Estimation output

Dynare contributions and examples
1

Hello!

I have recently implemented a basic NK model, with four agents: households, firms, monetary and fiscal authorities. I want to estimate this model for Romania. I attached below the mod file and the data that I used. I do not know if the results look ok, I am new at dsge modelling, I tried estimating the parameters by looking at other papers that were made for Romania. I just want to know if they seem correct, so I can continue the research for this type of models. I have read some guides and examples in order to understand the mechanism, so I am not completely outside the subject. Thank you in advance.

Dynare.xlsx (13.2 KB)licenta2.mod (1.4 KB)

2
  1. Your data for y has a strong seasonal pattern you need to remove.
  2. Your model is linearized, but the series for inflation does not correspond to a mean 0 net interest rate.
  3. Although not immediately relevant for the particular estimation in your mod-file, you are not handling parameter dependence correctly.

See Pfeifer(2013): “A Guide to Specifying Observation Equations for the Estimation of DSGE Models”

3

Thank you!