Estimation under optimal discretion?


#1

Dear Dynare Team,

Is it possible to estimate a model under discretionary optimization?

While my model solves with discretionary_policy, when Dynare reaches the estimation command it returns a “dimension mismatch” error. The mismatch is for a single row, as in:

b(:,cols_b) = jacobia_(:,cols_j); in stochastic solver

I was wondering if Dynare is at all set up to do estimation after discretionary_policy.

Kind regards,
Anton


#2

Hi Anton

I do not know if dynare can do that yet (I got the same problem a while ago and it was not possible). But at Norges Bank the model of the bank is estimated under optimal policy. They use a modified dynare version used also in the paper on loose commitment by De Bortoli, Nunes, Maih. Maybe you want to contact Junior to ask for code sharing.


#3

Thanks a lot Paolo! I wonder if the Dynare team plans to implement this soon…