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Get negative variance of variables in DYNARE++!
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Get negative variance of variables in DYNARE++!
by zhaoningru » Wed Dec 31, 2014 7:26 am
I wrote a model by myself and run it in DYNARE++. Unfortunately, I got negative variance for several variables. They are all close to zero. I guess this happened because of round error in underlying computation. Actually, their variances should be zero. Also, I think I have to do the simulation (dynare_simul) to get the correct variance for variables in my model. Am I correct? please help me!
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Re: Get negative variance of variables in DYNARE++!
by jpfeifer » Thu Jan 08, 2015 9:25 pm
Yes, variances should either be 0. Due to numerical error, they can be up to plus/minus 10^-8 or so. When simulating series and computing variances, they cannot be negative.
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