State Space representation Julia

Dynare Julia
1

Hi!
Say I write a model in a .mod file. I want to retrieve the matrices of the standard State space representation, is it possible to do that in the current state of Dynare Julia?
Thanks!

2

Yes, that should be possible. @MichelJuillard may fill in the details.

3

Please, send me your *.mod file and the state space representation that you would like to user and I will show you how to do it

4

That is great! I want to try some stuff with the model and this will be very helpful!

The .mod file is attached - it is a relatively large mode that I am working on matlabDynare.

The SS representation is can be the same as in Hamilton’s book:

\xi_{t+1} = F \xi_t +v_{t+1}
y_t = A'x_t + H'\xi_t + w_t

Or any other one you think is better
Thanks!!

model_julia.mod (19.3 KB)

5

So you want the state space after the solution of the linear rational expectation problem? In order to have a measurement equation, you need to specify some observed variables.
The solution of the LRE model provides only a transition equation

6

You are absolutely right, I updated the file above with the varobs block. If not possible, the transition equation only would be helpful already.

7

Here is a script that should give you a state space representation

\xi_{t+1} = F \xi_t + G v_{t+1}
y_t = H \xi_t

the state variables \xi contains all variables appearing all the variables appears in t-1 union the observed variables, y. The structural shocks, v, are multiplied by a coefficient matrix G. H in the measurement equation, is a selection matrix. There is no measurement errors.

ss.zip (467 Bytes)

1 Like
8

This is exactly what I needed!
I really appreciate your help.
Thanks!