wrong variance in dynare 4?

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wrong variance in dynare 4?

Postby lombard » Wed Apr 25, 2007 9:43 am

Hi,

I noticed that in a model of mine (here attached) the variance of the variables is different from that obtained with Dynare 3 (this being correct)

In particular you can see that the variance of the gov_shock_us ( computed as std_gov_shock_us^2/(1-rho_eps_g_s^2)) is very different from the one returned by Dynare_v4.

This is not always the case (in a smaller model with only 4 shocks things worked ok).

Does anybody know of a bug in the variances of Dynare 4?
(or does anybody spot a mistake I made)

Best,

Gianni
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lombard
 
Posts: 132
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Location: Basel

Postby lombard » Wed May 09, 2007 7:28 am

Hi,

It seems that Dynare_v4 returns messy results when there are redundant stochastic processes. In the model I posted earlier, there are a few innovations (and shocks) that (in that specification) are not active.

If you eliminate those shocks the problem disappears.

Importantly, if you run a stochastic simulation in Dynare_v3, the sample moments are also messy if you leave the redundant innovations.

Obviously it would be nice if this didn't happen. Meanwhile... stay clean and avoid redundant stochastic processes.

Gianni
lombard
 
Posts: 132
Joined: Wed Feb 02, 2005 12:36 pm
Location: Basel


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