I'm surprised that the options of stoch_simul are not included in the options for estimation. I think it was the case in a far away past.
Looking at the options for stoch_simul, I realize that several deal with displaying options and other things not useful for estimation, but I think it would be better to keep in DynareBison.yy a subset of options relative to the computation of the solution and related statistics in one set that is then used for for stoch_simul and for estimation. Johannes remark on 'ar' but we should also provide, for example, for the posterior distribution of moments for HP-filtered variables. I don't think it is currently possible. This requires closer examination.
However, I disagree with two aspects of Johannes proposal: 'ar' should not trigger 'moments_varendo', it should be thought as a modifier of 'moments_varendo'. Having one name of the option for stoch_simul and one name for estimation, follows in fact from the desire to keep the options local to one command rather than global as it is mostly the case now. I'm convinced that we should move to local options, but if we start to give different names for options that do the same thing in different contexts, we will never advance on local options. (The case of 'replic' is different. There, we were using the same option name for two different things, done in stoch_simul: the number of replications to be used when simulating data and the number of replications to be used for computing IRFs ar order 2 and 3. I think that we right to introduce two different names in this case)
What do you think?
Best
Michel
On 08/08/2012 05:05 PM, Trac Dynare wrote:
#276: Add ar-option to estimation command --------------------------+----------------------- Reporter: jpfeifer | Owner: sebastien Type: enhancement | Status: new Priority: minor | Milestone: 5.0 Component: Preprocessor | Version: 4.3.0 Keywords: | --------------------------+----------------------- Currently, the ar-option is only allowed in {{{stoch_simul}}}. Its value then also tranfers to the computation of moments in {{{compute_moments_varendo.m}}}. We should explicitly implement ar in estimation. If specified, it should also trigger the {{{moments_varendo}}} option. This avoids setting {{{options_.ar}}} before the estimation command. Maybe we should split {{{options_.ar}}} into {{{options_.ar}}} for stoch_simul and {{{options_.var_endo_ar}}} for estimation in order for one command not to affect the computations from the other one as is currently the case.