Croce (2014) Table 3

General DSGE Modeling Replication Attempts
1

Hi,

I’m trying to replicate Table 3 of Croce (2014) “Long-run productivity risk: A new hope for production-based asset pricing?”

In the footnote of the Table the author says The entries for the models are based on 100 simulations each with 840 monthly observations that are
time-aggregated. For this purpose I use dynare_simul() and then try to replicate the moments with simple or compound rates but nothing seems to work. Do anyone knows how exactly he aggregates the series?

If anyone acomplished to replicate the table, can please share the code?

2

Usually, time aggregation is conducted along the lines of e.g. DSGE_mod/get_quarterly_moments.m at master · JohannesPfeifer/DSGE_mod · GitHub