How to build transition and measurement equations

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How to build transition and measurement equations

Postby marco lorusso » Sun Feb 26, 2017 4:35 pm

Dear Johannes Pfeifer,

I would like to build state transition and measurement equations from the decision rules that DYNARE produces. I am using Dynare 4.3.3. I have read a previous post in this forum viewtopic.php?f=1&t=331 that partially explained this topic. In particular, it suggested using the function kalman_transition_matrix(dr_) for the state transition equation. However, I believe that in the Dynare version 4.3.3 this output is missing. Moreover, there was no explanation at all about the measurement equation. Please could you provide me more information about this?

Moreover, reading your paper “Observation Equations” in Section 1.2 you state that “In case of no measurement error, the covariance matrix of epsilon_t_obs is just a 0 matrix”. Does this mean that in your paper eq. (17) becomes y_t_obs = h (x_t) (where y_t_obs are the observed variables and x_t the structural shocks)?

Thank you.

Kind regards,

Marco
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Re: How to build transition and measurement equations

Postby jpfeifer » Tue Feb 28, 2017 10:33 am

1. Please have a look at https://github.com/JohannesPfeifer/DSGE_mod/blob/master/FV_et_al_2007/FV_et_al_2007_ABCD.mod
and
https://github.com/JohannesPfeifer/DSGE_mod/blob/master/FV_et_al_2007/ABCD_test.m
that shows how to use the
Code: Select all
kalman_transition_matrix
to generate the ABCD matrices. Note also that we do not provide detailed support for older version. Please upgrade to 4.4.3.

2. Yes, in that case y_t^obs=h(x_t), but where x_t is the state variables at time t, not the structural shocks. x_t captures both states at time t-1 and structural shocks occuring at time t.
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
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Location: Cologne, Germany

Re: How to build transition and measurement equations

Postby marco lorusso » Wed Mar 22, 2017 4:28 pm

Thank you very much Johannes! What you suggested me worked perfectly.

Kind Regards,

Marco
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Posts: 2
Joined: Sun Feb 26, 2017 4:27 pm


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