Unfolding G3 matrix

[chico]

Dear all,

I’m having trouble unfolding the G3 matrix generated by Dynare (oo_.dr.g_3) in the 3rd order perturbation solution.
The G3 matrix must be unfolded in order to simulate from the policy functions simulations outside Dynare using the perturbation results.

This problem has afflicted other users that eventually managed to unfold the G2 matrix, see e.g. the discussion in:

viewtopic.php?f=1&t=2851#p6548

QUESTION: I wonder if anyone has ever managed to unfold the G3 matrix? (and how?)

Best regards,
chico

[SamuelHurtado]

I just posted code that does this, in the thread you linked:

Manipulating the decision rules

Hi, I’m trying to use the decision rules to calculate some asset prices. That is, I want to integrate over the shocks conditional on today’s values of the state variables (I don’t want to approximate the asset prices around the nonstochastic steady state as that doesn’t seem to work very well). Is there a function somewhere inside dynare that will help me do this automatically? I’m a bit worried about my ability to figure out how to unfold the big matrices for the third-order decision rules …