Estimation problem onLog data density is Inf and modified harmonic mean estimator

[Olivia]

Thanks a lot!

May I know which aspect I should look at when comparing the simulated data and my observed data? is it only the magnitude(variance)? Is there any other thing I need to pay attention to?

I’m also curious that, In estimation, what does it mean to have 1 shock vs 2 shocks make difference to the result (posterior mean and posterior distribution)

Will more shocks help produce better empirical moments?

May I double-check with you the following:

I’ve read other posts and just notice that I’ve used method 1 (in the post below) to compare the simulated and observable data. But you said it’s wrong because the estimation code doesn’t work, I think I don’t have the estimated data to bring back to the model to do stoch_simul. So, is what I did still correct? And can I still use stoch_simul after the estimation block even when the estimation code doesn’t work?

Comparing actual data with simulated data

Hi Prof @jpfeifer I hope you are well and thanks for your assistance so far. I am making good progress. Please, I would like to know which of the following is the right way to compare the actual data with the simulated data. I estimated a DSGE model with 41 endogenous variables, including 7 observable variables, using the estimation command in Dynare 4.6. Method 1: In the results folder, I saw 41 rolls of data in the file named oo_.endo_simul. The 41 corresponds to the number of endo variable…

Another question:

I am also not very familiar with what’s simulated data. e.g. if there is only 1 shock in the model, periods=1000, is the simulated data the irf of the endogenous variables (e.g. y) at the first period (y1), after drawing a value from the exogenous shock process, and then average the first-period value, y1 across the no of draws. Definitely wrong. I just don’t know how the simulated data is varied across time and how’s it averaged across what random process.

So, does it mean there is a shock drawn every period to simulate the data? e.g. if periods = 1000, at period 1, a shock is drawn, and at period 2, a shock is drawn?

So, what are these 1000 shocks doing in the policy function, is it averaged to be treated as the initial shock, or is it given a shock every period one by one to 40 periods, then what is the value of y, is it the irf of y at the first period after the shock?

Thank you.