Lubic and Schorfheide (2005) mod file

Dynare help (legacy posts)
1

HI,

I am trying to replicate some results from Lubic and Schorfheide (2005). I am using their mod file available at Frank Schorfheide’s website (also attached here). Befire estimation, when i run stochastic simulation and look at monetary policy shocks with a symmetric calibration, the impulse responses are different (not symmetric). This leads me to believe there is a bug in the code which i cannot figure out. Any help would be greatly appreciated.

for reference, here is the calibration i am using:
theta_H =0.7;
theta_F =0.7;
theta_Hstar =0.7;
theta_Fstar=0.7;

tau =2;
h =0.4;
alp =0.5;
eta =2;
bet=0.99;

rhoR=0.5;
psi1 =1.5;
psi2 =0.5;
psi3 =0.0;

rhoRstar =0.5;
psi1star =1.5;
psi2star =0.5;
psi3star=0.0;

rhoA =0.9;
rhoAstar =0.9;
rhoG =0.7;
rhoGstar =0.7;
rhoZ=0.4;
gam_steady =1.1;
rr_steady=4;
pi_steady =0;
pi_steadystar=0;

and i shock the interest rates as follows:

shocks;
var EPS_Rstar; stderr 0.09;
var EPS_R; stderr 0.09;
end;
stoch_simul(order = 1,irf=15)
R R_star Y Y_star
;

thanks
us_euro_m1_demeaned.mod (6.91 KB)

2

I figured out the error. If anyone is interested, the typo is in equation 20. the correct equation is:
Y_star = C_star + G_star +((alp)/tau)S + alp(1-alp)eta(Q-Q_star);

(the change is in the 3rd term on the rhs)

for reference, the (incorrect) expression in mod file is
Y_star = C_star + G_star -((1-alp)/tau)S + alp(1-alp)eta(Q-Q_star);