Replication of Smet and Wouters(2007)

General DSGE Modeling Replication Attempts
1

I’m trying to replicate Figures 1 (variance decomposition), 2 (IRF), and 3 (cross-correlation) from Smet and Wouters (2007) using the code you posted. For the output variable, should I use y or dy? Conceptually, y represents the deviation from the steady state, while dy represents the growth rate. Which one is used in the paper for the output variance decomposition?
Additionally, for the cross-correlation, the paper mentions using HP-filtered data. In that case, should I use y or dy, and can I simply use the values stored in oo_.gamma_y?

Additionally, I cannot see oo_.PosteriorTheoreticalMoments. could you let me know how to get this result for PosteriorTheoreticalMoments?

2

For the exact replication, you need to look at the original replication files. There you have

   estimation(optim=('MaxIter',200),datafile=usmodel_data,mode_compute=0,mode_file=usmodel_mode,first_obs=71,presample=4,lik_init=2,prefilter=0,mh_replic=0,mh_nblocks=2,mh_jscale=0.20,mh_drop=0.2);
// estimation(optim=('MaxIter',200),datafile=usmodel_data,mode_compute=0,mode_file=usmodel_mode,first_obs=71,presample=4,lik_init=2,prefilter=0,mh_replic=250000,mh_nblocks=2,mh_jscale=0.20,mh_drop=0.2,bayesian_irf,irf=20,moments_varendo,filtered_vars,smoother);

// Generate IRfunctions and Moments of output, inflation and interest rate
   stoch_simul(irf=20) dy pinfobs robs ;

I don’t know what they did with the filtering. You probably have to try.