I’ve just started using Dynare, and I run into a problem when I try to use shock_decomposition after having simulated data from the New Keynesian model. (I want to extract the structural shocks from the simulated data (with inflation and output as observables) using the Kalman smoother).
I tried the following code: (I’ve attached the whole .mod file too)
stoch_simul(periods=500, order=1, irf=0);
var_obs inflation output;
shock_decomposition(parameter_set=vector_parameters) inflation output;
But I get the following error:
Error using shock_decomposition (line 55)
shock_decomposition: option parameter_set is not
specified and posterior mode is not available
But I did save as a .mat file a vector of the parameters of the model, which I called vector_parameters.mat.
If anyone could help me with this problem, I’d be very grateful!
test_dynare_kalman.mod (1.09 KB)