Dynare++ tutorial: add a note about the computation of IRFs when shocks are correlated
The treatment is different that that of Dynare. For more background, see https://forum.dynare.org/t/difference-between-high-order-approx-in-dynare-and-dynare/16570/4 By the way, make a few minor modernizations. [skip ci]time-shift
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@ -10,7 +10,7 @@
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\author{Ondra Kamen\'\i k}
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\date{February 2011, updated August 2016}
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\date{First version: February 2011 \\ This version: September 2020}
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\maketitle
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\tableofcontents
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@ -18,7 +18,7 @@
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\section{Setup}
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The Dynare++ setup procedure is pretty straightforward as Dynare++ is included in the Dynare installation
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packages which can be downloaded from \url{http://www.dynare.org}. Take the following steps:
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packages which can be downloaded from \url{https://www.dynare.org}. Take the following steps:
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\begin{enumerate}
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\item Add the {\tt dynare++} subdirectory of the root Dynare installation directory to the your
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operating system path. This ensures that your OS will find the {\tt dynare++} executable.
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@ -159,10 +159,7 @@ file {\tt example1.jnl} and a MATLAB MAT-4 {\tt example1.mat}. The
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journal file contains information about time, memory and processor
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resources needed for all steps of solution. The output file is more
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interesting. It contains various simulation results. It can be loaded
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into MATLAB or Scilab and examined.%
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\footnote{For MATLAB {\tt load example1.mat}, for Scilab {\tt
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mtlb\_load example1.mat}} The following examples are done in MATLAB,
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everything would be very similar in Scilab.
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into MATLAB or Octave and examined.
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Let us first examine the contents of the MAT file:
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{\small
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@ -431,7 +428,7 @@ vcov = [
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}
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After this model file has been run, we can load the resulting MAT-file
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into the MATLAB (or Scilab) and examine its contents:
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into the MATLAB and examine its contents:
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{\small
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\begin{verbatim}
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>> load kp1980_2.mat
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@ -628,7 +625,11 @@ reported. They might be useful for confidence interval calculations.
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For each shock, Dynare++ calculates IRF for two impulses, positive and
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negative. Size of an impulse is one standard error of a respective
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shock.
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shock.\footnote{Note that if the exogenous shocks are correlated, Dynare++ will
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ignore the correlation when computing the IRFs, and simulate the impulse on
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each shock independently of the others. Note that Dynare behaves differently
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in this case, and computes IRFs after performing an orthogonalization of the
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shocks (via a Cholesky decomposition of the variance-covariance matrix).}
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The rest of this subsection is divided to three parts giving account
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on real-time simulations, conditional simulations, and on the way how
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@ -924,7 +925,7 @@ This section deals with Dynare++ input. The first subsection
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\ref{dynpp_opts} provides a list of command line options, next
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subsection \ref{dynpp_mod} deals with a format of Dynare++ model file,
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and the last subsection discusses incompatibilities between Dynare
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MATLAB and Dynare++.
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and Dynare++.
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\subsection{Command Line Options}
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\label{dynpp_opts}
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@ -1143,7 +1144,7 @@ $t+1$. The realization of $u_t$ is included in the information set of
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$E_t$. See an explanation of Dynare++ timing on page \pageref{timing}.
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\end{itemize}
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The model equations are formulated in the same way as in MATLAB
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The model equations are formulated in the same way as in
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Dynare. The time indexes different from $t$ are put to round
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parenthesis in this way: {\tt C(-1)}, {\tt C}, {\tt C(+1)}.
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@ -1181,16 +1182,16 @@ Y-Y_SS = rho*(Y(-1)-Y_SS)+EPS;
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\end{verbatim}
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}
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\subsection{Incompatibilities with MATLAB Dynare}
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\subsection{Incompatibilities with Dynare}
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This section provides a list of incompatibilities between a model file
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for Dy\-na\-re++ and MATLAB Dynare. These must be considered when a model
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file for MATLAB Dynare is being migrated to Dynare++. The list is the
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for Dy\-na\-re++ and for Dynare. These must be considered when a model
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file for Dynare is being migrated to Dynare++. The list is the
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following:
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\begin{itemize}
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\item There is no {\tt periods} keyword.
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\item The parameters cannot be lagged or leaded, I think that Dynare
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MATLAB allows it, but the semantics is the same (parameter is a
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\item The parameters cannot be lagged or leaded; Dynare
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allows it, though the semantics is the same (parameter is a
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constant).
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\item There are no commands like {\tt steady}, {\tt check}, {\tt
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simul}, {\tt stoch\_simul}, etc.
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