hello everyone
i try to replicate Paolo Gelain(2010) with Taiwanese data,
but i don’t understand what observable data should put in,
should i put measurement equation like SW(2007)?
pls, help!
[code]//Paolo Gelain_rep
var R nR pi C I Y Q K w L rk mc Rek NW E S
eB ew ep em x g A
dY dC dI dw pi_obs nR_obs L_obs
Y_star CF IF QF RekF RF KF wF LF rkF mcF ;
//shocks
varexo uB uw um ux up ug uA ;
//Parameters
parameters h f sigma_c theta varphi delta beta alpha gamma_w xi_w theta_w sigma_l psi gamma_p xi_p varkappa vartheta_e KNW R_ss S_ss xi_e xi_r xi_y
xi_deltapi xi_deltay Rek_ss NWK xi_pi CY rho_B rho_w rho_m rho_p rho_x rho_g rho_A
trend rbar pibar lbar;
beta=0.9875;
R_ss=1/beta;
delta=0.025;
S_ss=1.02;
alpha=0.3;
Rek_ss=S_ss*R_ss;
KNW=1.2387;
NWK=1/KNW;
theta_w=4;
theta=4;
CY=0.6;
h=0.934;
sigma_l=5;
sigma_c=0.66;
gamma_w=0.3892;
gamma_p=0.2784;
rho_B=0.8969;
rho_w=0.9707;
rho_m=0.8;
rho_p=0.8;
rho_x=0.6941;
rho_g=0.8685;
rho_A=0.9644;
xi_r=0.9075;
xi_pi=1.6633;
xi_y=0.1054;
xi_w=0.939;
xi_p=0.944;
xi_deltay=0.2061;
xi_deltapi=0.1417;
xi_e=0.7458;
varkappa=0.048;
vartheta_e=0.9728;
varphi=6.5431;
f=0.1657;
psi=0.0294;
lbar=0;
rbar=1.189;
pibar=-0.016;
trend=0.9832;
model(linear);
#aa=alpha^alpha*(1-alpha)^(1-alpha);
#rk_ss=(S_ss/beta)+delta-1;
#mc_ss=(theta-1)/theta;
#w_ss=(aamc_ss/(rk_ss^(alpha)))^(1/(1-alpha));
#LK=(1-alpha)/alpha(rk_ss/w_ss);
#KY_ss=(1+f)LK^(alpha-1);
#IY=delta(1+f)LK^(alpha-1);
#GY=1-IY-CY;
#CK=(1-GY)/(1+f)LK^(1-alpha)-delta;
#K_ss=(w_ss(theta_w-1)/theta_w((1-h)CK)^(-sigma_c)LK^(-
sigma_l))^(1/(sigma_l+sigma_c));
#C_ss=CKK_ss;
#I_ss=deltaK_ss;
#Y_ss=(C_ss+I_ss)/(1-GY);
#L_ss=LK*K_ss;
#KY=K_ss/Y_ss;
#rkF_ss=(1/beta)+delta-1;
#mcF_ss=(theta-1)/theta;
#wF_ss=(aamcF_ss/(rkF_ss^(alpha)))^(1/(1-alpha));
#LKF=(1-alpha)/alpha(rkF_ss/wF_ss);
#KYF_ss=(1+f)LKF^(alpha-1);
#IYF=delta(1+f)LKF^(alpha-1);
#GYF=1-IYF-CY;
#CKF=(1-GYF)/(1+f)LKF^(1-alpha)-delta;
#KF_ss=(wF_ss(theta_w-1)/theta_w((1-h)CKF)^(-sigma_c)LKF^(-
sigma_l))^(1/(sigma_l+sigma_c));
#CF_ss=CKFKF_ss;
#IF_ss=deltaKF_ss;
#YF_ss=(CF_ss+IF_ss)/(1-GYF);
#LF_ss=LKF*KF_ss;
#KYF=KF_ss/YF_ss;
//sticky economy
R=nR-pi(+1); //real interest rate
C=1/(1+h)C(+1)+h/(1+h)C(-1)-(1-h)/(sigma_c(1+h))(nR-pi(+1))+(1-h)/(sigma_c*(1+h))eB; //euler equation
I=beta/(1+beta)I(+1)+1/(1+beta)I(-1)+1/(varphi(1+beta))Q+x; //investment dynamics
K=delta(I+varphix)+(1-delta)K(-1); //capital
w=beta/(1+beta)w(+1)+1/(1+beta)w(-1)+beta/(1+beta)pi(+1)-(1+betagamma_w)/(1+beta)pi+gamma_w/(1+beta)pi(-1)
-(1-betaxi_w)(1-xi_w)/((1+beta)(1+theta_wsigma_l)xi_w)(w-sigma_lL-(sigma_c/(1-h))(C-hC(-1)))+ew; //wage equation
L=(1+psi)rk-w+K(-1);
pi=(beta/(1+betagamma_p))pi(+1)+(gamma_p/(1+betagamma_p)pi(-1))+(1-betaxi_p)(1-xi_p)/((1+betagamma_p)(xi_p))mc+ep; //NKPC
Rek(+1)=R-varkappa(NW(+1)-Q-K(+1)); //external finance premium
