How did Smets and Wouters (2007) obtain the mode?

General DSGE Modeling Replication Attempts
1

I am trying to obtain the IRFs using

the updated US data from 1966 to 2023

and compare them with that of smets and wouters (2007) (Note that Smets and Wouters’ data spans from 1966 to 2004).

I obtained multiple modes of the posterior distribution by

using Smets and Wouters’ data and mode compute option.

However, none of them were same as the Smets and Wouters’ mode.

Therefore, How did Smets and Wouters (2007) obtain the mode?

I have attached a file that contains Smets and Wouters’ mode for your reference.

usmodel_mode.mat (8.2 KB)

2

We may never know the answer. But it’s pretty obvious the posterior is multimodal. For example, Chib/Ramamurthy (2010): “Tailored randomized block MCMC methods with application to DSGE models”, Journal of Econometrics, 155, pp. 19-38 have pointed out that the mode reported in the original Smets/Wouters (2007) paper is not actually the mode. \bar \pi (constepinf) is estimated lower while \bar \l (constelab) is higher.

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3

Hello.
Then can I ask you how you get the mode that is attached in the GitHub repo?

4

That is the mode-file from the replication files posted by Smets/Wouters to the AER homepage.

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