Dear Johannes,
Dear all,
I carefully read the SW2007 model (paper + mod files provided by AER website, AER’s zip + mod file provided by Johannes’s GIT), and I have a little question about the code.
At the end of the consumption equation of the mod files (AER’s zip+GIT), we can see this: (r - pinf(+1) + 0b) + b;
But in the paper (eq 2 of the SW2007 AER paper), the consumption equation ends with:
*(r - pinf(+1) + b);
So my question is simple: are the mod files from AER’s supplemental material or Johannes’ GIT are correct?
If yes, can u provide a clear explanation?
If not, can u provide a clear correction?
Same question for:
// Real value of the existing capital stock
pk = -r + pinf(+1) - 0b + (1/((1 - chabb/cgamma)/(csigma(1 + chabb/cgamma))))*b + …
that should be
pk = -r + pinf(+1) - b + …
Thank you very much for your answer.
However, I am not sure that results are unaffected by this.
Thank you to inform me when you update the file.
Kind regards,
Jonathan
I have run 2 estimations with same configuration and datasets
variance decomposition of risk premium shock are not the same.
I have done that last year, so maybe I have done a mistake about the correction of “(r - pinf(+1) + 0b) + b;” which I replaced by “*(r - pinf(+1) + b);” and similarly for the other occurrences of “b”.
I think u should try with a good correction and compare.
Another question: from where did u take the answer " The consumption Euler equation in the paper, equation (2), premultiplies the risk premium process \varepsilon_t^b, denoted by b in this code, by the coefficient c_3. In the code this prefactor is omitted by setting the coefficient to 1. As a consequence, b in this code actually is b:=c_3*\varepsilon_t^b. This rescaling also explains why the standard deviation of the risk premium shock in the AR(1)-process for b has a different standard deviation than reported in the paper. However, the results are unaffected by this "
?
Is it your response or does it comes from someone else ?
for research purposes, especially aiming at variance decompositions, I did come across the SW2007 paper and existing mod files as well.
I also modified the mod file like @jonathanb did and found different results for the risk premium / preference shock compared to the estimation results using the mod file published by Prof. Pfeifer and SW.
Unfortunately, I am lacking explanation here since it is stated that the results should be unaffected…
Can anyone help me out with a short explanation please.
I don’t know which model to use for the purpose of variance decomposition.
The one in the estimation command - moments_varendo. stoch_simul seems not to produce such a deviation.
So, the mean variance decomposition show deviations, but not the variance decomposition at the mean.
It’s hard for me to find a good interpretation for this.
Okay, thank you! So, I will use the results from stoch_simul for my research first and interpret them, and try the unstable version for moments_varendo.
That means, that there should be no huge difference in the risk premium shock and I could use the mod file published by you and SW
I ran a few tests with the unstable version now and the results look way more logicial than in the stable version.
Since I already computed many (time consuming) draws with the stable version, I am wondering if it is possible to compute moments_varendo for existing mode_file and load_mh_file with mh_replic=0 using the newest unstable version?