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Deviation form steady state

PostPosted: Tue Feb 07, 2017 3:25 pm
by leonard007
Dear Prof. Jpfeifer,
I would like to plot "percentage deviation from steady state" for the IRFs. I have reviewed other posts but I got very confused. I used order 1 : stoch_simul(periods=2100,irf = 100,order =1); percentage deviation from steady state is which one?:
1: 100* oo_.irfs.c_P_epsilon_Eps/oo_.steady_state(7);
or
2: log( oo_.irfs.c_P_epsilon_Eps);
or
3: log(oo_.irfs.c_P_epsilon_Eps/oo_.steady_state(7));

and I have a determisitic model with :
perfect_foresight_setup(periods=203);
options_.simul.robust_lin_solve=1;
perfect_foresight_solver(stack_solve_algo =0);

Is "percentage deviation from steady state" :
100*(oo_.endo_simul(39,:)-oo_.endo_simul(39,1))/oo_.endo_simul(39,1);

I am looking forward to hearing from you
Leo

Re: Deviation form steady state

PostPosted: Thu Feb 09, 2017 8:20 am
by leonard007
Hello,
I am still waiting for the answer, IS there anybody who knows the answer?
Thnaks

Re: Deviation form steady state

PostPosted: Thu Feb 09, 2017 3:58 pm
by jpfeifer
That depends on your variable definition. If you defined your variable in logs, the IRF is already in percentage deviations. If the variable is in levels, things are different. Options 2 and 3 are wrong, because the numerator will have a mean of 0 and you cannot take the log of 0. Option 1 is correct, unless your variable has a steady state of 0. To see that option 1 is correct, consider that
Code: Select all
X_IRF=X_with_shock-steadystate(X)

Therefore, with option 1 you have
Code: Select all
(X_with_shock-steadystate(X))/steadystate(X)

which is the exact definition of a percentage definition.

Re: Deviation form steady state

PostPosted: Thu Feb 09, 2017 6:05 pm
by leonard007
Thank you very much for your time and consideration.
And what about deterministic model? is it percentage derivation of steady state? (All my variables are in level)

Code: Select all
100*(oo_.endo_simul(39,:)-oo_.endo_simul(39,1))/oo_.endo_simul(39,1);

Re: Deviation form steady state

PostPosted: Fri Feb 10, 2017 9:29 am
by jpfeifer
If you start at the steady state with your simulation, that would be correct. Otherwise, it will be a percentage deviation from the initial point.

Re: Deviation form steady state

PostPosted: Fri Feb 10, 2017 11:10 am
by leonard007
Thank you so much for your great comment. Yes, I start from the steady state, so there is no problem.
Sincerely,