3.7-3.9求解結(jié)果分析調(diào)用、隨機(jī)模擬和irf

1、3.7求解結(jié)果分析和調(diào)用3.8隨機(jī)模擬stoch_simul 3.9 IRF 分析OutlineResults in MatlabHow simulation performed in Dynare?How IRF are calculated in Dynare?Run Dynare mod file dynare GrowthApproximate_exp Configuring Dynare .mex Generalized QZ.mex Sylvester equation solution.mex Kronecker products.mex Sparse kronecker pro

2、ducts.mex Bytecode evaluation.mex k-order perturbation solver.mex k-order solution simulation. Starting Dynare (version 4.2.0).Starting preprocessing of the model file .Found 6 equation(s).Evaluating expressions.doneComputing static model derivatives: - order 1Computing dynamic model derivatives: -

3、order 1Processing outputs .donePreprocessing completed.Starting MATLAB/Octave computing.Steady state and rank conditionSTEADY-STATE RESULTS: y 0.611448c 0.39987k 3.37721i -1.04564lab -1.23239z 0 EIGENVALUES: Modulus Real Imaginary 0.95 0.95 0 0.9783 0.9783 0 1.036 1.036 0 Inf Inf 0 Inf Inf 0There ar

4、e 3 eigenvalue(s) larger than 1 in modulus for 3 forward-looking variable(s) The rank condition is verified.MODEL SUMMARY Number of variables: 6 Number of stochastic shocks: 1 Number of state variables: 2 Number of jumpers: 3 Number of static variables: 2MATRIX OF COVARIANCE OF EXOGENOUS SHOCKSVaria

5、bles e e 0.000049 POLICY AND TRANSITION FUNCTIONS y c k i lab z Constant 0.611448 0.399870 3.377211 -1.045638 -1.232394 0k(-1) 0.289673 0.549239 0.978257 -0.811923 -0.183878 0z(-1) 1.343599 0.417579 0.063284 5.273631 0.655998 0.950000e 1.414315 0.439557 0.066614 5.551191 0.690524 1.000000The first l

6、ine is the steady states of log-level variablesexp(3.377211) = 29.288520 MOMENTS OF SIMULATED VARIABLESCORRELATION OF SIMULATED VARIABLESAUTOCORRELATION OF SIMULATED VARIABLESTotal computing time : 0h00m04sGrowthApproximate.modPOLICY AND TRANSITION FUNCTIONS c k lab z Constant 1.491626 29.288520 0.2

7、91593 0k(-1) 0.028175 0.977868 -0.001880 0z(-1) 0.598385 1.900349 0.197182 0.950000e 0.629879 2.000368 0.207560 1.000000The first line is the steady states of level variablesWe have the same defintion for technology shock z at both mod file and hence they have the same steady states.GrowthApproximat

8、e.modThree objectsM_: Structure containing various information about the model.options_: Structure contains the values of the various options used by Dynare during the computation.oo_: Structure containing the various results of the computations.M_ fname: GrowthApproximate_exp params: 7x1 double bva

9、r: exo_names: e exo_names_tex: e endo_names: 6x3 char endo_names_tex: 6x3 char param_names: 7x3 char param_names_tex: 7x3 char exo_det_nbr: 0 exo_nbr: 1 endo_nbr: 6 param_nbr: 7 orig_endo_nbr: 6 aux_vars: Sigma_e: 4.9000e-05 H: 0 lead_lag_incidence: 3x6 double equations_tags: exo_names_orig_ord: 1 m

10、aximum_lag: 1 maximum_lead: 1 maximum_endo_lag: 1 maximum_endo_lead: 1 maximum_exo_lag: 0 maximum_exo_lead: 0 NNZDerivatives: 3x1 double unit_root: 0 exo_det_length: 0 sigma_e_is_diagonal: 1oo_ exo_simul: 1000 x1 double endo_simul: 6x1000 double dr: 1x1 struct exo_steady_state: 0 exo_det_steady_stat

11、e: exo_det_simul: steady_state: 6x1 double mean: 6x1 double var: 6x6 double autocorr: 6x6 double 6x6 double 6x6 double 6x6 double 6x6 double irfs: 1x1 structStochastic Simulationendo_simul: 6x1000 double Size: 6*1000, 6 endogenous variables; period=1000;exo_simul: 1000 x1 doubleWe only have one exog

12、enous shock: eHow Dynare performs Simulation?Exogenous shocks% simulation for technology shockee=oo_.exo_simul(1:100,1); %draw from standard normalzz=zeros(100,1);zz(1,1)=rho*0+ee(1,1); %the first value; for t=2:100 zz(t,1)=rho*zz(t-1,1)+ee(t,1); end%the 6th row is the technology variable zzz oo_.en

13、do_simul(6,1:100) % there are the sameEndogenous variables simulationSee GrowthApproximate_exp_simulation.mThis file should run after we run Dynare mod file.This m file will tell you how Dynare perform stochastic simulation behind the scene. Our simulation results in this m file will compare to the

14、output from Dynare.More simulation examples can be found Chapter 1,section 1.1.4, BK method. How IRF are calculated in Dynare?IRF, impulse response function of endogenous variables to a exogenous shock.First period one unit of shock and zero afterward. See 2nd cell of GrowthApproximate_exp_simulatio

15、n.mComparing IRF and steady statesCompare two mod files (level and log-level) about IRF and steady states.See 3rd cell of GrowthApproximate_exp_simulation.mSummaryThe essence from simulation: You should understand how we retrieve the model solution representation from oo_ object. And what is the order of variables in the solution you just retrieve from Dynare output. Th