Dear Prof. Pfeifer
Thank you so much for your reply.
I am conducting the exercise for matching moment by using your code in “Risk matter: A comment” for my model. That is a non-linear DSGE with stochastic volatility shock.
The moments I want to match are: variance of output, variance of consumption relative to output, variance of labor relative to output, correlation of output and consumption, and correlation of output and labor.
I solve the problem with input dimension. This code run but there are something I need to learn from Professor.
I computed the moment from my model but the results are weird for variance out output (too big), variance output to consumption and correlation output and consumption is 1.
Can you suggest what are my problems and how I can fix this?
I guess the problem come from the code: get_quarterly_moment
Can you explain: Y_quarterly_sum_aggregation(:,ii)=squeeze(sum(simulated_series(strmatch(‘y’,M_.endo_names,‘exact’),(ii-1)3+1:ii3,:)));
I counldnt find the code: simulated_series
I have a question related to SMM simulation in code: smm_diff_function.m"
I see that code: “Born_Pfeifer_RM_Comment.mod” in recalibration part, Professor obtain SMM estimated paramters before running this code.
Please help me explain the procedure to run your code set. I do not know how to obtain SMM estimated parameters.
P/S: I attached my code, please take a look when Professor have time and give me some suggestion on my current issue. Thank you so much
generate_FGRU_shocks.m (2.2 KB)
get_quarterly_moments.m (5.9 KB)
Model_Uncertainty6.mod (15.8 KB)
simult_FGRU.m (9.2 KB)
smm_diff_function.m (4.8 KB)