Hi, I have been doing Bayesian estimation of linear DSGE model and second order moments are being much higher than that of actual data.What could be the reason ?
I have searched similar topics what I found was using endogenous prior command in estimation. But that did not work saying it is not supported with non-stationary models. The model includes variables in level.
Attached is the code of the model.
Thank you in advance, any help or advise is highly appreciated.
estimation.txt (9.7 KB)
There is not much you can do here. In-sample shocks will always correlated, while theoretical moments are based on orthogonal shocks. Theory would tell you the different volatility in-sample was just due to chance. In practice, this may be a sign of model misspecification.
Thank you, professor
Actually, what I did first was using estimated parameters and simulating by (stoch_simul(order = 1,irf=20, nograph)) for matching second order moments(S.D and auotocorrelation) of the model and the actual data.
After your advise I have covered two other posts in dynare regarding matching second moments after Bayesian estimation which is very relevant to what I want.
I have been following that posts but always having error like:
EXECUTE_POSTERIOR_FUNCTION: Execution of prior/posterior function led to an error. Execution cancelled.
Brace indexing is not supported for variables of this type.
Error in disp_moments (line 41)
i_tmp = strmatch(var_list{i}, M_.endo_names, ‘exact’);
Error in posterior_function_demo (line 71)
oo_=disp_moments(ys,var_list,M_,options_,oo_);
Error in execute_prior_posterior_function (line 90)
junk=functionhandle(parameter_mat(1,:),M_,options_,oo_,estim_params_,bayestopt_,dataset_,dataset_info);
Error in test.driver (line 469)
oo_ = execute_prior_posterior_function(‘posterior_function_demo’, M_, options_, oo_, estim_params_, bayestopt_, dataset_, dataset_info, ‘posterior’);
Error in dynare (line 281)
evalin(‘base’,[fname ‘.driver’]);
Could please, advise ?
test.mod (11.9 KB)
posterior_function_demo.m (4.2 KB)
PS:
In the paper that I am trying to replicate says:
I think it is using posterior_functin as well…
Thank you in advance
The data file is missing. Are you using Dynare 5.2?
Thank you very much, professor
I will try the file
I tried this posterior function demo file without changing anything and abover error is solved but, it is giving another error like:
Index in position 2 exceeds array bounds. Index must not exceed 1.
Error in test.driver (line 471)
posterior_steady_states=cell2mat(oo_.posterior_function_results(:,2));
Error in dynare (line 281)
evalin(‘base’,[fname ‘.driver’]);
What could be reason?
You only requested one output within the function. You cannot try to access oo_.posterior_function_results(:,2). Only oo_.posterior_function_results(:,1) should exist.
Dear professor, I appreciate your time and help. Error is fixed.
Let me ask 3 more questions, please
But unfortunately what I got is empty cell of 500x1 :
{0×0 double}
{0×0 double}
..................
{0×0 double}
2.1 For getting variance:
output_cell{1,1}=oo_.gamma_y; or output_cell{1,1}=oo_.var ?
2.2 For autocorrelation:
output_cell{1,1}=oo_.autocorr
ps: output_cell{1,1}=mean(xparam1); is this part also subject to modification accordingly?
Thank you in advance
Thank you , professor.
It is working well
Hi, Professor
Currently I tried to use the posterior_function_demo.m file for another project and it did not work and checked with the one posted here which worked well that time. But it is not working now.
Attaching again
tu_dat.xlsx (17.6 KB)
test.mod (11.9 KB)
posterior_function_demo.m (3.5 KB)
the only change is now I am using dynare 6.0 then I used older version.
Is it because of dynare versions or something else?
Could you please help?
the error is like
EXECUTE_POSTERIOR_FUNCTION: Execution of prior/posterior function led to an error. Execution cancelled.
Error using set_state_space
Too many input arguments.
Error in posterior_function_demo (line 62)
oo_.dr=set_state_space(oo_.dr,M_,options_);
Error in execute_prior_posterior_function (line 91)
junk = functionhandle(parameter_mat(:,1), M_, options_, oo_, estim_params_, bayestopt_, dataset_, dataset_info);
Error in test.driver (line 919)
oo_ = execute_prior_posterior_function(‘posterior_function_demo’, M_, options_, oo_, estim_params_, bayestopt_, dataset_, dataset_info, ‘posterior’);
Error in dynare (line 310)
evalin(‘base’,[fname ‘.driver’]);
In Dynare 6, we eliminated passing various global variables. As a consequence, the interface for many functions has changed. Use
posterior_function_demo.m (3.5 KB)
Thank you very much . I do appreciate your time and effort
Now it is working, but oo_.posterior_function_results(:,1) is displaying of 500x1 NaNs
I expected it will be 500x8 with some value.
Can you provide your _mode.mat-file?
When I run your code, I need to set
options_.qz_criterium = 1-1e-6;
instead of the usual
options_.qz_criterium = 1+1e-6;
It seems there is an issue with the parameter estimates being at the boundary of the stability region.