RBC in Dynare vs RBC in Matlab

Stochastic simulations
1

Dear Professor Pfeifer,

I am studying your lecture notes on the basic RBC model. You provide two codes, one for Matlab and one for Dynare. I noticed that the IRFs produced from the two codes are slightly different. I would like to ask why this happens. I am sorry if this is a trivial question, but I am new to DSGE modeling.
I would also like to ask if, in stoch_simul, it is assumed that before the shock occurs the economy is in the non-stochastic steady-state.

Thank you very much in advance! Also, thank you very much for sharing your lecture notes and codes. They have been extremely helpful!

Francesco

2

When you say “slightly” different, what exactly do you mean? Where can I see the difference?

3

I ran your chapter 2 codes, solveRBC.m, and RBC_IRF.mod, and the response of output to a shock in g at the first period is 0.1299 and 0.001522, respectively. I tried changing the var of eps_g to 1 and removing hp filter, but the responses are still different (the response of output is 0.1478 in this case). Does this happen because the scaling is different?
I am so sorry to bother you, I am new at Dynare and DSGE modeling. Thank you very much for your time.

4

There are two things you need to change:

  1. You need to set the shock size in the mod-file to 0.01.
  2. In the m-file you need to set rhog = 0.989; instead of 0.98.
5

I’m sorry, I missed that. Thank you very much! Thank you again for sharing your notes and codes!