Solve options for stochastic simulation.
Syntax
model_name.innov var1 option [var2 option, var3 option, ...]
Follow the innov keyword with a list of model variables and options. If the variable is an endogenous variable (or add factor), it identifies a model equation and will use different options than an exogenous variable.
Options
Options for endogenous variables
“i” or “identity” | Specifies that the equation is an identity in stochastic solution. |
“s” or “stochastic” | Specifies that the equation is stochastic with unknown innovation variance in stochastic solution. Note: if a value has been previously specified in the positive_num option, it will be kept. |
positive_num | Specifies that the equation is stochastic with an equation innovation standard error equal to the positive number positive_num. Note: the innovation standard error is only relevant when used with the
Model::stochastic command, with the “v=t” option set. |
Options for exogenous variables
number | number specifies the forecast standard error of the exogenous variable. You may use “NA” to specify an unknown (or zero) forecast error. |
Examples
usmacro.innov gdp i
specifies that the endogenous variable GDP be treated as an identity in stochastic solution.
model01.innov cons 5600 gdp i cpi s
indicates that the endogenous variable CONS is stochastic with standard error equal to 5600, GDP is an identity, and CPI is stochastic with unknown innovation variance.
model01.innov govexp 12210
specifies that the forecast standard error of the exogenous variable GOVEXP is 12210.
Cross-references
See the discussion in
“Stochastic Options”.