Two potential problems about Dynare and the Reference Manual

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Two potential problems about Dynare and the Reference Manual

Postby bingye » Tue May 31, 2016 3:45 am

My version is 4.4.3

1. It is said in page 63 of Reference Manual:
"After estimation with Metropolis iterations (option mh_replic > 0 or option load_mh_file set) the parameters M_.params and the variance matrix M_.Sigma_e of the shocks are set to the posterior mean."

No. I use the following command:
estimation(datafile=mydata_datafab_lev,mode_compute=4,mh_replic=2000,mh_nblocks=2,mh_drop=0.45,mh_jscale=0.6);
But "M_.params" just stores the mode.
This may lead to another problem. That is, if I try to plot IRFs by adding the following command:
stoch_simul(conditional_variance_decomposition=[1 2 4 8 16]) c i y lab u ele w GR pi;
It is in fact the mode of the parameters used. I compare this plot and that generated by a model given parameter values as the posterior mean, there are different. However, if I let the parameter values as the posterior mode, they are the same.

2. About historical and smothed variables

I estimate a model without measurement errors and stochastic singularity with the following command:

varobs y_obs i_obs pi_obs;
estimation(datafile=mydata_datafab_lev,mode_compute=6,mh_replic=10000,mh_nblocks=2,mh_drop=0.45,mh_jscale=0.6,moments_varendo,selected_variables_only,conditional_variance_decomposition=[1 2 4 8 16]);

A problem arises: Historical series of pi_obs is far different from its smoothed series.
The two become the same if I delete the last three options in the estimation block and use the following command:
estimation(datafile=mydata_datafab_lev,mode_compute=6,mh_replic=10000,mh_nblocks=2,mh_drop=0.45,mh_jscale=0.6)
bingye
 
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Re: Two potential problems about Dynare and the Reference Ma

Postby jpfeifer » Wed Jun 01, 2016 9:02 am

1. This is a known bug that has been fixed in the unstable version: http://www.dynare.org/DynareWiki/KnownBugs
2. Could you please try the unstable version, see whether the problem persists, and then report back. If it persists, please send me the files, e.g. via email.
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
jpfeifer
 
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Location: Cologne, Germany

Re: Two potential problems about Dynare and the Reference Ma

Postby bingye » Sun Jun 05, 2016 3:39 pm

Hi, Johannes. The problem does not persist to the unstable version.

jpfeifer wrote:1. This is a known bug that has been fixed in the unstable version: http://www.dynare.org/DynareWiki/KnownBugs
2. Could you please try the unstable version, see whether the problem persists, and then report back. If it persists, please send me the files, e.g. via email.
bingye
 
Posts: 8
Joined: Wed Apr 20, 2016 12:40 am


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