Dear everyone,

I am trying to rebuild a model (manually log-linearized) and therefore need an AR(2) process to simulate the effect of a fiscal stimulus.

Unfortunately dynare does not compute the correct values in the time series. It is a non-stochastic model. Therefore I use an initial value.

I assume a government spending of 0.32:

initval;

g = 0.32;

end;

and use the following model equation:

model(linear);

g = 1.653*g(-1)-0.672*g(-2);

end;

Since the first value is already given g(1) should be the inital value of 0.32 which actually works.

The following values of the time series (manually calculated) should be

0.5290

0.6594

0.7345

0.7710

0.7809

But dynare creates a series with:

0,313996800000000

0,304073510400000

0,291703022323200

0,277920674553945

0,263448452761839

I tried a lot, but it seems dynare doesnâ€™t calculate the values if one of the multipliers is larger than one.

Is this a bug or am I doing something wrong? I am using the latest dynare release 4.4.1.

Thanks for your help.

Best

Florian