Code to replicate Garcıa-Cicco, Pancrazi and Uribe (2010)

[ozgrbhr]

Thank you for your kind reply. Yes. I run the code with their data. I also checked whether subtracting a preference shock affects results, in that case correlation matrix is the following. It seems strange, does not it? I understand when the correlation is less than 0.5, but the numbers(0,86,-0,81 ) are so high. May I miss something ?

e_a e_g e_mu e_s
e_a 1.00 -0.81 0.46 0.16
e_g -0.81 1.00 -0.35 -0.36
e_mu 0.46 -0.35 1.00 0.04
e_s 0.16 -0.36 0.04 1.00

Bahar.

[ozgrbhr]

Thank you for your kind reply. Yes. I run the code with their data. I also checked whether subtracting a preference shock affects results, in that case correlation matrix is the following. It seems strange, does not it? I understand when the correlation is less than 0.5, but the numbers(0,86,-0,81 ) are so high. May I miss something ?

e_a e_g e_mu e_s
e_a 1.00 -0.81 0.46 0.16
e_g -0.81 1.00 -0.35 -0.36
e_mu 0.46 -0.35 1.00 0.04
e_s 0.16 -0.36 0.04 1.00

Bahar.

[jpfeifer]

This is hard to tell. But it is well-known that many smoothed economic shocks violate the i.i.d assumption.

[cathec]

Hello jpfeifer,

I'm trying to run GarciaCicco_et_al_2010.mod, with the same code and data in:
https://github.com/JohannesPfeifer/DSGE ... et_al_2010,
I'm using the dynare unstable version 2016-05-01, my matlab version is 7.8.0 (R2009a), I'm using 32-bit preprocessor and I'm obtain this error:

??? Reference to non-existent field 'g_y'.

Error in ==> GarciaCicco_et_al_2010 at 310
fprintf('%30s \t %5.4f \t %5.4f \t %5.4f \t %5.4f\n','Correlation with
g_y:',[oo_.PosteriorTheoreticalMoments.dsge.covariance.Mean.g_y.g_y/(sqrt(oo_.PosteriorTheoreticalMoments.dsge.covariance.Mean.
Error in ==> dynare at 223
evalin('base',fname) ;

I start to run the code the code with:
addpath c:\dynare\2016-05-01\matlab
dynare GarciaCicco_et_al_2010.mod

I read your reply in this forum about dynare_estimacion.m but I can't found the .m file in it's last version.
¿Could you help me? Or somebody else?

[jpfeifer]

This was a mistake in the mod-file. I updated it. Could you please try with the new version?

[cathec]

Thank you very much!. I'll try to run it again.

[cathec]

Thank you very much for checking the code , it runs now. Then I 'll deal with my data, this is the hardest part. Again, thank you very much!