Monte Carlo Estimation Exercise

Stochastic simulations
1

Dear All,
I trust you are well. I am trying to conduct a Monte-Carlo simulation exercise. The exercise is quite simple, generate a number of T x N data pseudo sets and estimate the model for each pseudo set. I thought that I would be able to do that by:

  1. replacing the dataset_.data with the simulated data (it turns out that the creation of a new dataset_ object is much easier than just replacing the data)
  2. using dynare_estimation_1(options_.varobs,’’) each time
    Unfortunately, it does work, dynare_estimation_1 seems to use always the same data set. I tried:
  3. clear dataset_
  4. clear -global dataset_
  5. clear(‘global’,‘dataset_’)
    Any suggestions would be extremely appreciated.
    Kostas
2

My guess is you provided a datafile to the estimation command so that the datafile is read out in every iteration. Try the approach at tests/dates/fs2000.mod · master · Dynare / dynare · GitLab

3

Dear Johannes,
Many many many thanks for your prompt reply. You are spot on!
Many thanks again.
Kostas