Bug in analytical computations of second-order params derivs (d2A and d2Om)
getH.m) does not compute the second-order derivatives
d2Om correctly when using analytical derivatives (kronflag=0|1). If we use numerical derivatives (kronflag=-1|-2) the computations are correct.
To replicate the bug, I looked at the Brock and Mirman model (i.e. RBC model with log utility and full depreciation), where we know analytically the policy functions, i.e. also the Kalman transition matrices of a first-order approximation (A, B and Om) analytically. Hence, using symbolic computations it is possible to compute the true
d2Om and compare the values to dynare.
Here is a mod file to replicate the bug:
and the corresponding matlab file that computes the true objects of the Brock Mirman Model analytically using Matlab's symbolic toolbox:
@rattoma is already aware of this bug.