Simulation with real data

I am not sure I understand your problem here. Are you trying to simulate the model with the TFP you observe? Is TFP the only shock exogenous variable in the model?

I assume that the TFP shock is the only source of randomness in the model:

\log A_t = \rho \log A_{t-1} + e_{A,t}

If you call the stoch_simul command, Dynare will simulate the model by taking draws for e_{A,t} in a normal distribution. If my understanding of your problem is correct, you want instead to simulate the model with the observed TFP. Here is what I would do:

  1. Compute recursively a sequence of innovations e_{A,T} consistent with your measure of TFP (assuming you have an initial condition A_0):
e_{A,t} = \log A_t - \rho \log A_{t-1}\quad \text{ for }t=1,\dots,T
  1. You need to call an internal matlab routine called simult_ (available in the matlab subfolder) providing the sequence (in a vector) obtained in the previous step as the third input (ex). You will figure out easily how to call this function by looking how we do it in Dynare (look at stoch_simul.m and simult.m in the same folder).

Best,
Stéphane

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