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_simult and smoothed shocks
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_simult and smoothed shocks
by econ86 » Sun Aug 14, 2016 6:11 pm
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Last edited by econ86 on Tue Aug 16, 2016 10:27 am, edited 1 time in total.
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Re: _simult and smoothed shocks
by jpfeifer » Tue Aug 16, 2016 7:52 am
There are two potential reasons:
1.) There might be a mistake in your implementation of the counterfactual simulation (bugs are an unfortunate part of computational work)
2.) When using smoothed shocks, you are considering a particular sample. Theoretical moments refer to a feature that happens when you let the simulation run for a really long time. In a particular sample, there is always some probability of getting a different result.
Did you try whether the results are consistent when you simulate the model with a longer series of shocks just drawn from their stochastic distribution, i.e. the normal distribution of the AR1-process shock? That would help exclude whether the implementation is wrong.
1.) There might be a mistake in your implementation of the counterfactual simulation (bugs are an unfortunate part of computational work)
2.) When using smoothed shocks, you are considering a particular sample. Theoretical moments refer to a feature that happens when you let the simulation run for a really long time. In a particular sample, there is always some probability of getting a different result.
Did you try whether the results are consistent when you simulate the model with a longer series of shocks just drawn from their stochastic distribution, i.e. the normal distribution of the AR1-process shock? That would help exclude whether the implementation is wrong.
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