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