Hi everyone, I am currently going through the codes of Benedikt Kolb, where he shows us how to maximise the likelihood of a New Keynesian model with a financial accelerator over one parameter. He uses Uhlig’s toolbox to solve the model but before he does that he matches the observables from the dat…

Hi Rob, this really just depends on the way the vector of endogenous variables is set up, ie in what order he put the variables. The way he did it is that Y is the fifth one, c number 6 etc. When he sets up the model in the large matrices, this is the order in which he types in the equations. I am …

This is a quick follow up question with regard to @DoubleBass ’ answer. Is there a way to set up the same H matrix with the help of the output of Dynare? In other words, once we have the solution of the model is it possible to link my endogenous variables to the observables using the M matrix approac…

Have a look at [image] IRFs from the ABCD state space representation General DSGE Modeling Hi everyone, I was thinking to quickly compare the IRFs produced by dynare with the ones of the state space retrieved from the ABCD test (to make sure everything is correct). For th…

Sorry @jpfeifer , one last question regarding this. In the link you posted, the corresponding matrix to H is C in Dynare, which we get using the kalman transition matrix file given the oo\_dr.ghx. In the ABCD test, you get the position of the observables using %get observable position in decision r…

The part % declare pseudo-states % 10) 0 = p_y(t) - y(t) % 11) 0 = p_c(t) - c(t) % 12) 0 = p_i(t) - i(t) % 13) 0 = p_pi(t) - pi(t) % 14) 0 = p_rn(t) - rn(t) % 15) 0 = cs(t) - (rk(t) - r(t)) in uhligsolve.m suggests that a trick was used to have the observables in the state matrix. It’s tough to…

Thanks @jpfeifer , that’s what I thought that it won’t be that easy.

If I were in your place, I would not aim at replicating the approach one for one, but rather to get a consistent state space representation for each approach and work with those.

Thanks @jpfeifer , annoyingly I thought I almost had it but then the H matrix seems to make things difficult. I will try what you said. I came across this post [image] Kalman Filter in Dynare vs MATLAB ML/Bayesian estimation Hello, I am having problem in replicating Dynar…

Did you see the that I have Kalman filter codes that replicate Dynare’s results at Johannes Pfeifer - Teaching

Matching observables from data into measurement equation

General DSGE Modeling

jpfeifer 1 December 2022 12:49 5

Have a look at