We have some confusion regarding the use of the stoch_simul command to simulate a model with multiple lags.
Specifically, when specifying the initial state (which includes lags) when should we use histval and when should we use initval? How much information do we have to provide? Should we provide historical values for all variables or just for variables that have lags in the state. How does one determine which lags appear in the state? Does anything change if we wish to supply values for the exogenous shocks?
We have tried experimenting with a simple model but cannot get the results we expect from the simulation.
Basically, do you have any advice on using histval and initval?
[quote=“walshie00”]We have some confusion regarding the use of the stoch_simul command to simulate a model with multiple lags.
Specifically, when specifying the initial state (which includes lags) when should we use histval and when should we use initval?
[/quote]
inital is always necessary to provide initial guess values to find the steady state of a nonlinear model.
histval is used to provide initial values for simulations starting away from the steady state. It is the only way to specify different starting values at different lags away from the initial period
in histval you can only provide values for the state variables away from the steady state
all lagged variables belong to the state. It isn’t necessarily a minimal state representation, but it is the simplest approach.
In a stochastic simulation, you can’t supply value for exogenous shocks. Use rather a deterministic model
Best
Michel