Hi
I would like to solve the standard RBC model where the technology shock follows a random walk (i.e. unit root).
How do specify the model in Dynare?
So far, I have detrended the model and the detrended shock is just IID over time.
The problem is that the IR look strange. Essential, all endogenous variable react at the time of the shock but there is no persistence.
Can anyone point me to an example? I am not looking for code that does estimation.
Thanks
Lars
Dynare forums
Forums for asking questions, posting comments and uploading examples related to Dynare
Model with Random Walk
Forum rules
This forum is closed. You can read the posts but cannot write. We have migrated the forum to a new location (https://forum.dynare.org) where you will have to reset your password.
This forum is closed. You can read the posts but cannot write. We have migrated the forum to a new location (https://forum.dynare.org) where you will have to reset your password.
2 posts
• Page 1 of 1
Model with Random Walk
by Lars12 » Wed Feb 03, 2010 5:33 pm
- Lars12
- Posts: 4
- Joined: Wed Feb 03, 2010 5:28 pm
Re: Model with Random Walk
by SébastienVillemot » Thu Feb 04, 2010 11:57 am
Attached is an example, with two unit-root shocks.
Best
Best
- Attachments
-
example1.mod- (670 Bytes) Downloaded 236 times
Sébastien Villemot
Economist at OFCE – Sciences Po
Economist at OFCE – Sciences Po
- SébastienVillemot
- Posts: 706
- Joined: Fri Dec 07, 2007 2:29 pm
- Location: Paris, France
2 posts
• Page 1 of 1
Who is online
Users browsing this forum: Google [Bot] and 13 guests