Dear all,

I am trying to replicate Schimitt-Grohe and Uribe (2018) model (article attached), but I was not able to come to the same results as the authors using exactly their data. From my point of view, the only difference I made in the implementation of this model (mod file attached), is that I assumed the observation error to be Normal (0;Var of the series)/10), i.e. I’ve written observations errors as shocks with a given standard error. In the original paper, the authors also estimate the standard error of the estimation errors, but I was not able to do this in dynare as I get the error that you cannot estimate paramaters used only in shocks.

Kindly give your input on this matter. Any advice as to how to optimize the estimation would also be greatly welcomed, as right now a full estimation takes more than two days of continous running.

Best Regards.

w25380.pdf (292.8 KB)

dizertatiev4.mod (10.7 KB)