Replication of "Optimal monetary policy in an estimated DSGE for the euro area"

I m trying to replicate the paper that that indicated in topic.But ı got an error message. I though it caused because of initial values, but ı couldn’t overcome it. Please help me about it. My code was attached.odeneme.mod (2.8 KB)

Thanks in advance

As the message says

Some of the parameters have no value (mu_w, tau_w, mu_p, tau_p, L_tilda, alpha_w, phi_s, phi_psi,
R_kstar, G, omega) when using steady. If these parameters are not initialized in a steadystate file or a
steady_state_model-block, Dynare may not be able to solve the model…

Dear Professor Jpfeifer,
Firstly thanks for your answer. I trried to fill the miss parameters. But some of warnings messages still remain. I attached the the last version of my code.
Thanks for sparing your time againodeneme.mod (3.0 KB)

You still did not initialize omega. Also, put resid before steady and focus on the problematic equations with NaN and Inf.

I initialized omega also, but still there are two problematic equations and ı couldn t find why the are problematic. I again attached the last version of code. I don t understand why those gives NaN and inf. odeneme.mod (3.0 KB)

You need to initialize all variables that cannot be 0 in the initval-block.

Hi Mr. Pfeifer again,

I had started from the beginning and calibrate all values by hand again. But still two equations gave error. I really don t understand why… I ınitialized all variables… I attached the last version of my code again…odeneme.mod (3.1 KB) Do you have any ideo where ı have to be focus on?

Thank you

You need to be more careful. You did not initialize lambda for example.

Dear pfeifer,

I m really sorry for keeping you busy. I initialized lambda and checked all variables and parameters initialized differ from 0. Bu still almost same problem occurs. Could you please check my code up again? odeneme.mod (3.1 KB)

Now you have an Inf in equation 11. That equation reads


Here, epsilon_A is an exogenous variable with steady state 0. That implies you are dividing by 0. Most probably there is an exp() missing.

I check the equations in paper again but ı was written like that. There is another paper which use almost same model. When ı looked at it, it was same too. In my model epsilon_A Also can be seen in equation 17. When ı solve this equation epsilon_A is not 0 at steady state.I m really confused about it.

Then it’s not the TFP shock, but rather the TFP process itself. The way you currently have it is definitely misspecified.

Thank you mr. Pfeifer. I think ı have to start the paper from the beginning again. I am going to attempt to derive required equations and try to write in Dynare again by considering your warnings… I hope it will done this time.

Hello again Mr. @jpfeifer
I attempted the paper, and write the code from the beginning. Now Dynare does not give any warnings about equations, but still cannot solve the model. I derived the initial values by hand but ıt gave warning about the initial values ı think… Could you please give any advice to solve this point? the last version of my code deneme.mod (3.1 KB)

One problem you are almost surely facing is

Thank you for your help. I have an equation that include steady state value. Then ı fixed it in light of your warnings. But same problem still occur… Is there any point to be ceraful about this issue? deneme.mod (3.2 KB)

The problem is that singularities like this one or the unit root in the price level that you have in your current version will prevent an endogenous computation of the steady state are there are infinitely many. That means that you should ideally compute the steady state with pencil and paper.

thank you @jpfeifer for your help