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Re: Schmitt-Grohe and Uribe 2004b replicate in dynare

PostPosted: Mon Jun 27, 2016 11:23 am
by jpfeifer
They do not match because of the difference in timing conventions. You have that
Code: Select all
A=rho*A(-1)+epsilon

SGU treat A as an exogenous state and present the response to A. Dynare splits A into two states:
Code: Select all
A(-1)

and
Code: Select all
epsilon

Because of this, you are looking at different objects.

Re: Schmitt-Grohe and Uribe 2004b replicate in dynare

PostPosted: Wed Jul 06, 2016 2:39 pm
by hmz
Thanks for the responses.

Doesn't this mean that actually the x_t SGU define has to be x_t = [k_t; log(A_{t+1})] rather than x_t = [k_t; log(A_t)] as it is on p. 758?

Re: Schmitt-Grohe and Uribe 2004b replicate in dynare

PostPosted: Thu Jul 07, 2016 8:35 am
by jpfeifer
No. At time t, A_t is predetermined (because exogenous). A_t+1 is not yet know and therefore associated with an expectational error.