Problems with second order stoch_simul

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Problems with second order stoch_simul

Postby petrama » Wed Nov 21, 2007 6:22 pm

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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Postby 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
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Postby 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
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