Replicating Chap11 The ABC of RBC

General DSGE Modeling Replication Attempts
1

Hello,

I’m trying to replicate the model of chapter 11 in McCandless’s The ABC of RBC.

Volatilities and Correlations are reasonable, but different from those found by McCandless.

Thanks for kindly checking.

chap11_TheABC.mod (1.0 KB)

2

I don’t have the book and most other users probably have the same problem.

3

thanks professor Pfeifer!

4

I think the problem in your shocks block.The value of two shock’s stderr are 0.01.

5

Hello Whj, thank you for checking. I think I found out whats the real problem. Professor McCandless impose simulations over 115 periods to calculare std and correlations of the series. This procedure present different values from the standard theorical values that dynare presents. I changed from theorical values for std and correl (and the magnitude of shocks u mentioned) and I found values prety close to McCandlesss shows.

6

@alves Would you be willing to share your final codes?

7

Hello @jpfeifer.
Sure, follows the codes for Chap11 and 12 and McCandless’s findings.
Unfortunately chap11 code doesn’t reach as close as I thought, pls apologies the misunderstanting. But chap12 code looks good.

chap11_alterado2.mod (1.2 KB) chap12.mod (1.9 KB)

chap12_results
chap12_results1280×804 123 KB
chap11_results
chap11_results1280×960 174 KB