Indicates that the correlation between the exogenous variables
@var{VARIABLE_NAME1} and @var{VARIABLE_NAME2}, or the correlation of
the observation errors associated with endogenous observed variables
@var{VARIABLE_NAME1} and @var{VARIABLE_NAME2}, is to be estimated
the observation errors/measurement errors associated with endogenous observed variables
@var{VARIABLE_NAME1} and @var{VARIABLE_NAME2}, is to be estimated. Note that correlations set by previous @code{shocks}-blocks or @code{estimation}-commands are kept at their value set prior to estimation if they are not estimated again subsequently. Thus, the treatment is the same as in the case of deep parameters set during model calibration and not estimated.
estim_params_.nvn_observable_correspondence=NaN(nvn,1);% stores number of corresponding observable
ifisequal(M_.H,0)
nvarobs=size(options_.varobs,1);
M_.H=zeros(nvarobs,nvarobs);
...
...
@@ -83,7 +84,7 @@ if nvn
ifisempty(obsi_)
error(['The variable 'deblank(M_.endo_names(estim_params_.var_endo(i,1),:))' has to be declared as observable since you assume a measurement error on it.'])
estimation(mode_compute=9,order=1,datafile=fsdat_simul,mode_check,smoother,filter_decomposition,forecast = 8,filtered_vars,filter_step_ahead=[1,3],irf=20) m P c e W R k d y gy_obs;
estimated_params;
//alp, beta_pdf, 0.356, 0.02;
gam, normal_pdf, 0.0085, 0.003;
//del, beta_pdf, 0.01, 0.005;
stderr e_a, inv_gamma_pdf, 0.035449, inf;
stderr e_m, inv_gamma_pdf, 0.008862, inf;
corr e_m, e_a, normal_pdf, 0, 0.2;
stderr gp_obs, inv_gamma_pdf, 0.001, inf;
//stderr gy_obs, inv_gamma_pdf, 0.001, inf;
//corr gp_obs, gy_obs,normal_pdf, 0, 0.2;
end;
estimation(mode_compute=0,mode_file=fs2000_corr_ME_mh_mode,order=1,datafile=fsdat_simul,mode_check,smoother,filter_decomposition,mh_replic=2000, mh_nblocks=2, mh_jscale=0.8,forecast = 8,bayesian_irf,filtered_vars,filter_step_ahead=[1,3],irf=20) m P c e W R k d y;
