CEE 2005 model - complete a .mod file

General DSGE Modeling
1

I’ve got this .mod file with a Christiano, Eichenbaum and Evans (2005) model:
model_bignami.mod (6.7 KB)

I have to:

  1. Add the investments shock to the model.
  2. Complete the file with the new shock and the missing parts for the estimation, using the priors from Smets and Wouters (2007).
  3. Write the model again imposing the investments shock persistence equal to 0.

Could you please help me at this?

1 Like
2
  1. You mean Fisher (2006)-type investment specific technology shocks? Or Justiniano/Primiceri/Tambalotti (2011)-type marginal efficiency of investment shocks? I would recommend having a look at that paper at https://doi.org/10.1016/j.red.2010.08.004
  2. For most of the setup, see https://github.com/JohannesPfeifer/DSGE_mod/blob/master/Smets_Wouters_2007/Smets_Wouters_2007_45.mod
  3. Simply set the autocorrelation coefficient to 0 and don’t estimate it.
3

Thank you very much, that was really helpful.
Sorry for cross posting.