Node:Sigma_e, Previous:shocks, Up:Shocks on exogenous variables
| Sigma_e | Command |
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SIGMA_E = [ MATRIX ELEMENT [,] MATRIX ELEMENT [,] ... ; MATRIX ELEMENT ... ]; MATRIX ELEMENT = (expression) or NUMBER The matrix of variance-covariance of the shocks can be directly specified as a upper (or lower) triangular matrix. Dynare builds the corresponding symmetrix matrix. Each row of the triangular matrix, except the last one, must be terminated by a semi-colon ';'. For a given element, an expression using predefined parameters is allowed but must be placed between parentheses. THE ORDER OF THE COVARIANCES IN THE MATRIX IS THE SAME AS THE ONE USED IN THE VAREXO DECLARATION. NOTE: In previous versions, it was possible to directly set Dynare's internal covariance matrix Sigma_e_. This is still possible for compatibility with older .mod files, but STRONGLY DISCOURAGED as too prone to error. When setting Sigma_e_ directly, the order of the exogenous shocks is the ALPHABETICAL order of their names. Example
varexo u, e; ... Sigma_e = [ 0.81 (phi*0.9*0.009); 0.000081];where the variance of u is 0.81, the variance of e, 0.000081, and the correlation between e and u is phi. |