87 lines
2.6 KiB
Modula-2
87 lines
2.6 KiB
Modula-2
// This file replicates the estimation of the CIA model from
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// Frank Schorfheide (2000) "Loss function-based evaluation of DSGE models"
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// Journal of Applied Econometrics, 15, 645-670.
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// the data are the ones provided on Schorfheide's web site with the programs.
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// http://www.econ.upenn.edu/~schorf/programs/dsgesel.ZIP
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// You need to have fsdat.m in the same directory as this file.
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// This file replicates:
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// -the posterior mode as computed by Frank's Gauss programs
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// -the parameter mean posterior estimates reported in the paper
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// -the model probability (harmonic mean) reported in the paper
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// This file was tested with dyn_mat_test_0218.zip
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// the smooth shocks are probably stil buggy
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//
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// The equations are taken from J. Nason and T. Cogley (1994)
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// "Testing the implications of long-run neutrality for monetary business
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// cycle models" Journal of Applied Econometrics, 9, S37-S70.
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// Note that there is an initial minus sign missing in equation (A1), p. S63.
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//
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// Michel Juillard, February 2004
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var m P c e W R k d n l gy_obs gp_obs y dA;
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varexo e_a e_m;
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parameters alp bet gam mst rho psi del;
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alp = 0.33;
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bet = 0.99;
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gam = 0.003;
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mst = 1.011;
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rho = 0.7;
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psi = 0.787;
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del = 0.02;
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model;
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dA = exp(gam+e_a);
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log(m) = (1-rho)*log(mst) + rho*log(0.5*m(-1)+0.25*m(-2)+0.13*m(-3)+0.06*m(-4)+0.03*m(-5)+0.015*m(-6)+0.007*m(-7)+0.004*m(-8)+0.003*m(-9)+0.001*m(-10))+e_m;
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-P/(((1.3*c(+1)+c(+5)+0.7*c(+9))*(1.3*P(+1)+P(+5)+0.7*P(+9)))*m/9)+bet*((1.3*P(+1)+P(+5)+0.7*P(+9))/3)*(alp*exp(-alp*(gam+log((1.3*e(+1)+e(+5)+0.7*e(+9))/3)))*k^(alp-1)*n(+1)^(1-alp)+(1-del)*exp(-(gam+log(e(+1)))))/(c(+2)*P(+2)*m(+1))=0;
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W = l/n;
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-(psi/(1-psi))*(c*P/(1-n))+l/n = 0;
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R = P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(-alp)/W;
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1/(c*P)-bet*P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)/(m*l* (1.3*c(+1)+c(+5)+0.7*c(+9))*(1.3*P(+1)+P(+5)+0.7*P(+9))/9) = 0;
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c+k = exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)+(1-del)*exp(-(gam+e_a)*4)*k(-4);
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P*c = m;
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m-1+d = l;
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e = exp(e_a);
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y = k(-1)^alp*n^(1-alp)*exp(-alp*(gam+e_a));
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gy_obs = dA*y/y(-1);
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gp_obs = (P/P(-1))*m(-1)/dA;
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end;
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initval;
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k = 6;
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m = mst;
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P = 2.25;
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c = 0.45;
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e = 1;
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W = 4;
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R = 1.02;
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d = 0.85;
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n = 0.19;
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l = 0.86;
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y = 0.6;
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gy_obs = exp(gam);
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gp_obs = exp(-gam);
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dA = exp(gam);
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end;
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shocks;
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var e_a; stderr 0.014;
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var e_m; stderr 0.005;
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end;
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steady;
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check;
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stoch_simul(aim_solver, order=1,irf=0);
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benchmark = load(['fs2000x10L9_L' filesep 'Output' filesep 'fs2000x10L9_L_results']);
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threshold = 1e-8;
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if max(max(abs(benchmark.oo_.dr.ghx-oo_.dr.ghx) > threshold));
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error('error in ghx');
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elseif max(max(abs(benchmark.oo_.dr.ghu-oo_.dr.ghu) > threshold));
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error('error in ghy');
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end;
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