Converge Check on Born/Pfeife(AER2014)

Hi,

In Born and Pfeifer_2014, A comment AER paper that solve the third order perturbation DSGE model. To plot the IRF, we need the ergodic mean. In their shared code, they do not provide additional convergence check. Is there any idea to conduct this converge check. Since their shared code is special for the parameterization. While implementing the ideas to other codes/model, we cannot guarantee the steady_state is converged.

Best,
House

We did not add it to the code for the AER, but we checked for convergence. It can easily be implemented as in https://git.dynare.org/JohannesPfeifer/dynare/blob/Andreasen/matlab/IRFS/get_ergodic_mean_no_shocks.m

Dear Professor,

Thanks for the information. It helps.

Best,
House

Dear Professor,

Just one more question, in the github code you provide in the links, I find that is inconsistent with the language of Dynare version 4.5.6. For instance, options_.irf_opt cannot be recognized. And I also check the dynare manual and find no clue on “irf_opt”. Could you please illustrate?

Best,
House

Those codes belong to a development branch of Dynare that is not yet functional. I linked to the code to show you the general logic. Just simulate a long series and check whether

   abs_change_EM=max(abs(out_noshock(:,end)-out_noshock(:,end-500)));

is close to 0

Dear Professor,

Thanks for the information. Now I understand the logic.

Best,
House