A note on minimality in Dynare

Saccal, Alessandro (2020): A note on minimality in Dynare.

Abstract

Since January 2014 this note and a manuscript entailing it have shown that the syntactic implication ‘Minimal linear time invariant state space representations if Dynare’ is false, with consequences on the vector autoregression representations of the states in the outputs. In 2020 the Dynare team materially adopted the remedy of reducing its representations to minimal ones, as this note and the manuscript entailing it had been suggesting. The interested Dynare user must still manually reduce the representation to minimality.

• Item Type: MPRA Paper
• Language: English
• Keywords: Dynare; minimality; state space.
• Subjects: C - Mathematical and Quantitative Methods > C0 - General > C02 - Mathematical Methods; C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models

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