I am a beginner in the study of New Keynesian models. I recently discovered this tool (Dynare) and I am trying to use it along with Octave.
I would like to know if Dynare is capable of estimating coefficients and unobservable variables present in the semi-structural model presented in the link below:
Unfortunately, the text is in Portuguese. The idea is that the model consists of 5 equations containing observable variables, unobservable variables, and coefficients. The author claims to estimate the coefficients and unobservable variables using Bayesian methods and the Kalman filter. Before you ask, I cannot contact the author. He does not respond to me.
I am going in circles. Could someone help me?
Is there any Dynare and semi-structural model course for beginners?
Are there any courses on how to build Bayesian algorithms and Kalman filters?
Thank you in advance for any assistance you can provide.
I saw on the Dynare website that there are summer courses about the package. I live in Latin America. Could I be a student in the course? If yes, how can I register?
I am trying to simulate a semi-structural model proposed by the IMF. The parameters are fixed (they have already been estimated - I just copied them) and I tried to find suitable initial values to solve it. When I run the model in Dynare on Octave, the following error appears:
DYNARE_SOLVE (solve_algo=2|4): the Dulmage-Mendelsohn decomposition returned a non-square block. This means that the Jacobian is s
ingular. You may want to try another value for solve_algo.
error: Impossible to find the steady state (the sum of squared residuals of the static equations is 2.2661). Either the model does
n’t have a steady state, there are an infinity of steady states, or the guess values are too far from the solution
error: called from
print_info at line 33 column 5
stoch_simul at line 119 column 5
driver at line 1022 column 27
dynare at line 310 column 5
I am a beginner in this area. I can’t find my mistake. Could someone help me?
It seems your model has one or more unit roots. In that case, there are infinitely many steady states and they cannot be endogenously computed. Please provide an analytical steady state.
Thank you very much, professor, for the response. You are helping me a lot to understand this new world I am studying. In order to better understand the subject, could you please provide me with an example of a model with one or more unit root that contains the mathematical expressions of the analytical steady state?
look like a unit root with drift. If DLA_CPI=0, any value for L_CPI would be a steady state. If DLA_CPI is different from 0, no steady state will exist.
Could you achieve good results, @adhrneto ?
I can recognize this model as the one developed by IMF Institute for Capacity Development.
The equation cited by @jpfeifer is, in fact, a simple definition. As a newbie in Dynare, it seems at least curious to me, as other software (Eviews and Iris) can handle them.