The measurement equation file is a matlab function that requires 7 input variables and provides 3 output variables. The name that you can use for it is one that matlab supports for functions, i.e., it should only have English alpha-numeric characters.
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Table 4: Required input variables for the measurement equation file. |
The required input variables are specified above in Table 4. Please note that the names of the input variables are local to the function and can therefore be any valid names for variables in matlab. The names I have chosen simply reflect the notation used elsewhere in YADA.
The measurement equation file needs to supply 3 output arguments. These are the matrices connected with the measurement equation as it has been defined in the YADA Manual.
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Table 5: The required output variables for the measurement equation file. |
The dimensions for the matrices implies that the measurement equations in YADA are expressed as:
yt = A'xt + H'ξt+ wt
where y is the n-dimensional vector of observed variables, x the k-dimensional vector of exogenous variables, ξ the r-dimensional vector of state variables, and w the n-dimensional vector of independent measurement errors identically distributed as N(0,R).
Similarly, the state equations (the solution of the DSGE model) in YADA are expressed as
ξt = Fξt-1+ B0ηt
where η is a q-dimensional vector of independent structural shocks distributed as N(0,I). The matrices F and B0 can be obtained inside the measurement equation file via the the fields YADA.F and YADA.B0 in the ModelParameters structure.
The matrices A, H, and R receive new values through the ModelParameters structure. The string matrices with names of observed, exogenous and state variables can be used to locate the correct positions in these matrices for the parameters that should enter them. The dimensional variables can be used to initialize the output matrices. Note that YADA can handle a time-varying measurement matrix H by letting it be 3-dimensional; cf. Table 5. Whenever the output matrix H is 3-dimensional, YADA treats it as time-varying.
Additional Information
• | A more detailed description about how to setup the measurement file can also be found in Section 17.4 of the YADA Manual. |
• | An example file is located in the directory "example\AnSchorfheide" directly below the base directory for YADA. The file is simply called "MeasurementEqFile.m". |
• | Further example measurement equation files are located in the "LubikSchorfheide" and "SmetsWoutersAER" directories in the "example" directory. |
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