Greetings Johannes et al.
Background: monthly DSGE model that I’d like to estimate with some monthly data, but quarterly GDP. Model is log-linearized.
Question: for my additional equation, following the guide, in levels I’d have to specify
Y(Q, t) = Y(M, t) + Y(M, t+1) + Y(M, t+2),
but since the model is log-linearized, this would have to be input in the model block as
yhat(Q, t) = (1/3)*[yhat(M, t) + yhat(M, t+1) + yhat(M, t+2)],
where Y is GDP in level, yhat in percentage deviation from trend, Q is quarterly, and M is monthly. Is this adequate?
yhat in the model corresponds to yhat(M), while yhat(Q) corresponds to the yhat in my data file. In the above linearization, I used
Y(Q, ss) = 3*Y(M, ss)
as the steady-state equivalent. For some reason I am not 100% certain I have this correct, which is why I’m posting this question. Any help, as always, is appreciated!