Gathering Data and Replicating Gali (2008)

General DSGE Modeling
1

Hello everyone,

I’m an undergraduate student, and I’m trying to replicate Gali (2008) chapter 3 (DSGE_mod/Gali_2008_chapter_3.mod at master · JohannesPfeifer/DSGE_mod · GitHub) and estimate parameters. I believe to estimate posterior I need to gather data first.

Do I need data for each endogenous variable? In chapter 3 of Gali’s book, there are 12 model equations. The endogenous variables are inflation, output gap, natural output, output, natural interest rate, real interest rate, nominal interest rate, hours worked, real money stock, money growth annualized and technology parameter. Do I need to gather data for all these variables?

I know this is a simple question, but if so where I can find these values? (for example, is it possible to get data on a {a} (long_name=‘AR(1) technology shock process’))

Thank you!

2
  1. What do you mean with replicate? Those models in the book were never estimated.
  2. One previous comment of mine comes to mind:

Bachelor students are not supposed to work on models that complicated without intense supervision. I have seen too many cases like this miserably fail. Most of the time, the goals set are too unrealistic given the prior training and the time frame envisioned.

If you want to go down that road of estimation without the proper training, be warned. You may want to start with Pfeifer(2013): “A Guide to Specifying Observation Equations for the Estimation of DSGE Models”

Also :