I have two agents DSGE model and use five observables: Y, G, L, Pi, Rb.
The model is nonlinear and I use exp form such as exp(Y), exp(G) … in the model block and use separate steady state file with ys=log(ys).
- For the data of Y, G obtained real data per capita, did seasonal adjustment, took a log, detrended using one-sided HP filter in Eviews (and also in Matlab for comparison - result are same) and demeaned which means I obtained percentage deviations from steady state/trend (as I understood correctly the guide).
- For inflation data of Pi, I first got raw CPI data, and then use LN(1+LN(CPI_t/CPI_t-1))
- For the data of Rb (nominal int rate), I got raw annual net interest rate, and then use LN(1+Rbobs_t/400).
- For L (per capita hours worked), I seasonally adjusted, took a log and demeaned by taking out long-run mean from each observation.
So, my observation equations are:
My questions are:
My estimation does not work without estimated_params_init (use_calibration). It shows
dynare_estimation_init:: The steady state at the initial parameters cannot be computed.
Should I consider it bad? But with estimated_params_init (use_calibration) it works okay.
Another question on government expenditure share (gamma_g=Y_ss/G_ss). My raw data shows that in the long run the GovExp/GDP share should be equal to 0.15-0.2. However, detrending and demeaned gov expenditure is near zero. How should I calibrate government expenditure share n order to find steady state taking into account I enter detrended and demeaned observables into Dynare?