display_conditional_variance_decomposition.m (line 40)

Dynare help (legacy posts)
1

there is a problem with display_conditional_variance_decomposition.m (line 40) :

StateSpaceModel.sigma_e_is_diagonal = M_.sigma_e_is_diagonal;

it should probably read:

StateSpaceModel.sigma_e_is_diagonal = diag(M_.Sigma_e);

there is no

in

2

Hi,

Sorry, but there is a “M_.sigma_e_is_diagonal”, at least in recent versions of Dynare.

Which version are you using? Is it possible that you are mixing recent M files with an older version of the preprocessor?

Best

3

I also encountered the same problem with conditional_variance_decomposition. I think M_.sigma_e_is_diagonal is not defined, at least when the program reaches conditional_variance_decomposition.m (I am using the last version).

In my case, all the shocks are orthogonal, so I commented out some of the lines in the if-end block of the conditional_variance code, and it works fine. I guess if the shocks are not orthogonal (i.e. sigma_e is not diagonal), then the program would have to do a Cholesky decomposition first.