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[IrisToolbox] for Macroeconomic Modeling
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SVAR simulate with exogenous variables #394

Closed fbrazdik closed 8 months ago

fbrazdik commented 8 months ago

In SVAR model with exogenous variables: ylist = ["IE3R" "IE1R" "PI" "CZKEUR" "I" "Y_gap" ]; v = VAR(ylist, 'Exogenous', {'HICP_EA','PPI_EA_energy'},'Order', p); [sv, svdata] = SVAR(v,vdata, 'method', 'chol', 'reorder', [6,5,4,3,2,1]); the results of simulation of the model, where d includes also exogenous variables: sv_sim = simulate(sv,d,sim_range(1)+p:sim_range(end)); results in something that looks like exogenous variables are ignored. Also, sv_sim includes zeros for exogenous variables as output. It would be convenient that simulate passes exogenous variables from d to its output.

Is there something that I missed? What am I doing wrong?

fbrazdik commented 8 months ago

Not simulate, but filter should be used when the est_range is different from sim_range. :-) [sv_m sv_sim] = filter(sv,d,sim_range(1)+p:sim_range(end));