Hi,
does anybody have code that estimates a GE model with epstein-zin preferences? I know that the “practicing dynare” document has E-Z in it, but that is a version where consumption is taken as an exogenous process. I’m looking for a version with endogenous consumption. I’m hoping to see how somebody else did it because I’m not totally sure about how dynare will handle the expectations.
Here are the relevant lines from my model block:
EVS=V(+1)^(1-alpha);
V = ( ((1-beta)*exp((1-rho)C) + beta(EVS^((1-rho)/(1-alpha))) )^(1/(1-rho));
where V is value and EVS is the expectation at time t of the quantity V(+1)^(1-alpha). the curvature here is critical, and I never know how to tell whether dynare actually takes the curvature into account in the expectation.