Asking for help:DSGE model

[dorratu]

Dear all,
I am a Phd student in economics working on monetary policy using the DSGE model.

There are several points we don’t quite understand regarding the dsge model, I’d be very grateful if someone can help me:

• Is it possible to use annual data to estimate a DSGE model with Bayesian technique? If not, can you recommend an interpolation method to convert annual data to quarterly frequency!

-Can you offer me an example (code dynare/matlab) for plotting an efficiency frontier! knowing that I used OSR to compute the optimal simple rule for given a value of the objective function weight.

[kofiemma]

Sure you can use annual data, but that will affect some parameters like \beta. I mean like \beta is kinda different for annual data and quarterly data. So yeah, you may need to make some adjustments in the model and in dynare also.

[jpfeifer]

1. Indeed there is no problem with using annual data. But the devil is in the details. Do you want to use annual data to estimate a quarterly model? And is all data annual or do you want to use mixed frequency?
2. For the efficiency frontier, see

Policy frontier

Starting with the unstable version of 12/18/2016 (Dynare 4.5), the following code should work for your mod-file % make loop silent options_.nofunctions=1; options_.nocorr=1; options_.noprint=1; options_.irf=0; options_.silent_optimizer=1; options_.osr.opt_algo=9; % find position of variables in variable_weights y_pos=strmatch('y_hat',M_.endo_names,'exact'); pi_pos=strmatch('pi_hat',M_.endo_names,'exact'); % find position of variables in var_list_ y_pos_var_list_=strmatch('y_hat',var_list_,'e…

[dorratu]

Dear j.pfeifer,
thank you for your response.
For the Bayesian estimate, I collected a quarterly database except that there are two variables that do not exist on a quarterly basis. So, I have to interpolate these two variables or I have to use an annual data for all the variables of the model.

[dorratu]

Dear,
thank you for your response.

[jpfeifer]

You can also do mixed frequency estimation. See e.g. Pfeifer(2013): “A Guide to Specifying Observation Equations for the Estimation of DSGE Models” where you can find an example.

[dorratu]

Dear,
thank you for your response.