Hi,
Would anyone explain how the third order approximation is organized in Dynare? What each element in g3 means?
Thanks in advance!
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third order approximation
by locuas » Tue Jan 19, 2010 10:59 pm
- locuas
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Re: third order approximation
by MichelJuillard » Thu Jan 21, 2010 1:34 pm
Hi there,
g_0, g_1, g_2 and g_3 are the derivatives of the decision rule divided by the Taylor coefficient (1/k!) where k is the order of the derivative. Symmetric derivatives are stored only once in the order of a multidimensional index going thru the state variables of the model and the shocks in their order of declaration.
This is the same storage scheme as Dynare++ (See http://www.dynare.org/documentation-and ... torial.pdf, page 24, dyn_g_order).
Best
Michel
g_0, g_1, g_2 and g_3 are the derivatives of the decision rule divided by the Taylor coefficient (1/k!) where k is the order of the derivative. Symmetric derivatives are stored only once in the order of a multidimensional index going thru the state variables of the model and the shocks in their order of declaration.
This is the same storage scheme as Dynare++ (See http://www.dynare.org/documentation-and ... torial.pdf, page 24, dyn_g_order).
Best
Michel
- MichelJuillard
- Posts: 680
- Joined: Thu Nov 18, 2004 10:51 am
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