I am trying to estimate Bansal-Yaron 2004 (JoF) equations 8 (page 1487 on the published verdion) using consumption and dividend growth rates.
I´m getting no dynamics for the stochastic volatility process (the shock is always zero as the estimated series)
Can anyone take a look at the code (attached) and tell me where I am doing a mistake?
(Note: I use dynare under linux (no excel!) so my data are in a mat file (attached). If you want to test the code please rename the data_mine.xls to data_mine.mat)