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Updating Smets & Wouters 2007

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Updating Smets & Wouters 2007

PostPosted: Wed Jul 22, 2009 7:55 pm
by dnlang
Greetings all,
I am trying to update Smith and Wouters (2007) paper with historical data up to 2009q1. I was wondering how I can find the forecasted values for the varobs. I don't see an obvious variable in the who command or in the user's guide.
Code: Select all
// copy van usmodel_hist_dsge_f19_7_71

var   labobs robs pinfobs dy dc dinve dw  ewma epinfma  zcapf rkf kf pkf    cf invef yf labf wf rrf mc zcap rk k pk    c inve y lab pinf w r a  b g qs  ms  spinf sw kpf kp ;   
 
varexo ea eb eg  eqs  em  epinf ew  ; 
 
parameters curvw cgy curvp constelab constepinf constebeta cmaw cmap calfa
czcap cbeta csadjcost ctou csigma chabb ccs cinvs cfc
cindw cprobw cindp cprobp csigl clandaw
crdpi crpi crdy cry crr
crhoa crhoas crhob crhog crhols crhoqs crhoms crhopinf crhow 
ctrend
conster cg cgamma clandap cbetabar cr cpie crk cw cikbar cik clk cky ciy ccy crkky cwhlc cwly ;

// fixed parameters
ctou=.025;
clandaw=1.5;
cg=0.18;
curvp=10;
curvw=10;

// estimated parameters initialisation
calfa=.24;
cgamma=1.004;
cbeta=.9995;
csigma=1.5;
cpie=1.005;
cfc=1.5;
cgy=0.51;

csadjcost= 6.0144;
chabb=    0.6361;   
cprobw=   0.8087;
csigl=    1.9423;
cprobp=   0.6;
cindw=    0.3243;
cindp=    0.47;
czcap=    0.2696;
crpi=     1.488;
crr=      0.8762;
cry=      0.0593;
crdy=     0.2347;

crhoa=    0.9977;
crhob=    0.5799;
crhog=    0.9957;
crhols=   0.9928;
crhoqs=   0.7165;
crhoas=1;
crhoms=0;
crhopinf=0;
crhow=0;
cmap = 0;
cmaw  = 0;

// derived from steady state
clandap=cfc;
cbetabar=cbeta*cgamma^(-csigma);
cr=cpie/(cbeta*cgamma^(-csigma));
crk=(cbeta^(-1))*(cgamma^csigma) - (1-ctou);
cw = (calfa^calfa*(1-calfa)^(1-calfa)/(clandap*crk^calfa))^(1/(1-calfa));
cikbar=(1-(1-ctou)/cgamma);
cik=(1-(1-ctou)/cgamma)*cgamma;
clk=((1-calfa)/calfa)*(crk/cw);
cky=cfc*(clk)^(calfa-1);
ciy=cik*cky;
ccy=1-cg-cik*cky;
crkky=crk*cky;
cwhlc=(1/clandaw)*(1-calfa)/calfa*crk*cky/ccy;
cwly=1-crk*cky;


ctrend=(cgamma-1)*100;
conster=(cr-1)*100;
constepinf=(cpie-1)*100;
constelab=0;

model(linear);

#usmodel_stst;

// flexible economy

         0*(1-calfa)*a + 1*a =  calfa*rkf+(1-calfa)*(wf)  ;
         zcapf =  (1/(czcap/(1-czcap)))* rkf  ;
         rkf =  (wf)+labf-kf ;
         kf =  kpf(-1)+zcapf ;
         invef = (1/(1+cbetabar*cgamma))* (  invef(-1) + cbetabar*cgamma*invef(1)+(1/(cgamma^2*csadjcost))*pkf ) +qs ;
          pkf = -rrf-0*b+(1/((1-chabb/cgamma)/(csigma*(1+chabb/cgamma))))*b +(crk/(crk+(1-ctou)))*rkf(1) +  ((1-ctou)/(crk+(1-ctou)))*pkf(1) ;
         cf = (chabb/cgamma)/(1+chabb/cgamma)*cf(-1) + (1/(1+chabb/cgamma))*cf(+1) +((csigma-1)*cwhlc/(csigma*(1+chabb/cgamma)))*(labf-labf(+1)) - (1-chabb/cgamma)/(csigma*(1+chabb/cgamma))*(rrf+0*b) + b ;
         yf = ccy*cf+ciy*invef+g  +  crkky*zcapf ;
         yf = cfc*( calfa*kf+(1-calfa)*labf +a );
         wf = csigl*labf    +(1/(1-chabb/cgamma))*cf - (chabb/cgamma)/(1-chabb/cgamma)*cf(-1) ;
         kpf =  (1-cikbar)*kpf(-1)+(cikbar)*invef + (cikbar)*(cgamma^2*csadjcost)*qs ;

