ii - 2) + constraint_index{k + ii - 1}(pf_c);
With ‘perfect_foresight’ option and equal lengths of constrained paths, the simulation is performed fine (although I still have some issues interpreting the results).
Thank you!