diff --git a/doc/manual/source/the-model-file.rst b/doc/manual/source/the-model-file.rst index 3badb07a75e8ddf32f6d93c587e7b5cff28c6dfd..81309daee1f27e3636c7994305a373eee31091cb 100644 --- a/doc/manual/source/the-model-file.rst +++ b/doc/manual/source/the-model-file.rst @@ -12777,10 +12777,11 @@ that can be rewritten as a VAR(1). These models are used to form expectations. 0_n \end{pmatrix} - If the VAR does not have a constant, we remove the first line of the system - and the first column of the companion matrix :math:`\mathcal{C}.` Dynare - only saves the companion in ``oo_.var.MODEL_NAME.CompanionMatrix``, since that is - the only information required to compute the expectations. + assuming that we are dealing with a reduced form VAR. If the VAR does not + have a constant, we remove the first line of the system and the first column + of the companion matrix :math:`\mathcal{C}.` Dynare only saves the companion + in ``oo_.var.MODEL_NAME.CompanionMatrix``, since that is the only information + required to compute the expectations. *Options* @@ -12891,16 +12892,16 @@ that can be rewritten as a VAR(1). These models are used to form expectations. model; - [name='eq:x1', data_type='nonstationary'] + [name='eq:x1'] diff(x1) = a_x1_0*(x1(-1)-x1bar(-1))+a_x1_0_*(x2(-1)-x2bar(-1)) + a_x1_1*diff(x1(-1)) + a_x1_2*diff(x1(-2)) + + a_x1_x2_1*diff(x2(-1)) + a_x1_x2_2*diff(x2(-2)) + ex1; - [name='eq:x2', data_type='nonstationary'] + [name='eq:x2'] diff(x2) = a_x2_0*(x2(-1)-x2bar(-1)) + a_x2_1*diff(x1(-1)) + a_x2_2*diff(x1(-2)) + a_x2_x1_1*diff(x2(-1)) + a_x2_x1_2*diff(x2(-2)) + ex2; - [name='eq:x1bar', data_type='nonstationary'] + [name='eq:x1bar'] x1bar = x1bar(-1) + ex1bar; - [name='eq:x2bar', data_type='nonstationary'] + [name='eq:x2bar'] x2bar = x2bar(-1) + ex2bar; end; @@ -12911,18 +12912,18 @@ VAR expectations Suppose we wish to forecast a variable :math:`y_t` and that :math:`y_t` is an element of vector of variables :math:`\mathcal{Y}_t` whose law of motion is described by a VAR(1) model :math:`\mathcal{Y}_t = -\mathcal{C}\mathcal{Y}_t+\epsilon_t`. More generally, :math:`y_t` may +\mathcal{C}\mathcal{Y}_{t-1}+\epsilon_t`. More generally, :math:`y_t` may be a linear combination of the scalar variables in :math:`\mathcal{Y}_t`. Let the vector :math:`\alpha` be such that :math:`y_t = \alpha'\mathcal{Y}_t` (:math:`\alpha` is a selection vector if :math:`y_t` is a variable in :math:`\mathcal{Y}_t`, *i.e.* a column of an identity matrix, or an arbitrary vector defining the weights of a linear combination). Then the best prediction, in the sense of the minimisation of the RMSE, for -:math:`y_{t+h}` given the information in :math:`t-s` (we observe all the variables up to time :math:`t-s`) is: +:math:`y_{t+h}` given the information in :math:`t-\tau` (we observe all the variables up to time :math:`t-\tau`) is: .. math :: - y_{t+h|t-s} = \mathbb E[y_{t+h}|\mathcal{Y}_{\underline{t-s}}] = \alpha\mathcal{C}^{h+s} \mathcal{Y}_{t-s} + y_{t+h|t-\tau} = \mathbb E[y_{t+h}|\mathcal{Y}_{\underline{t-\tau}}] = \alpha\mathcal{C}^{h+\tau} \mathcal{Y}_{t-\tau} In a semi-structural model, variables appearing in :math:`t+h` (*e.g.