Hi Guys,
I have a quick question. If my model (the files are attached below) is not linearized around the steady state in the mod file, then for the estimation of the parameters, do I have to use the HP filtered data or not?
Thanks a lot in advance.
Best,
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Please Help!
by karrar.jaffar » Mon Dec 03, 2012 1:55 am
- Attachments
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paramJN.m- (1.61 KiB) Downloaded 64 times
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- djk_shrunk_steadystate.m
- (3.62 KiB) Downloaded 53 times
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- djk_shrunk.mod
- (2.72 KiB) Downloaded 67 times
- karrar.jaffar
- Posts: 4
- Joined: Sat Oct 22, 2011 10:59 pm
Re: Please Help!
by jpfeifer » Mon Jan 07, 2013 5:22 pm
The question is wrong. Dynare will always linearize your model around the steady state if you don't do it. Your model always needs an observation equation. Moreover, you should not use the regular HP-filter as it is a two-sided filter and thus not causal. Use either first differences as in Smets/Wouters or use a one-sided HP-filter.
- jpfeifer
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- Location: Cologne, Germany
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