I am trying to gauge the fit of the NK model by generating data, and comparing it to data sample used in the SW(2007) model.

I have the NK model (using the code available on this website nk.mod), which I run to get observations for inflation, output and interest rate (using the get_simul_replications.m code). Then I run a simple script (co.m) which uploads SW(2007) data, and the data generated by the nk model, and plots them. Then we can compare the two data sets. As you can see I get a terrible fit, which is surprising, as the data set is not even close to each other.

The data file usd contains the SW(2007) data for output,inflation and interest rate (transformed data used for estimation -dy,pin fobs,robs)

For output growth, they are pretty similar. For the interest and inflation rate I am not sure you are comparing the same objects (net vs. gross; demeaned vs. undemeaned)

I thought of that, but since I am using the measurement equations(from SW(2007)) and comparing it with the transformed data used in estimation (again from SW(2007)), I thought I’d get a pretty good fit, and won’t have to worry about transformations and all that. Is their something fundamentally wrong with my approach/results?

Using their observation equation to generate artificial observed variables does only work if the model variables used in the observation equation are the same. I haven’t looked at the models to verify this.