Statistical moments from data vs from Dynare
Posted: Fri Dec 09, 2016 7:27 pm
Hello everyone,
I'm currently writing my Bachelorthesis on evaluating the Neoclassical business cycle model for the countries of Spain and the UK.
My main concerns are that when comparing the statistical moments from the data of these two countries with the statistical moments from the outputs from Dynare, I get as if the Neoclassical model is doing a terrific job on fitting real data. Particularly, the statistical moments analyzed are Standard Deviation, Correlation and First order autoregression for capturing the Business Cycle. These statistics are computed on the variables after having been detrended through the HP filter. The HP-filter and the statistics for these two countries are computed in Excel whereas the same statistical moments are computed by Dynare once I run the model.
I'd really appreciate any explanation on why I may get these divergent results of having such low statistical moments on Dynare compared to the data. Does it have to do with some option I'd need to add in my Dynare script? Did I compute my statistical moments in Excel wrong? Or does it have to do that the Neoclassical model just does a bad job on fitting real data for these two countries (based on all the papers I read, it did an okey job at least for the US, that's why I was wondering...).
I attach my Dynare script and the external Matlab Steady State solver function.
I'd have liked to attach the Excel file with the statistical moments for Spain and UK and their corresponding statistics I get from Dynare. Also a summarized version of the empirical moments (from data) vs theoretical/empirical moments (from Dynare), but I'm not allowed to attach these kind of files here in the forum.
Hence, in case anyone wants to help I leave here my personal e-mail such that I can send you these documents when you contact me: erikignasi@gmail.com
PD: Very interesingly, when I do specify the HP filter option on my Dynare script in order to be able to compare empirical moments, I get worse results than if I don't specify the HP command. This means that the theoretical moments from Dynare (No HP command) fit better actual data (HP filtered) than empirical moments from Dynare (HP command).
Thanks in advance for any kind of help or advise.
I'm currently writing my Bachelorthesis on evaluating the Neoclassical business cycle model for the countries of Spain and the UK.
My main concerns are that when comparing the statistical moments from the data of these two countries with the statistical moments from the outputs from Dynare, I get as if the Neoclassical model is doing a terrific job on fitting real data. Particularly, the statistical moments analyzed are Standard Deviation, Correlation and First order autoregression for capturing the Business Cycle. These statistics are computed on the variables after having been detrended through the HP filter. The HP-filter and the statistics for these two countries are computed in Excel whereas the same statistical moments are computed by Dynare once I run the model.
I'd really appreciate any explanation on why I may get these divergent results of having such low statistical moments on Dynare compared to the data. Does it have to do with some option I'd need to add in my Dynare script? Did I compute my statistical moments in Excel wrong? Or does it have to do that the Neoclassical model just does a bad job on fitting real data for these two countries (based on all the papers I read, it did an okey job at least for the US, that's why I was wondering...).
I attach my Dynare script and the external Matlab Steady State solver function.
I'd have liked to attach the Excel file with the statistical moments for Spain and UK and their corresponding statistics I get from Dynare. Also a summarized version of the empirical moments (from data) vs theoretical/empirical moments (from Dynare), but I'm not allowed to attach these kind of files here in the forum.
Hence, in case anyone wants to help I leave here my personal e-mail such that I can send you these documents when you contact me: erikignasi@gmail.com
PD: Very interesingly, when I do specify the HP filter option on my Dynare script in order to be able to compare empirical moments, I get worse results than if I don't specify the HP command. This means that the theoretical moments from Dynare (No HP command) fit better actual data (HP filtered) than empirical moments from Dynare (HP command).
Thanks in advance for any kind of help or advise.