I was solving a standard DSGE model, and I was looking for conditional variance of endogenous variables, like var(y_{t+k}|t) with respect to different horizon k.
As Dr. jpfeifer suggested in [Conditional variance), I changed conditional_variance_decomposition.m to get the conditional variance series.
My aim is comparative static analysis: the effect of different parameter values on conditional variance series.
My problem: no matter how I adjust the parameter values (including elasticity of substitution, and the exogenous variances), the conditional variance series never change, so I was wondering this variable “ConditionalVariance” in conditional_variance_decomposition.m, is it already treated/normalized by dynare?
Please see attached my mod-file and the modified matlab file. The problem is: No matter how I adjust the parameters “tau”(0<tau<1) or “phi”(0<phi<1), the conditional variance series stay the same.
I am aware that the ASYMPTOTIC variances should be independent of “tau” and “phi”, but I believe CONDITIONAL variance series should be sensitive to “tau” and “phi”.
Could you please tell me which parameter values you tried? Thanks in advance. Because as I tried different parameter values, the conditional variance series do not change.
The following is how I calculate the AGGREGATE conditional variance series (AGGREGATE means subject to all the shocks). Please let me know if I made any mistakes. Thanks a lot.
Since I was trying to get the aggregate conditional variance series, after I run “dynare revision”, I use the following matlab code to get the aggregate conditional variance series:
load conditionalvariance
A = sum(ConditionalVariance,3);
B = A';
Then the rows of matrix B is for different periods, and the columns of matrix B is for different variables.