Le mercredi 30 septembre 2009 à 17:58 +0200, Marco Ratto a écrit :
I some questions, mostly related to analytic derivatives of the model w.r.t. parameters: how does this affect the analytic derivatives w.r.t. parameters?
The idea is that the preprocessor transforms a model with leads and lags
=2 in a model with one lead and one lag, in a way which is meant to be
completely transparent to the MATLAB routines. For example, the structure M_.endo_names contains the new auxiliary variables. The output of the transformation is still a valid Dynare model; the only difference is that it has more equations/endogenous than what the user declared.
I think this doesn't change much, except that you will also have the derivatives of equations which were added during the transformation.
Morever, do dr.ghx and dr.ghu now include the auxiliary variables lines (which up to now had to be reconstructed in kalman_transion_matrix)?
Yes.
Finally, all info in dr and M_ will be in a way that only one lead an lag is present (kstate, lead_lag_incidence, ...)?
Yes.