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)