V4.3.0 with example nonlinear estimation code on PHPC 2.8

PelicanHPC (pareto.uab.es/mcreel/PelicanHPC) is a live Linux distribution for clustering that can be run on Windows or MacOS using virtualization. The latest release has Dynare 4.3.0, Octave 3.6.2, and it includes some example code for Bayesian estimation using 3rd order solution of the simple RBC model in the Dynare User Guide. If you boot up the image, go to /home/user/Econometrics/MyOctaveFiles/Econometrics/IL/DSGE and execute “./runme”, you will see something like the following table after several minutes. The results can be improved by adjusting the script to do more simulations, the code as provided uses a small number of simulations and is only iillustrative.

Doing SBIL estimation using k-nearest neighbors nonparametric regression

100 rows read in

SBIL estimation results alpha beta delta gam rho sig eps true param 0.330 0.990 0.023 1.750 0.950 0.010 10.000 SBIL mean 0.326 0.988 0.034 1.868 0.936 0.015 10.456 prior mean 0.291 0.976 0.033 1.903 0.924 0.023 11.301 SBIL st.dev. 0.014 0.003 0.004 0.086 0.004 0.001 0.091 prior sdev 0.078 0.014 0.015 0.590 0.039 0.011 0.966 SBIL bias -0.004 -0.002 0.011 0.118 -0.014 0.004 0.456 prior bias -0.039 -0.014 0.010 0.153 -0.026 0.013 1.301 SBIL rmse 0.014 0.003 0.011 0.143 0.014 0.004 0.464 prior rmse 0.087 0.020 0.018 0.609 0.047 0.017 1.620 number of Monte Carlo reps: 11