‘‘Thank you Stephane’’

Hi,

I am currently working on a new moment based estimation method and I want to compare my results with those of Bayesian estimation.

The performances of estimation methods are analysed using the distance between simulated moments and the momets of the actual data.

Hence, to do this comparison, I need to generate simulated moments.

I am doing this in my matlab codes independent from Dynare perhaps using an old fashion standard way. I basically generate a random vector of shocks for each period then impose them continously to the state space solution.

The issue here is that there is a notable diffirence between my simulated moments and the simulated moments generated by the Dynare for the same posterior means (model is solved using Gensys for both cases).

I have been trying to track the dynare codes used for simulating the model and I cant go any further since:

case 1

[err, y_] = dynare_simul_(1,dr.nstatic,dr.npred-dr.nboth,dr.nboth,dr.nfwrd,M_.exo_nbr, …

y_(dr.order_var,1),ex_’,M_.Sigma_e,options_.DynareRandomStreams.seed,dr.ys(dr.order_var),…

zeros(M_.endo_nbr,1),dr.g_1);

dynare_simul_ is a a compiled C file and seeing inside is not an easy task.

Therefore I wanted to ask this forum first. Is there any information shows the actual implementation of stochastic simulations in Dynare. Any information including a paper, book, web-site etc can be very very useful.

Many thanks in advance,

Evren