Jaimovich and Rebelo: News About the Future

Dear Dynare users

Has anyone ever succeeded in replicating “Can News About The Future Drive The Business Cycle” by Jaimovich and Rebelo with Dynare? I am working on that paper and can’t seem to get my code running. There seems to be a problem with the steady state or with given initial values.

I would appreciate it very much if someone could send me his working code, so I can compare it and find my mistake.

Attached you find my code up to now. Any help would be appreciated! (I used the sample code for news shocks from the Dynare forum)

Thanks in advance
newsfuture.mod (4.41 KB)

I made some corrections myself. The new code is attached. I still have a problem with a division by 0 that I can’t figure out.
newsfuture.mod (4.58 KB)

Your exogenous processes are wrong. They should be along the lines of

y=exp(z)*k^alpha*l^(1-alpha) z=rho*z(-1)+eps_z
You cannot use log(eps_z) as you do as eps_z has mean 0.