Rek=(rk_ssrk+(1-delta)Q)/(1-delta+rk_ss)-Q(-1); //ex-post aggregate return to capital
NW=vartheta_e(KNWR_ss*(S_ssRek(-1)-R(-1))+KNWR_ss*(S_ss-1)(Q(-2)+K(-1))+R_ss(R(-1)+NW(-1))); //aggregate entrepreneurial net worth
(E-E(-1))=beta*(E(+1)-E)+(1-xi_e)((1-betaxi_e)/xi_e)(L-E); //employment equation
rk=mc+Y-K(-1); //real rental rate
S=Rek(+1)-R; // finance premium
nR=xi_rnR(-1)+(1-xi_r)(xi_pipi(-1)+xi_y*(Y(-1)-Y_star(-1)))+xi_deltapi*(pi-pi(-1))
+xi_deltay*(Y-Y_star-(Y(-1)-Y_star(-1)))+um; //monetary policy
Y=(1-deltaKY-GY)C+deltaKYI+GYg+KYpsirk_ssrk+KY*(Rek_ss-R_ss)(1-NWK)(Rek+Q(-1)+K); //resource constraint
Y/(1+f)=alpha*(K(-1)+psirk)+(1-alpha)L+A; //production function
//flexible economy
Y_star=(1-deltaKYF-GYF)CF+deltaKYFIF+GYFg+KYFpsirkF_ssrkF;
Y_star/(1+f)=alpha*(KF(-1)+psirkF)+(1-alpha)LF+A;
CF=(1/(1+h))CF(+1)+(h/(1+h))CF(-1)-((1-h)/(sigma_c(1+h)))(RF)+((1-h)/(sigma_c(1+h)))eB;
RekF(+1)=RF;
RekF=(rkF_ssrkF+(1-delta)QF)/(1-delta+rkF_ss)-QF(-1);
rkF=mcF+Y_star-KF(-1);
IF=(beta/(1+beta))IF(+1)+(1/(1+beta))IF(-1)+(1/(varphi(1+beta)))QF+x;
wF=sigma_lLF+(sigma_c/(1-h))(CF-hCF(-1));
LF=(1+psi)rkF-wF+KF(-1);
mcF=0;
KF=delta(IF+varphix)+(1-delta)*KF(-1);
//AR(1) shock processes
eB=rho_BeB(-1)+uB; //preference shock
x=rho_xx(-1)+ux; //investment specific shock
A=rho_AA(-1)+uA; //productivity shock
g=rho_gg(-1)+ug; //government spending shock
ep=rho_pep(-1)+up;
ew=rho_wew(-1)+uw;
em=rho_m*em(-1)+um;
//measurement equations
dY = Y -Y(-1) + trend;
dC=C-C(-1) + trend;
dI=I-I(-1) + trend;
dw=w-w(-1) + trend;
nR_obs=1nR+ rbar;
pi_obs=1pi+ pibar;
L_obs=1*L+ lbar;
end;
steady;
check;
//shocks
shocks;
var uB=0.2^2;
var uw=0.2^2;
var ux=0.2^2;
var up=0.2^2;
var um=0.2^2;
var uA=0.2^2;
var ug=0.2^2;
end;
//estimation
estimated_params;
sigma_c,normal_pdf,1.5,0.375;
sigma_l,normal_pdf,5,0.75;
xi_w,beta_pdf,0.5,0.15;
xi_p,beta_pdf,0.5,0.15;
f,normal_pdf,0.45,0.25;
xi_r,beta_pdf,0.8,0.05;
xi_pi,normal_pdf,1.7,0.1;
xi_y,normal_pdf,0.125,0.05;
xi_deltapi,normal_pdf,0.063,0.05;
xi_deltay,normal_pdf,0.3,0.1;
gamma_p,beta_pdf,0.5,0.15;
gamma_w,beta_pdf,0.5,0.15;
varkappa,beta_pdf,0.07,0.03;
vartheta_e,beta_pdf,0.975,0.01;
varphi,normal_pdf,4,1.5;
psi,normal_pdf,0.2,0.075;
xi_e,beta_pdf,0.5,0.15;
rho_B,beta_pdf,0.85,0.1;
rho_x,beta_pdf,0.85,0.1;
rho_A,beta_pdf,0.85,0.1;
rho_m,beta_pdf,0.85,0.1;
rho_g,beta_pdf,0.85,0.1;
rho_w,beta_pdf,0.85,0.1;
rho_p,beta_pdf,0.85,0.1;
stderr uB,inv_gamma_pdf,0.1,2;
stderr ux,inv_gamma_pdf,0.1,2;
stderr uA,inv_gamma_pdf,0.1,2;
stderr um,inv_gamma_pdf,0.1,2;
stderr ug,inv_gamma_pdf,0.1,2;
stderr uw,inv_gamma_pdf,0.1,2;
stderr up,inv_gamma_pdf,0.1,2;
end;
varobs dY dC dI L_obs pi_obs dw nR_obs;
stoch_simul(hp_filter=40000,irf=20,periods=500) C L I Q NW Y K nR S;
estimation(datafile=data1,mode_compute=6,mh_replic=500000);
[/code]