Jesús Fernández-Villaverde (2006): “A Baseline DSGE Model”

why isn’t the varobs command used ?

thank you.

Jesús Fernández-Villaverde (2006): “A Baseline DSGE Model”

why isn’t the varobs command used ?

thank you.

Because the model is not estimated in the mod-file.

I am trying to estimate a NK DSGE based on Justiniano and Preston (2010).

The steady state for all 7 variables is null. Can’t figure out what is wrong - attached the .mod file.

I would appreciate very much if you’d give me a hand. Meanwhile, i search for initval to calibrate, maybe this is the problem.

cod.mod (3.18 KB)

What is the supposed problem? The mod-file correctly solves and displays IRFs.

I need to find a steady state, don’t I ? When I run it, ss values for my variables are zero. I don t think thats ok and I can t use it to simulate irf because all shocks will dissipate after some periods, so its irrelevant.

I cannot follow. It looks as if you have entered a log-linearized model. The variables are then in percentage deviations from steady state. In steady state the percentage deviation is 0. Hence, you do not need to find a steady state for the variables.

Hello again. I’ve written the equations in exp() to see what values computes for ss.

running the steady command with solve algo4 :

STEADY: The problem most often occurs, because a variable with

STEADY: exponent smaller than 1 has been initialized to 0. Taking the derivative

STEADY: and evaluating it at the steady state then results in a division by 0.

No solution could be found.

going back to the log-l code, i have added

estimated_params;

phi, 2 ; niu, 0.6 ; sigma, 0.5 ;

stderr eps_g, 0.035449;

stderr eps_a, 0.008862;

corr eps_g, eps_a, 0;

end;

nothing shows in my output, just the eigen values.

i have read that

//dynare_sensitivity (identification=1, morris=2);

is a useful tool to observe which parameters are most likely to be less identifiable.should it be written in the code before estimated params ?

thank you so much for you support !

regards

Please post a mod-file

- I’ve changed the greek letters (ex. sigma with sigm)
- model is in linearized form, not log-linearized dev from ss
- used steady with 4th algo solver
- introduced the estimated_params block just to see what dynare computes - in my case, nothing.
- optional - dynare sensitivity and stoch_simul.

How do I write the syntax for stoch_simul to have the interval of variation(or cluster) on graphs ? on the plot is only the impulse response.

also, i would like to obtain the likelihood of the model.

thank you for you time.

estimare.mod (3.42 KB)

See [Negative steady state)

stoch_simul uses a calibrated model. There is no uncertainty for the IRFs. Hence, there are no confidence bands. Only if you run estimation you can get confidence bands and the likelihood.

So if i use estimation command before stoch_sim, the parameters estimated by the algorithm i choose in estimation’s syntax will be used in computing irf s ?

excepting the ones calibrated in the preamble and not mentioned in the estimated_params block.

Yes. See the manual for details.

[quote]After running estimation, the parameters M_.params and the variance matrix M_.Sigma_e of

the shocks are set to the mode for maximum likelihood estimation or posterior mode computation

without Metropolis iterations.

After estimation with Metropolis iterations (option mh_replic > 0 or option load_mh_file

set) the parameters M_.params and the variance matrix M_.Sigma_e of the shocks are set to the

posterior mean.[/quote]