Data for a quarterly frequency model in Edward P. Herbst and Frank Schorfheide

[kofiemma]

Hi all,

I am here from Edward P. Herbst and Frank Schorfheide (Bayesian Estimation
of DSGE Models). I am not sure why the author uses two different specifications for the federal funds rates for two quarterly frequency models.

In one model, he uses this:

And in the other model, it is the following:

“FEDFUNDS” is monthly data on FRED website, and since the author says just ‘call it FFR_t’ per the instruction, I am kinda confused about the frequency of t in FFR_t per the instruction. I will appreciate it if someone understand these instructions in the book and can clarify a little bit…

Same problem with inflation where ‘‘CPIAUCSL’’ is monthly data, and the instruction says:

[jpfeifer]

To me this looks like a mistake. I don’t have the book with me right now. Could you maybe provide the exact source of this discrepancy?

[kofiemma]

Hi Prof Pfeifer,

One of the models is the Smets-Wouters Model and the other is a reduced version of it (with no capital accumulation and wage rigidities). Probably a typo, but did not find that in the errata document of the book.

Specification of Per Capita Real Output Growth is same for both models and they all use GDPC1. So probably a mistake.

[jpfeifer]

Yes, indeed it seems like a typo.