Hi,
I am running a fairly standard DSGE model using Dynare 4.0.1 with the goal of matching the moments of the model to the data.
I get the following results:
Theoretical moments run without HP filter are the same as empirical moments with HP filter.
Theoretical moments with HP filter are quite different.
Could you explain why this is, and which set of moments should be matched to the data?
Thank you very much!
Olena
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Theoretical moments with and w/o HP filter
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Theoretical moments with and w/o HP filter
by olena7 » Thu Jul 08, 2010 12:31 am
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Re: Theoretical moments with and w/o HP filter
by p.gelain » Mon Jul 19, 2010 9:22 pm
Are you estimating the model of simulating it?
P.
P.
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Re: Theoretical moments with and w/o HP filter
by olena7 » Tue Jul 20, 2010 5:56 pm
I am simulating the model using the stoch_simul command.
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Re: Theoretical moments with and w/o HP filter
by SébastienVillemot » Thu Aug 19, 2010 2:23 pm
Please upgrade to the latest Dynare (4.1.2 as of today) since we may have fixed bugs related to the HP filter since the 4.0.1 version.
In particular, if I recall correctly, empirical moments with HP filter were not implemented in Dynare 4.0.1 (so it may explain your strange results).
In particular, if I recall correctly, empirical moments with HP filter were not implemented in Dynare 4.0.1 (so it may explain your strange results).
Sébastien Villemot
Economist at OFCE – Sciences Po
Economist at OFCE – Sciences Po
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Re: Theoretical moments with and w/o HP filter
by olena7 » Tue Aug 31, 2010 3:32 pm
Thank you, Sébastien!
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