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Clarify the issue with the steady state in models with non stationary forcing variables.

time-shift
Stéphane Adjemian (Charybdis) 2013-06-28 23:52:08 +02:00
parent 06ef8fce30
commit c230ed53c0
1 changed files with 7 additions and 9 deletions
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doc/dynare.texi
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@ -2855,6 +2855,7 @@ steady;
@end deffn
@anchor{equation_tag_for_conditional_steady_state}
@node Replace some equations during steady state computations
@subsection Replace some equations during steady state computations
@ -4634,16 +4635,13 @@ Uses the diffuse Kalman filter (as described in
When @code{diffused_filter} is used the @code{lik_init} option of
@code{estimation} has no effect.
When there are nonstationary variables in a model, there is no unique
deterministic steady state. The user must supply a MATLAB/Octave
function that computes the steady state values of the stationary
variables in the model and returns dummy values for the nonstationary
ones. The function should be called with the name of the @file{.mod}
file followed by @file{_steadystate}. See @file{fs2000_steadystate.m}
in @file{examples} directory for an example.
When there are nonstationary exogenous variables in a model, there is no unique deterministic steady state. For instance, if productivity is a pure random walk:
Note that the nonstationary variables in the model must be integrated
processes (their first difference or k-difference must be stationary).
@math{a_t = a_{t-1} + e_t}
any value of @math{\bar a} of @math{a} is a deterministic steady state for productivity. Consequently, the model admits an infinity of steady states. In this situation, the user must help Dynare in selecting one steady state, except if zero is a trivial model's steady state, which happens when the @code{linear} option is used in the model declaration. The user can either provide the steady state to Dynare using a @code{steady_state_model} block (or writing a steady state file) if a closed form solution is available, @pxref{steady_state_model}, or specify some constraints on the steady state, @pxref{equation_tag_for_conditional_steady_state}, so that Dynare computes the steady state conditionally on some predefined levels for the non stationary variables. In both cases, the idea is to use dummy values for the steady state level of the exogenous non stationary variables.
Note that the nonstationary variables in the model must be integrated processes (their first difference or k-difference must be stationary).
@item selected_variables_only
Only run the smoother on the variables listed just after the