OSR and the decision rule


#1

I am writing a loop with OSR in order to compute the efficient frontier similar CGG (1999). More specifically, I am changing the weight on inflation in the OSR objective function. Here is the loop part:

for ii = 1:length(piwgtvec)
    set_param_value('piwgt',piwgtvec(ii));
    [oo_.dr,info,M_,options_,oo_] = resol(0,M_,options_,oo_);
    oo_.osr = osr(var_list_,M_.osr.param_names,M_.osr.variable_indices,M_.osr.variable_weights);
    disp(oo_.osr.optim_params);
    info = stoch_simul(var_list_);
    if info
        disp(['Computation failed for piwgt =' num2str(piwgtvec(ii))])
    end
    ygapstd = ModelStdev({'ygapt'},oo_,M_);
    pistd = ModelStdev({'pit'},oo_,M_);
    vol_pairs(ii,:) = [pistd ygapstd];
end

Note that piwgtvect is a vector of weights on inflation and ModelStdev is my own function that allows me to pull the relevant standard deviations. Am I doing this correctly? I have a suspicion that I have not manage to get Dynare to resolve the model and compute the new standard deviations…


#2

That snippet looks OK, but it is hard to tell without the full files to run.


#3

Thank you!