Dear all,
there seems to be a bug
in dsge_simulated_theoretical_variance_decomposition
(present at least since Dynare 4.2.5) that apparently
sometimes leads to wrong output results. The critical part
is 116-134:
if linea ==
NumberOfDecompLines
if posterior
save([M_.dname '/metropolis/' M_.fname '_PosteriorVarianceDecomposition'
int2str(DecompFileNumber) '.mat' ],'Decomposition_array');
else
save([M_.dname '/prior/moments/' M_.fname '_PriorVarianceDecomposition'
int2str(DecompFileNumber) '.mat' ],'Decomposition_array');
end
DecompFileNumber = DecompFileNumber + 1;
linea = 0;
test =
DecompFileNumber-NumberOfDecompFiles;
if ~test% Prepare the last
round...
Decomposition_array =
zeros(NumberOfLinesInTheLastDecompFile,nvar*nexo);
NumberOfDecompLines = NumberOfLinesInTheLastDecompFile;
DecompFileNumber = DecompFileNumber - 1;
elseif test<0;
Decomposition_array =
zeros(MaXNumberOfDecompLines,nvar*nexo);
else
clear('Decomposition_array');
end
end
I don’t understand the
purpose of line 128 which is
DecompFileNumber = DecompFileNumber - 1;
We decrease the file
number by one, but after line 122 increased it by one. As a
result, if the model is large and the decomposition_array is
split up in several files, the last file name in the save
command gets the wrong number. For example, assume
NumberOfDecompFiles=2. Now in the second step of the loop,
we have DecompFileNumber=2 before entering the if-part. In
the if-part DecompFileNumber will be set to 1 again and will
be 1 when the save command is reached in the next iteration.
As a consequence, the
second Decomposition_array is written in file number 1 (and
overwrites the previous ones) instead of number 2. I haven’t
traced the consequences through the rest of
compute_moments_varendo, but it seems as if the erased
results are filled up with zeros, biasing the mean of the
variance decomposition to 0 (and also affecting other
statistics in a subtle way). At least that was how I noticed
the mistake when working with Dynare 4.2.5.
I think line 128 simply
needs to be deleted.
Best,
Johannes
--
Johannes
Pfeifer
Haußerstr.
29
72076
Tübingen
Tel.:
+49-(0)7071-6396184
Mobil.:
+49-(0)170-6936820
Germany