Estimated QUEST3 Model

General DSGE Modeling Replication Attempts
1

Dynare members–does anyone have estimated QUEST3 model that is running. Any pointers where I can download the model directory would be appreciated.

2

@rattoma Do you know?

3

replication packages may be found here

4

Thanks for sharing the QUESTIII model files. Having some challenges running the code with the errors below.

Error using quest3hlmr_steadystate
Too many input arguments.
Error in evaluate_steady_state_file (line 47)
[ys,params1,check] = h_steadystate(ys_init, exo_ss,M_,options_);
Error in evaluate_steady_state (line 275)
[ys,params,info] = evaluate_steady_state_file(ys_init,exo_ss,M_, options_,steadystate_check_flag);
Error in steady (line 112)
[oo_.steady_state,M_.params,info] = evaluate_steady_state(oo_.steady_state,[oo_.exo_steady_state; oo_.exo_det_steady_state],M_,options_,~options_.steadystate.nocheck);
Error in quest3hlmr.driver (line 4106)
steady;
Error in dynare (line 310)
evalin(‘base’,[fname ‘.driver’]);

5

Please try the attached version that should run in Dynare 6
QuestIII_Dynare_6.zip (216.9 KB)

6

Thanks so much–this runs perfectly well.

7

Sorry Prof Pfeifer–this model (focusing on housing) is different from the files shared @rattoma. What am requesting is to have model in the files @rattoma running in dynare 6.

8

I uploaded the file you tried to run:

9

indeed, there are 2 zip files you can download from the link. you tried to run the model with housing. the 2009 paper is the other link https://joint-research-centre.ec.europa.eu/document/download/5e70d8be-9957-460b-a112-952fa460bcfa_en?filename=quest1_distrib.zip

10

Here is the other one. Note that it only works for simulation, not estimation.
QuestI_Dynare_6.zip (252.1 KB)

11

These are the file that I have failed to run the estimation part. It brings the

Warning: Some of the parameters have no value (ISN) when using steady. If these parameters are not initialized
in a steadystate file or a steady_state_model-block, Dynare may not be able to solve the model. Note that simul,
perfect_foresight_setup, and perfect_foresight_solver do not automatically call the steady state file. 
Error using fzero>localFirstFcnEval
FZERO cannot continue because user-supplied function_handle ==> @(x)quest1_steadystate_util(x,pname) failed with
the error below.

 Not enough input arguments.
Error in fzero (line 305)
    fx = localFirstFcnEval(FunFcn,FunFcnIn,x,varargin{:});
Error in quest1_steadystate (line 100)
    L0 = fzero(@(x) quest1_steadystate_util(x, pname),L0);
Error in evaluate_steady_state_file (line 47)
    [ys,params1,check] = h_steadystate(ys_init, exo_ss,M_,options_);
Error in evaluate_steady_state (line 275)
    [ys,params,info] = evaluate_steady_state_file(ys_init,exo_ss,M_, options_,steadystate_check_flag);
Error in steady (line 112)
[oo_.steady_state,M_.params,info] = evaluate_steady_state(oo_.steady_state,[oo_.exo_steady_state; oo_.exo_det_steady_state],M_,options_,~options_.steadystate.nocheck);
Error in quest1.driver (line 3115)
steady;
Error in dynare (line 310)
    evalin('base',[fname '.driver']);
12

Could the problem be Dynare versions and the model given this was done a while back.

13

Sorry, that was my mistake. I set simflag=1 for numerically setting parameters to reach calibraton targets. That does not work anymore in recent Dynare versions. I updated the above file.

14

Yes thanks very much—this works fine after excluding these lines as the quest1_results file does not exist in the directory.

//load quest1_results;

// load full posterior estimate
//options_.filter_step_ahead=;
//estimation(datafile=ddd, first_obs=2, presample=11, nograph, mode_file = quest1_mean, load_mh_file, //mode_check,
//nobs=116, mode_compute=0, mh_replic=0, forecast=0, mh_drop=0.5, mh_jscale=0.22, mh_nblocks=2);

15

I could not upload the results file as it is too large, but you can find it at the original link.

16

Thanks so much—all is working fine. I am attempting to run this using Julia as well.