Dear Prof.

I am trying to estimate a middle scale NK-DSGE model with Japan and US data, 7 series, growth rate of output, growth rate of consumption, growth rate of wage, growth rate of investment, labor hours index and policy rate.

I used mode_compute=4 and successful estimated all parameters. but I have some problems about two Calvo parameters for wage and price rigidity. The model I used has a stochastic growth trend. xi_p and xi_w are near 1, these values are not reasonable.

parameters

prior mean post. mean 90% HPD interval prior pstdev

sigma 1.000 3.7749 2.3107 5.2315 gamm 0.5000

theta 0.500 0.8691 0.8204 0.9185 beta 0.1500

chi 2.000 2.1490 1.3056 2.9663 gamm 0.5000

zetainv 4.000 8.1778 6.0267 10.2268 gamm 1.0000

mu 1.000 0.3673 0.2244 0.5034 gamm 0.5000

phiy 0.075 0.1853 0.0698 0.3018 beta 0.0500

lambda_p 0.200 0.2708 0.1689 0.3708 gamm 0.0500

gamma_p 0.500 0.7540 0.5897 0.9460 beta 0.2500

xi_p 0.500 0.9785 0.9688 0.9876 beta 0.2500

gamma_w 0.500 0.6961 0.4844 0.9175 beta 0.2500

xi_w 0.500 0.9756 0.9547 0.9990 beta 0.2500

phi_r 0.800 0.7291 0.6727 0.7836 beta 0.1000

phi_pi 1.500 1.4640 1.3076 1.6174 gamm 0.1000

phi_y 0.125 0.2598 0.1628 0.3609 gamm 0.0500

pi_star 0.150 0.2358 0.1200 0.3396 gamm 0.0500

z_star 0.200 0.1634 0.1191 0.2033 gamm 0.0500

RN_star 0.500 0.6589 0.5603 0.7578 gamm 0.0500

L_star 2.000 1.9586 1.9185 1.9992 norm 1.0000

rho_b 0.500 0.2472 0.0985 0.3915 beta 0.2000

rho_i 0.500 0.7406 0.6696 0.8179 beta 0.2000

rho_w 0.500 0.3802 0.0992 0.6278 beta 0.2000

rho_g 0.500 0.9834 0.9760 0.9914 beta 0.2000

rho_p 0.500 0.0842 0.0115 0.1578 beta 0.2000

standard deviation of shocks

prior mean post. mean 90% HPD interval prior pstdev

mu_b 0.500 7.7915 4.6284 10.8363 invg Inf

mu_i 0.500 1.8427 1.3232 2.3637 invg Inf

mu_w 0.500 0.3056 0.2728 0.3388 invg Inf

mu_g 0.500 0.8941 0.7835 1.0039 invg Inf

mu_p 0.500 0.0957 0.0834 0.1081 invg Inf

mu_r 0.500 0.2982 0.2565 0.3383 invg Inf

mu_z 0.500 0.4864 0.4198 0.5521 invg Inf

Data and mod file.zip (63.2 KB)

I hope someone can give me some help about how to fix this problem, because these two parameters are very important.