Conditional forecast-constrained paths of different lengths

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Conditional forecast-constrained paths of different lengths

Postby vn13 » Tue Jul 22, 2014 8:33 pm

Dear Dynare users,

Is it somehow possible (or is it planned to be implemented in next releases) to perform conditional forecasting using constrained paths of different lengths? For example, I want to constrain the interest rate path for the next 4 periods, but the exchange rate for the next quarter only.

Trying to do this with ‘conditional_forecast’ resulted in obvious error of
conditional_forecast_paths: all constrained paths must have the same length!


I did not manage yet to successfully use the ‘flip_plan’ procedure for conditional forecasting, but some preliminary attempts with different lengths for individual constrained paths resulted in error:

Attempted to access constraint_index.%cell(2); index out of bounds because numel(constraint_index.%cell)=1.

Error in det_cond_forecast (line 427)
indx_x(l2) = length(controlled_varexo) + pf * (ii - 2) + constraint_index{k + ii - 1}(pf_c);


With ‘perfect_foresight’ option and equal lengths of constrained paths, the simulation is performed fine (although I still have some issues interpreting the results).

Thank you!
vn13
 
Posts: 4
Joined: Tue Jul 22, 2014 7:39 pm

Re: Conditional forecast-constrained paths of different leng

Postby jpfeifer » Wed Jul 23, 2014 8:57 am

I added this as a user request for the future: https://github.com/DynareTeam/dynare/issues/699
But don't expect this to be implemented in the near future.
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
jpfeifer
 
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Location: Cologne, Germany

Re: Conditional forecast-constrained paths of different leng

Postby vn13 » Wed Jul 23, 2014 11:32 am

OK.

Thanks a lot!
vn13
 
Posts: 4
Joined: Tue Jul 22, 2014 7:39 pm


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