Replicate JEDC (2015)

Dear all, could you have any idea of replicating zanetti & mumtaz JEDC (2015)? I don’t know how to calibrate those adjustment parameters, e1, e2, e3,eta1, etc analytically.

For the case of variable in level or exp, how to compute their hpfiltered second moments?
I attached an example here.

Thanks a lot.


What do you mean with

? Aren’t they estimated?
Regarding second moments, stoch_simul has an hp_filter-option. See the manual

No. I think they are calibrated at first.

You mean dynare can directly calculate accurate simulated moments?

Then please point to the relevant description in the paper.

Yes, Dynare computes analytical HP-filtered moments at first order.

Dear professor, thanks for your advice. Sorry that I was wrong. But is there any reasonable way to calibrate them out without estimation.

So Dynare can computes HP-filtered moments only at first order?

Thanks a lot.

With higher order approximations you can use filtered simulated time series to compute the moments (there is no way to compute the HP filtered moments analytically with Dynare if the model is not linear/linearized).


Simply set the parameters to the posterior mode reported in the paper.