Moment matching in borrower/saver DSGE model

  1. I got rather normal looking results:
RESULTS FROM SMM (STAGE 2) ESTIMATION
parameters
         Estimate    s.d. t-stat

rhoa       0.9125 136.0079  0.0067 
phipie     1.7941 396.2968  0.0045 
rho        0.6996 168.7107  0.0041 
psi        0.4839 57.5950  0.0084 
phiy       1.0078 1039.0112  0.0010 
rhou       0.7786  6.6186  0.1176 
stdeva     0.0036  3.2428  0.0011 
stdevj     5.1079 2022.7524  0.0025 
  1. See One-sided HP filter - #4 by jpfeifer
    Thus, your data mean is close to but not exactly zero. Similarly, you were matching other mean moments, but without estimating parameters that control these means. That does typically not work.
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