clever steady state!

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clever steady state!

Postby Glm » Mon Mar 02, 2015 12:46 pm

Let's say that I am going to estimate my model and my steady state values are calculated like this

model;
# pk_ss=gamma/beta+delta-1;
# x_ss=pie;
# p_flex=1;
# inflation_ss=pie;
# mc_ss=(eta_p-1)/eta_p;
# Mw_ss=eta_w/(eta_w-1);
# R_ss=gamma*pie/beta;
# h=1;
# mu=0;
# PSI_ss=((1-alpha)/((pk_ss/alpha*gamma^(1/omega)*mc_ss)^(omega-1)-alpha/(gamma^((omega-1)/omega))))^(omega/(omega-1));
# TETHA_ss=1/(gamma^((1-xi)/xi));
# PHI_ss=(alpha*(PSI_ss/gamma)^((omega-1)/omega)+(1-alpha))^(1/(omega-1));
# w_ss=(1-alpha)*mc_ss*PHI_ss;
# OMEGA_ss=(TETHA_ss*Mw_ss*(1-theta)^sigma)*((PHI_ss^omega)*(1-sg)-(gamma-1+delta)*PSI_ss)^sigma;
# n_ss=(w_ss/OMEGA_ss)^(1/(sigma+phi));
# k_ss=n_ss*PSI_ss;
# investment_ss=k_ss*((gamma+delta-1)/gamma);
# y_ss=(alpha*(k_ss/gamma)^((omega-1)/omega)+(1-alpha)*n_ss^((omega-1)/omega))^(omega/(omega-1));


further assume that I have a Taylor rule in my model block that reacts on output deviations from its steady state according to
R=R_ss*(y/y_ss))^rho;

This means that I want to include my steady state value for y in my model block and I also want it to be updated as my parameters change during the estimation and as was evident from the steady state ekvations above my steady state value for y_ss depends on a lot of expression equations.

Then the problem is. What do I write under the "steady_state_model;" block? Because I can't use the same expression names like THETA_ss and it seems a bit messy to have to define new expression variables just for the steady state block such as "THETA_ss2". So does anyone have a clever way how to include all of this such that all steady state equations are updated during the estimation in a way that I can include "y_ss" directly in the model?
Glm
 
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Joined: Tue Jan 17, 2012 12:54 pm

Re: clever steady state!

Postby jpfeifer » Mon Mar 02, 2015 12:56 pm

Replace the expressions by parameters and move their definition to the steady state model block.
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
jpfeifer
 
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Joined: Sun Feb 21, 2010 4:02 pm
Location: Cologne, Germany

Re: clever steady state!

Postby Glm » Tue Mar 03, 2015 9:54 am

Thank you. That helped :)
Glm
 
Posts: 47
Joined: Tue Jan 17, 2012 12:54 pm


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