Re: [DynareDev] Question regarding exo-lead substitution

Sébastien,

could you please take a look at it. I have the feeling that the Jacobian of the static model evaluated in model_diagnostics (jacob) is wrong. I don't understand the origin of jacob(8,14), after line 99. It must correspond to the auxiliary variable replacing s_f(+1), but the derivative should be equal to zero because s_fst=0.

I agree with Johannes that we should make it easier to relate the auxiliary variable and the exogenous one in M_.aux_vars.

Best,

Michel

Johannes Pfeifer writes:

Dear Michel and Sébastien,

currently Dynare substitutes exogenous lags and leads and adds equations. In the attached mod-file (ignore the complex parameter values which are the true problem for now), there are 12 endogenous variables. The preprocessor now says “Substitution of exo leads: added 3 auxiliary variables and equations.”

Running model_diagnostics delivers:

model_diagnostic: the Jacobian of the static model is singular

there is 1 colinear relationships between the variables and the equations

Colinear variables:

c

k

y

l

mc

R

w

pi

Colinear equations

 8    14

But originally, there are only 12 equations. Is there a certain rule where the auxiliary equations are included? Are they simply appended at the end so that I know to focus on equation 8 in this case? And how can I tell to which original exogenous variable equation 14 refers to?

If there is no easy answer to those two questions, I would suggest to

•      add the name of the original substituted variable as a field in
  

M_.aux_vars, which together with the type stored there should be sufficient for full identification.

•      Add the information about where the equations are appended to the
  

Wiki (http://www.dynare.org/DynareWiki/AuxiliaryVariables)

Moreover, regarding the Wiki: could it be that there is a typo and it should be “Aux var for endogenous with lag >= 1” instead of >=2 (and the same for endogenous leads)?

Best,

Johannes

--

Johannes Pfeifer

Haußerstr. 29

72076 Tübingen

Tel.: +49-(0)7071-6396184

Mobil.: +49-(0)170-6936820

Germany

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