Change Model From Annual to Quarterly


#1

I try to solve the Schmitt_Grohe and Uribe (2003) EDEIR model using Professor Pfeifer’s code. I am able to solve the model using annual calibration but as soon as I change the calibration to quarterly, the code doesn’t work and gives the following error:

Error using print_info (line 83)
Impossible to find the steady state. Either the model doesn’t have a steady state, there are an infinity of steady states, or the
guess values are too far from the solution

Error in steady (line 104)
print_info(info,options_.noprint, options_);

Error in PS2_2 (line 268)
steady;

Error in dynare (line 235)
evalin(‘base’,fname) ;

I don’t know what is the reason for it. I am attaching my mod file. Currently it’s with annual calibration (delta = 0.1, rstar = 0.04 and beta = 0.9605) and it works perfectly. But as soon as I change these values to delta = 0.025, rstar = 0.01 and beta = 0.9901, the codes gives the above error. Is there anything else I need to do to chnage the model to quarterly from annually? I am trying this code exercise because I want to calibrate this model to match quarterly business cycle data. So first I am trying if my model works or not. I have tried all the other plausible values of other parameters but I think the main problem is with delta. Any help with this would highly be appreciated. Thanks in advance!SGUEDEIR.mod (1.8 KB)


#2

I am not sure what you exactly modified, but in my codes at
https://github.com/JohannesPfeifer/DSGE_mod/blob/master/SGU_2003/SGU_2003.mod
the psi_1 is adjusted to make the steady state work.


#3

This is the EDEIR model. This is the model with psi_2, not psi_1 in your notation (You take 0.000742, as in the paper). I’m only adjusting beta, r and delta from annual to quarterly value. With any value of psi_2, the code doesn’t work. How should I adjust the value of psi or any other parameter to make the model quarterly?


#4

Basically, my goal is to write the model in quarterly terms. In annual terms, with the parameter values you have taken, the code works exactly fine. But if I change the parameter values to quarterly values, the code doesn’t work. The only parameter values I am changing w.r.t. your codes are beta, r and delta. What else I need to change to make the quarterly model work?


#5

Is there any reason why you do not use my mod-file with its steady_state_model-block? As you can see, your initval-block is error-prone.


#6

Yeah, if I use your steady_state_model-block, the code works with quarterly values. I can’t see any mistake with my initval-block though


#7

Hi Professor, what do you think is the problem with my initval-block?


#8

I don’t know and I won’t spend time to figure it out given that its use is not recommended if a working steady_state_model-block exists.


#9

So you would suggest, in general, to go with steady state block instead of initval block?


#10

Of course. Why do you think I used it in my file? There is absolutely no advantage of using initval