Invalid posterior mean

jpfeifer · August 30, 2018, 7:00pm

JohannesPfeifer/DSGE_mod/blob/master/Ascari_Sbordone_2014/Ascari_Sbordone_2014.mod

/*
 * This file replicates the model studied in:
 * Ascari, Guido and Sbordone, Argia M. (2014): "The Macroeconomics of Trend Inflation",
 * Journal of Economic Literature, 52(3), pp. 679-739.
 * 
 * It provides a replication of the main results of the original paper  
 * in Section 3 (the New Keynesian model with trend inflation). It replicates the Figures:
 * - Figure 7: The Cost of Price dispersion
 * - Figure 8: Trend Inflation and Steady State Variables
 * - Figure 11: The Determinacy Region and Trend Inflation
 * - Figure 13: Impulse Response Functions to a 1 Percent Positive Technology Shock 
 * - Figure 14: Impulse Response Functions to a 1 Percent Positive Monetary Policy Shock 
 *
 * Moreover, it replicates the business cycle moments reported on p. 717. 
 *
 * This mod-file shows how to access steady state variables in order to plot steady state
 * dependences on parameters.
 * It also shows how to manually do a stability mapping be iterating over a grid on the parameter space.
 * 
 * Notes:

This file has been truncated. show original

is an example

Start · August 30, 2018, 7:34pm

Thanks a lot for your quick response

Start · September 2, 2018, 12:39pm

hello dear professor, I used the sensitivity analysis and decided not to ask for estimating one of my parameters; mark up:mu.
but omitting this parameter made my mcmc charts not converging, and i can still see red dots in my mode check plots… . could you please tell me if there is any way of fixing it?
thanks in advancecopy_3_of_s22mcmc3.pdf (21.0 KB)
copy_3_of_s22 mcmc1.pdf (20.5 KB)
copy_3_of_s22 mcmc4.pdf (9.0 KB)
copy_3_of_s22 identification.pdf (3.6 KB)
Copy_3_of_s22.mod (2.9 KB)
copy_3_of_s22 priors and posteriors.pdf (55.1 KB)
I also put the code but it may not be needed… thanks a lot, i would appreciate if you could give me any advice

jpfeifer · September 4, 2018, 5:45am

You did not provide any data-file.

Start · September 4, 2018, 7:32am

amarQ6993.m (2.5 KB)
so sorry for that, here you are.

jpfeifer · September 5, 2018, 6:14am

Your mode is right at the border of the stability region. You need to understand why this is the case. I do not have much intuition about your model, but the parameters/prior of the money supply rule seem strange.