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NK_baseline.mod: set up shocks block in a way that standard deviation parameters can be estimated

covariance-quadratic-approximation
Johannes Pfeifer 2023-12-20 08:39:21 +01:00
parent fb18777e58
commit b215eedb4b
1 changed files with 21 additions and 17 deletions
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38
examples/NK_baseline.mod
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@ -26,13 +26,17 @@
* The model is written in the beginning of period stock notation. To make the model
* conform with Dynare’s end of period stock notation, we use the
* predetermined_variables-command.
*
*
* The model has been implemented in detrended form, i.e. the \mu_{i,t} are actually
* the the growth rates of the original \mu_{i,t}^{orig} in the paper, i.e.
* log(\mu_{i,t})=log(\mu_{i,t}^{orig}/\mu_{i,t-1}^{orig})
*
* Please note that the following copyright notice only applies to this Dynare
* implementation of the model.
*/
/*
* Copyright © 2013-2020 Dynare Team
* Copyright © 2013-2023 Dynare Team
*
* This file is part of Dynare.
*
@ -151,12 +155,12 @@ gammmaPI =1.29;
PIbar = 1.01;
rhod = 0.12;
rhophi = 0.93;
sigma_A = -3.97;
sigma_d = -1.51;
sigma_A = exp(-3.97);
sigma_d = exp(-1.51);
sigma_phi =-2.36;
sigma_mu =-5.43;
sigma_m =-5.85;
sigma_phi =exp(-2.36);
sigma_mu =exp(-5.43);
sigma_m =exp(-5.85);
Lambdamu=3.4e-3;
LambdaA = 2.8e-3;
@ -214,7 +218,7 @@ mc=(1/(1-alppha))^(1-alppha)*(1/alppha)^alppha*w^(1-alppha)*r^alppha;
1=thetap*(PI(-1)^chi/PI)^(1-epsilon)+(1-thetap)*PIstar^(1-epsilon);
[name='Taylor Rule']
R/Rbar=(R(-1)/Rbar)^gammmaR*((PI/PIbar)^gammmaPI*((yd/yd(-1)*mu_z)/exp(LambdaYd))^gammmay)^(1-gammmaR)*exp(epsm);
R/Rbar=(R(-1)/Rbar)^gammmaR*((PI/PIbar)^gammmaPI*((yd/yd(-1)*mu_z)/exp(LambdaYd))^gammmay)^(1-gammmaR)*exp(sigma_m*epsm);
[name='Resource constraint']
yd=c+x+mu_z^(-1)*mu_I^(-1)*(gammma1*(u-1)+gammma2/2*(u-1)^2)*k;
@ -235,24 +239,24 @@ PIstarw=wstar/w;
//exogenous processes
[name='Preference Shock']
log(d)=rhod*log(d(-1))+epsd;
log(d)=rhod*log(d(-1))+sigma_d*epsd;
[name='Labor disutility Shock']
log(phi)=rhophi*log(phi(-1))+epsphi;
log(phi)=rhophi*log(phi(-1))+sigma_phi*epsphi;
[name='Investment specific technology']
log(mu_I)=Lambdamu+epsmu_I;
log(mu_I)=Lambdamu+sigma_mu*epsmu_I;
[name='Neutral technology']
log(mu_A)=LambdaA+epsA;
log(mu_A)=LambdaA+sigma_A*epsA;
[name='Defininition composite technology']
mu_z=mu_A^(1/(1-alppha))*mu_I^(alppha/(1-alppha));
end;
shocks;
var epsd; stderr exp(sigma_d);
var epsphi; stderr exp(sigma_phi);
var epsmu_I; stderr exp(sigma_mu);
var epsA; stderr exp(sigma_A);
var epsm; stderr exp(sigma_m);
var epsd; stderr 1;
var epsphi; stderr 1;
var epsmu_I; stderr 1;
var epsA; stderr 1;
var epsm; stderr 1;
end;
steady;