diff --git a/doc/dynare.texi b/doc/dynare.texi index 2a13b153f789d4e330313eb0be9094e3bd148329..575b5acda42e44f9e4c1e9af050c08f432f7f517 100644 --- a/doc/dynare.texi +++ b/doc/dynare.texi @@ -5958,8 +5958,8 @@ model by finding the structural shocks that are needed to match the restricted paths. Consider the an augmented state space representation that stacks both predetermined and non-predetermined variables into a vector @math{y_{t}}: - -@math{y_t=Ty_{t-1}+R\varepsilon_t} + +@math{y_t=Ty_{t-1}+R\varepsilon_t} Both @math{y_t} and @math{\varepsilon_t} are split up into controlled and @@ -5967,9 +5967,9 @@ uncontrolled ones to get: @math{y_t(contr\_vars)=Ty_{t-1}(contr\_vars)+R(contr\_vars,uncontr\_shocks)\varepsilon_t(uncontr\_shocks) +R(contr\_vars,contr\_shocks)\varepsilon_t(contr\_shocks)} - + which can be solved algebraically for @math{\varepsilon_t(contr\_shocks)}. - + Using these controlled shocks, the state-space representation can be used for forecasting. A few things need to be noted. First, it is assumed that controlled exogenous variables are fully under control of the policy @@ -5985,21 +5985,17 @@ perfectly under the control of the policy-maker, they are nevertheless random and unforeseen shocks from the perspective of the households. That is, households are in each period surprised by the realization of a shock that keeps the controlled endogenous variables at their respective level. -Fourth, due to the use of the above formula to compute the controlled -exogenous variables, only relationships between controlled exogenous -variables embedded in the matrix @math{R} are considered. This implies -that any correlation information embedded in the covariance matrix of the -@math{\varepsilon} as specified in the @code{shocks}-block are via -estimated correlations or covariances is ignored as the controlled -exogenous variables are assumed to be perfectly controlled without any -interdependence. Thus, if you want to specify/preserve a correlation -structure between controlled exogenous variables, you have to embedd that -correlation stucture directly in the model-block by e.g. having the same -shock enter different equations. - - -This -command has to be called after @code{estimation} of @code{stoch_simul}. +Fourth, keep in mind that if the structural innovations are correlated, +because the calibrated or estimated covariance matrix has non zero off +diagonal elements, the results of the conditional forecasts will depend on +the ordering of the innovations (as declared after @code{varexo}). As in VAR +models, a Cholesky decomposition is used to factorize the covariance matrix +and identify orthogonal impulses. It is preferable to declare the correlations +in the @code{model} block (explicitly imposing the identification restrictions), +unless you are satisfied with the implicit identification restrictions implied +by the Cholesky decomposition. + +This command has to be called after @code{estimation} or @code{stoch_simul}. Use @code{conditional_forecast_paths} block to give the list of constrained endogenous, and their constrained future path.