Using empirical probability distribution for exogenous variables

[jpfeifer]

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Stochastic Simulation based on Non-Normal Shocks

The problem is not really that Dynare does only support normally distributed shocks but that perturbation is used to solve the models and up to first order, only the mean and the variance of the shock distribution play a role. Thus, even a beta distribution is effectively approximated with a normal distribution for computing the model solution, because the distribution is fully characterized by its first two moments. A limitation of Dynare currently is that it does not allow for skewed distribut…

Drawing from non-normal distributions(uniform)in simulation

At first order, you have to change line 83 of the simult.m in the Dynare/matlab folder, which reads DynareResults.exo_simul(:,i_exo_var) = randn(nxs,DynareOptions.periods)'*chol_S; to something like DynareResults.exo_simul(:,i_exo_var) = 2*(rand(nxs,DynareOptions.periods)-0.5); Due to certainty equivalence, it does not matter that the shocks you are drawing now have a different standard deviation than is used for computing the decision rules. At higher order, this approach …