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Hi all, I am working with Financial Frictions in NK-DSGE-Model with durable goods. In my earlier post, I was ask for the solution of rank condition problem. With the invaluable response, I have removed one reduntant equation and now my model is generating IRFs and some of the theoretical moments with NAN for others. If I use Drop and period option, then I am getting simulated moments for all endogenous variables. I have compared the IRFs with "stoch_simul(order=1,irf=40)" and "stoch_simul(order=1,irf=40, periods=2000, drop=200)" and these are identical. Can someone please let me know why is this happening? Is this still a serious problem? What can I do to get theoretical moments? Another question is about the nominal shock of my model. My model works well with 3 out of 4 main shocks (shock to networth, productivity shock and capital quality shock) but with nominal shock, I am getting the following message "All endogenous are constant or non-stationary, not displaying correlations and auto-correlations". I read the various post in the forum and consult the user manual for this which talked about stationarity issue. I have log-linearized my model around steady state by hand and input the model in mod file as "model (linear)". Can I still expect stationarity problem with log-linearization model around the steady state? What should I do to get rid of this problem?

Could you please post the mod-file.

I believe that the model that I was working with is suffering from this type of issue. What would be the necessary steps to take when you are programming a log-linearization done by hand?

I am getting the following results after log-linearizing by hand. I did look at listing 3 as a guide.

MOMENTS OF SIMULATED VARIABLES

VARIABLE MEAN STD. DEV. VARIANCE SKEWNESS KURTOSIS
y_hat 0.000000 0.000000 0.000000 NaN NaN
k_hat 0.000000 0.000000 0.000000 NaN NaN
n_hat 0.000000 0.000000 0.000000 NaN NaN
inv_hat 0.000000 0.000000 0.000000 NaN NaN
c_hat 0.000000 0.000000 0.000000 NaN NaN
w_hat 0.000000 0.000000 0.000000 NaN NaN
h_hat 0.000000 0.000000 0.000000 NaN NaN


CORRELATION OF SIMULATED VARIABLES

VARIABLE y_hat k_hat n_hat inv_hat c_hat w_hat h_hat
y_hat NaN NaN NaN NaN NaN NaN NaN
k_hat NaN NaN NaN NaN NaN NaN NaN
n_hat NaN NaN NaN NaN NaN NaN NaN
inv_hat NaN NaN NaN NaN NaN NaN NaN
c_hat NaN NaN NaN NaN NaN NaN NaN
w_hat NaN NaN NaN NaN NaN NaN NaN
h_hat NaN NaN NaN NaN NaN NaN NaN


AUTOCORRELATION OF SIMULATED VARIABLES

VARIABLE 1 2 3 4 5
y_hat NaN NaN NaN NaN NaN
k_hat NaN NaN NaN NaN NaN
n_hat NaN NaN NaN NaN NaN
inv_hat NaN NaN NaN NaN NaN
c_hat NaN NaN NaN NaN NaN
w_hat NaN NaN NaN NaN NaN
h_hat NaN NaN NaN NaN NaN

In your case, your only shock is epsa. It affects the model via

Code: Select all

  A_hat = rhoa*A_hat(-1) + epsa;

But A_hat does not enter anywhere else. That is why it has no impact on any other variable and why they are all constant.

Thanks Johannes so much for your help. I fixed it and it's ok.