Shock_decomposition for a calibrated model

Dynare help (legacy posts)
1

Hey everybody,

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!

Thanks!

Alexis
test_dynare_kalman.mod (1.09 KB)

2

Please provide the Dynare version you are using and the parameter vector file (upload a zip-file as mat-files are not allowed)

3

Thanks for the very quick reply!

I have the version 4.3.3 of Dynare and I’ve attached the .zip file containing the .mat file.
vector_parameters.zip (333 Bytes)

4

Try the most recent snapshot with the attached file. There still is a bug in the snapshot so that options_.smoother must be set manually.
test_dynare_kalman.mod (997 Bytes)

5

Thank you very much! It worked with the file you attached and with the most recent snapshot of the unstable version of Dynare.