* expected output gap in an IS curve or expected inflation in a Phillips @@ -12932,14 +12933,13 @@ incomes. Typically, consumption will depend on something like: .. math :: - \sum_{h=0}^{\infty} \beta^h y_{t+h} + \sum_{h=0}^{\infty} \beta^h y_{t+h|t-\tau} -The conditional expectation of this variable can be evaluated based on -the same auxilary model: +Assuming that $\beta<1$ and knowing the limit of geometric series, the conditional expectation of this variable can be evaluated based on the same auxiliary model: .. math :: - \mathbb E \left[\sum_{h=0}^{\infty} \beta^h y_{t+h}\Biggl| \mathcal{Y}_{\underline{t-s}}\right] = \alpha \mathcal{C}^s(I-\mathcal{C})^{-1}\mathcal{Y}_{t-s} + \mathbb E \left[\sum_{h=0}^{\infty} \beta^h y_{t+h}\Biggl| \mathcal{Y}_{\underline{t-\tau}}\right] = \alpha \mathcal{C}^\tau(I-\mathcal{C})^{-1}\mathcal{Y}_{t-\tau} More generally, it is possible to consider finite discounted sums. @@ -13059,8 +13059,8 @@ consistent expectations (MCE). To ensure that the endogenous variable :math:`y` is equal to its target :math:`y^{\star}` in the (deterministic) long run, *i.e.* that the error -correction is zero in the long run, we can optionally add a growth neutrality -correction to this equation. Suppose that the long run growth rate, for +correction term is zero in the long run, we can optionally add a growth neutrality +correction to this equation. Suppose that $g$ is the long run growth rate, for :math:`y` and :math:`y^{\star}`, then in the long run (assuming that the data are in logs) we must have: @@ -13087,7 +13087,7 @@ opposed to the part derived from the minimisation of a cost function): \Delta y_t = \lambda \left(a_0(y_{t-1}^{\star}-y_{t-1}) + \sum_{i=1}^{m-1} a_i \Delta y_{t-i} + \sum_{i=0}^{\infty} d_i \Delta y^{\star}_{t+i}\right) + (1-\lambda)\gamma'X_t +\varepsilon_t -where :math:`\lambda\in[0,1]` is the weight of the pure PAC equation. Or we can +where :math:`\lambda\in[0,1]` is the weight of the pure PAC equation, :math:`\gamma` is a :math:`k\times 1` vector of parameters and :math:`X_t` a :math:`k\times 1` vector of variables. Or we can simply add the exogenous variables to the PAC equation (without the weight :math:`\lambda`): @@ -13199,7 +13199,7 @@ of the infinite sum) are nonlinear functions of the autoregressive parameters and the error correction parameter. *Brayton et alii (2000)* shows how to estimate the PAC equation by iterative OLS. Although this approach is implemented in Dynare, mainly for comparison purposes, we also propose NLS -estimation which is much preferable (asymptotic properties of NLS being more +estimation, which is much preferable (asymptotic properties of NLS being more solidly grounded). @@ -13230,7 +13230,8 @@ solidly grounded). allows it, we impose constraints on the error correction parameter, which must be positive and smaller than 1 (it the case for ``'fmincon'``, ``'lsqnonlin'``, ``'particleswarm'``, and - ``'annealing'``). ``GUESS`` is a structure containing the initial + ``'annealing'``). The default optimisation algorithm is + ``'csminwel'``. ``GUESS`` is a structure containing the initial guess values for the estimated parameters. Each field is the name of a parameter in the PAC equation and holds the initial guess for this parameter. If some parameters are calibrated, then they @@ -13249,7 +13250,6 @@ solidly grounded). :: // Set the initial guess for the estimated parameters - clear eparams eparams.e_c_m = .9; eparams.c_z_1 = .5; eparams.c_z_2 = .2;