Hi everyone,
I am a new user of Dynare. I am trying to estimate (Bayesian) Gali chapter 7, where I have taken the code directly from Johannes Pfeifer: https://github.com/JohannesPfeifer/DSGE_mod/blob/master/Gali_2015/Gali_2015_chapter_7.mod
I have made two changes:
- setting alpha equal to 0.
- Including price indexation in the Phillips wage curve
I run the estimation on US data 1985-2007 with the following five data series: Column 1: log detrended (quardratic trend) real GDP times 100, column 2: demeaned inflation (GDP deflator, percentage change), column 3: demeaned wage inflation (hourly earnings percentage change),
column 4: demeaned unemployment rate, column 5: demeaned fed funds rate (quarterly).
I believe most of the parameters are not identified which I believe may be due to collinearity issues (especially with the parameters associated to the shocks) and have searched this forum for help. I have tried to transform my data according to Pfeifer: “A Guide to Specifying Observation Equations for the Estimation of DSGE Models” section 4.2 on log-linearised models, however it only makes the estimation worse (data also included).
I am stucked and would hear if anyone could guide me in the right direction. Help is much appreciated!
Best, Anna
Gali code data.zip (11.7 KB)