Counterfactual simulations based on smoothed shocks

jpfeifer · September 8, 2018, 1:25pm

The link is the file for the unstable version of Dynare, i.e. Dynare 4.6. You need

DynareTeam/dynare/blob/4.5/tests/kalman_filter_smoother/compare_results_simulation/fs2000_ML.mod

/*
 * This file replicates the estimation of the cash in advance model described
 * Frank Schorfheide (2000): "Loss function-based evaluation of DSGE models",
 * Journal of Applied Econometrics, 15(6), 645-670.
 *
 * The data are in file "fsdat_simul.m", and have been artificially generated.
 * They are therefore different from the original dataset used by Schorfheide.
 *
 * The equations are taken from J. Nason and T. Cogley (1994): "Testing the
 * implications of long-run neutrality for monetary business cycle models",
 * Journal of Applied Econometrics, 9, S37-S70.
 * Note that there is an initial minus sign missing in equation (A1), p. S63.
 *
 * This implementation was written by Michel Juillard. Please note that the
 * following copyright notice only applies to this Dynare implementation of the
 * model.
 */

/*
 * Copyright (C) 2004-2010 Dynare Team

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