Dynare forums

Hi,

I need to do a grid search for a range of parameters, for which I use

Code: Select all

set_param_value('param', value(i));
stoch_simul(var_list_);



but in each iteration, I need to get the derivatives both for the first and third order expansions. That is, for each parameter, I need to get two sets of derivatives (for 1st and 3rd order). Could you please let me know if/how I can do this.
Note: I have already tried to just change the order using

Code: Select all

options_.order = 3;

, but I wasn't successful.

Many thanks in advance,
Soroush

What do you mean? Which error do you get? You need to run Dynare at order 3 first. That is, you use

Code: Select all

stoch_simul(order=3)

in the mod-file and call it with

Code: Select all

dynare yourmodfile noclearall

at the beginning of your code. This will create all required files. Then you can switch between first and third order by setting

Code: Select all

options_.order

Thank you very much jpfeifer, it works now. As you correctly guessed, I was using the wrong order. Just a quick follow up question, and please don't bother if there is not a good answer for that. When I tried the following piece of code:

Code: Select all

dynare afr0test
f_11_3 = [oo_.dr.ghx oo_.dr.ghu];

stoch_simul(var_list_);
f_11_test3 = [oo_.dr.ghx oo_.dr.ghu];

sum(vec(f_11_test3 -f_11_3)) %showing if the first order derivatives have changed



to see if running the same file from outside (i.e. using the stoch_simul) has changed the first-order derivatives, I got 2.14e-6. Admittedly, I have a lot of variables in the models (66 variables), which means each derivative is just changed a tiny bit, but do you know why there is a change in the first place?

Thanks again.

Hard to tell without the model. Do you use a steady state file?
In any case, a better test is

Code: Select all

max(max(abs(f_11_test3 -f_11_3)))