I noticed that in a model of mine (here attached) the variance of the variables is different from that obtained with Dynare 3 (this being correct)
In particular you can see that the variance of the gov_shock_us ( computed as std_gov_shock_us^2/(1-rho_eps_g_s^2)) is very different from the one returned by Dynare_v4.
This is not always the case (in a smaller model with only 4 shocks things worked ok).
Does anybody know of a bug in the variances of Dynare 4?
(or does anybody spot a mistake I made)
two_country_bond_imp_problem.mod (24.2 KB)