Dear all,
I have another question on the dynare_sensitivity tool. I was playing around with the irf_calibration option to see which parameters drive the positive response of my shot-term debt stock after a positive technology shock.
My code was the following:
estimated_params;
etas , uniform_pdf, , , 1,2;
etasb , uniform_pdf, , , 1,2;
etal , uniform_pdf, , , 1,2;
etalb , uniform_pdf, , , 1,2;
betta , uniform_pdf, , , 0.96, 0.99;
xi , uniform_pdf, , , 0.25, 0.55;
mu , uniform_pdf, , , 0.025, 0.05;
alfa , uniform_pdf, , , 0.30, 0.40;
tau , uniform_pdf, , , 0.10, 0.45;
theta , uniform_pdf, , , 1.2, 5;
thetab , uniform_pdf, , , 1.2, 5;
piD , uniform_pdf, , , 0.001, 0.005;
piDb , uniform_pdf, , , 0.01, 0.05;
piN , uniform_pdf, , , 0.001, 0.005;
piNb , uniform_pdf, , , 0.01, 0.05;
K_0b , uniform_pdf, , , 6, 11;
rho , uniform_pdf, , , 0.8, 0.99;
gamma , uniform_pdf, , , 2, 5;
end;
irf_calibration;
@#for ilag in 1:20
Bsg_obs(@{ilag}), e, [0, inf];
@#endfor
end;
varobs ws;
dynare_sensitivity(prior_range=0,stab=0, Nsam = 2048, graph_format=(fig));
So, first I specified the prior distributions of (almost all) parameters of my model, further, the IRF restriction to give me a positive response of short-term debt (Bsg_obs) in the first 20 periods and used the option to not perform the stability analysis again. Unfortunately ( and as I expected), my model is able to produce this positive response only for very few parameter from the prior support (the Smirnov test indicates that around 0.9% of the prior support fulfills this restriction). So far so good.
However, what worries me a lot is that my plot of the IRF restriction looks very weird. V1_prior_irf_restrictions.fig (24.4 KB)
The IRF bands on the graph are oscillating 
Could maybe complex eigenvalues create this problem? I was already asking the question about complex eigenvalues a couple of weeks ago Where do the eigenvalues belong to? and if this creates any problem. Indeed, in this model, I have a complex eigenvalue but only on the UNSTABLE root, which did not create any problems (my impulse responses converged smoothly without oscillation to zero).
In another model version (which is quite different from this one), I have this oscillation problem already when simulating the model. From trial and error, I found our that this phenomenon appears always when a STABLE root is complex. (I was already checking the timing conventions and the equations for several times without finding a mistake )
Could it be that for some parameter values the complex eigenvalue “shifts” from the unstable root to the stable one and causes this result? How can I find out if this is the problem and do you have any suggestions how to solve this issue?
Many many thanks in advance!! 