Dear Forum members,
I am trying to run a second order stochastic simulation using a previously estimated model.
As far as I understand, stochastic simulations of both orders should work, but I get some terrible "explosive" IRFs.
On the other hand, IRFs for the first order stochastic simulations look ok.
Did anybody find a similar problem?
Thanks for any help,
Marco
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Problems with second order stoch_simul
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As Dynare 4 is the current Dynare version, there forum is now close. Post new question in the Dynare Help Forum.
As Dynare 4 is the current Dynare version, there forum is now close. Post new question in the Dynare Help Forum.
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Problems with second order stoch_simul
by petrama » Wed Nov 21, 2007 6:22 pm
- petrama
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by MichelJuillard » Sat Dec 01, 2007 5:46 pm
Dear Marco,
it is perfectly possible for a second order simulation to be explosive. There is no condition I know off that permits to tell in advance.
The only solution would be to use Chris Sims' pruning algorithm, but it isn't implemented yet in Dynare
Best
Michel
it is perfectly possible for a second order simulation to be explosive. There is no condition I know off that permits to tell in advance.
The only solution would be to use Chris Sims' pruning algorithm, but it isn't implemented yet in Dynare
Best
Michel
- MichelJuillard
- Posts: 680
- Joined: Thu Nov 18, 2004 10:51 am
by sfahr » Tue Apr 01, 2008 9:43 am
For Dynare 3.065 there exists now a code for pruning. Have a look at the thread:
http://www.dynare.org/DynareWiki/NewFeatures *
NB: *new url
http://www.dynare.org/DynareWiki/NewFeatures *
NB: *new url
- sfahr
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- Joined: Thu Nov 15, 2007 9:29 am
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