How to replicate decision rule obtained from estimated model with stoch_simul

Stochastic simulations
1

issue:
I need to replicate the dr_.ghx and dr_.ghu files that I obtained from running a .mod that includes estimation and stoch_simul (stoch_simul is executed below estimation). However, when I run the identical .mod file without the estimation part and declare all parameters at the level of their posterior mean, I obtain a different decision rule.

How can I replicate the original ghx and ghu matrices by running stoch_simul?

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
%1) decision rule obtained from estimated model, saved in results file:
load('RE_original_estimation_results.mat')
dr_.ghx

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
%2) decision rule obtained from setting parameters at posterior_mean estimated
%   in "RE_original_estimation.mod":
options_.noprint=1;
dynare RE_model noclearall;
dr_.ghx

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
%3) decision rule obtained from running stoch_simul with setting parameters
%   at posterior_mean through the set_param_value function:

load("parameter_means.mat")
paramvalues = param_means;
paramnames = ["crhoa", "crhob", "crhog",... %feed parameter names in order of declaration in oo_.posterior_mean.parameters
    "crhoqs", "crhoms", "crhopinf", "crhow",... 
    "cmap", "cmaw", "csadjcost", "csigma",... 
    "chabb", "cprobw", "csigl", "cprobp", "cindw", "cindp","czcap",... 
    "cfc", "crpi", "crr", "cry", "crdy","constepinf",... 
    "constebeta", "constelab",'ctrend','cgy', "calfa"];
for k=1:length(paramnames)            %declare first set of parameters
            set_param_value(paramnames(:,k),paramvalues(k,1));
end
stoch_simul(var_list_); %simulate with these parameters
dr_.ghx

background:
I want to do this because I would like to construct bayesian credible intervals by sampling from the posterior distribution of the parameters. So as a check, I simulated the model with the parameter values at the estimated posterior mean where I expect to obtain the original decision rule and consequently simulate the original time series.

example_folder.zip (806.0 KB)
note: the file credibleinterval_example.m contains the above script and replicates my problem. The code is run in dynare 3.6.4

2

Do you need to use Dynare 3.6.4?

3

Unfortunately, yes. I am replicating Slobodyan & Wouters (2012) which depends on this version. For this specific code snippet a newer version might work, but since the rest ist done in dynare 3.6.4 I wanted to stick to that version.

4

Dynare 3.6.4 indeed seems to be the source of the error. The code replicates the original matrices under dynare 4.5.7.

5

How do you deal with the variances of the exogenous shocks? You seem to not be setting them. Also not that in Dynare 4.5 or higher you have a posterior function to do this. See

6

I set them directly in the .mod file to their posterior_mean values, because I did not manage to do so with the set_param_value function in dynare 3. Now that I do it in Dynare 4.5 I could change that. I will have a look at the posterior function. Thank you!