enlosed there is the .mod file for Hansen’s[1985] RBC model. Unfortunately, I get counterintuitive results. All the standard deviations are smaller than expected given the set of parameters:
For consumption: 0.0048 instead of about 0.5,
For investment: 0.0183 instead of about 5.5.
Furthermore, the difference between the standard deviations of consumption and investment are pretty small. Do you have any ideas for the reasons for these results.
I have attached a mod file replicating the moments of table 1 in Hansen (1985) : “Indivisible labor and the business cycle”. Contrary to Hansen, I compute the theoritical moments. This explains that I do not exactly obtain the same results. Hansen85.mod (3.55 KB)
I have a question concering the output equation. You were using k lagged for one period, but Hansen (1985) defined the output as y=lambda*(k^theta)*(h^(1-theta)) that leads to an autocorrelation of all variables of |1,00|. Could you explain why you used the lagged term?
Because that is the timing convention. You define lambda at time t using the exogenous shocks at time t. The original formula used the exogenous shock at time t+1.
I am currently trying to replicate Hansen’s paper, but I do not understand, why we need to take the logarithm in the shock term.
I saw that this was done in StephaneLhuissier’s .mod-file. If the logarithm is not taken Dynare cannot find a solution. Could someone explain why? Thank you very much,