// sticky price - wage economy

         mc =  calfa*rk+(1-calfa)*(w) - 1*a - 0*(1-calfa)*a ;
         zcap =  (1/(czcap/(1-czcap)))* rk ;
         rk =  w+lab-k ;
         k =  kp(-1)+zcap ;
         inve = (1/(1+cbetabar*cgamma))* (  inve(-1) + cbetabar*cgamma*inve(1)+(1/(cgamma^2*csadjcost))*pk ) +qs ;
          pk = -r+pinf(1)-0*b +(1/((1-chabb/cgamma)/(csigma*(1+chabb/cgamma))))*b + (crk/(crk+(1-ctou)))*rk(1) +  ((1-ctou)/(crk+(1-ctou)))*pk(1) ;
         c = (chabb/cgamma)/(1+chabb/cgamma)*c(-1) + (1/(1+chabb/cgamma))*c(+1) +((csigma-1)*cwhlc/(csigma*(1+chabb/cgamma)))*(lab-lab(+1)) - (1-chabb/cgamma)/(csigma*(1+chabb/cgamma))*(r-pinf(+1) + 0*b) +b ;
         y = ccy*c+ciy*inve+g  +  1*crkky*zcap ;
         y = cfc*( calfa*k+(1-calfa)*lab +a );
         pinf =  (1/(1+cbetabar*cgamma*cindp)) * ( cbetabar*cgamma*pinf(1) +cindp*pinf(-1)
               +((1-cprobp)*(1-cbetabar*cgamma*cprobp)/cprobp)/((cfc-1)*curvp+1)*(mc)  )  + spinf ;
         w =  (1/(1+cbetabar*cgamma))*w(-1)
               +(cbetabar*cgamma/(1+cbetabar*cgamma))*w(1)
               +(cindw/(1+cbetabar*cgamma))*pinf(-1)
               -(1+cbetabar*cgamma*cindw)/(1+cbetabar*cgamma)*pinf
               +(cbetabar*cgamma)/(1+cbetabar*cgamma)*pinf(1)
               +(1-cprobw)*(1-cbetabar*cgamma*cprobw)/((1+cbetabar*cgamma)*cprobw)*(1/((clandaw-1)*curvw+1))*
               (csigl*lab + (1/(1-chabb/cgamma))*c - ((chabb/cgamma)/(1-chabb/cgamma))*c(-1) -w)
               + 1*sw ;
         r =  crpi*(1-crr)*pinf
               +cry*(1-crr)*(y-yf)     
               +crdy*(y-yf-y(-1)+yf(-1))
               +crr*r(-1)
               +ms  ;
         a = crhoa*a(-1)  + ea;
         b = crhob*b(-1) + eb;
         g = crhog*(g(-1)) + eg + cgy*ea;
         qs = crhoqs*qs(-1) + eqs;
         ms = crhoms*ms(-1) + em;
         spinf = crhopinf*spinf(-1) + epinfma - cmap*epinfma(-1);
             epinfma=epinf;
         sw = crhow*sw(-1) + ewma - cmaw*ewma(-1) ;
             ewma=ew;
         kp =  (1-cikbar)*kp(-1)+cikbar*inve + cikbar*cgamma^2*csadjcost*qs ;

// measurment equations

dy=y-y(-1)+ctrend;
dc=c-c(-1)+ctrend;
dinve=inve-inve(-1)+ctrend;
dw=w-w(-1)+ctrend;
pinfobs = 1*(pinf) + constepinf;
robs =    1*(r) + conster;
labobs = lab + constelab;

end;

shocks;
var ea;
stderr 0.4618;
var eb;
stderr 1.8513;
var eg;
stderr 0.6090;
var eqs;
stderr 0.6017;
var em;
stderr 0.2397;
var epinf;
stderr 0.1455;
var ew;
stderr 0.2089;
end;



estimated_params;
// PARAM NAME, INITVAL, LB, UB, PRIOR_SHAPE, PRIOR_P1, PRIOR_P2, PRIOR_P3, PRIOR_P4, JSCALE
// PRIOR_SHAPE: BETA_PDF, GAMMA_PDF, NORMAL_PDF, INV_GAMMA_PDF
stderr ea,0.4618,0.01,3,INV_GAMMA_PDF,0.1,2;
stderr eb,0.1818513,0.025,5,INV_GAMMA_PDF,0.1,2;
stderr eg,0.6090,0.01,3,INV_GAMMA_PDF,0.1,2;
stderr eqs,0.46017,0.01,3,INV_GAMMA_PDF,0.1,2;
stderr em,0.2397,0.01,3,INV_GAMMA_PDF,0.1,2;
stderr epinf,0.1455,0.01,3,INV_GAMMA_PDF,0.1,2;
stderr ew,0.2089,0.01,3,INV_GAMMA_PDF,0.1,2;
crhoa,.9676 ,.01,.9999,BETA_PDF,0.5,0.20;
crhob,.2703,.01,.9999,BETA_PDF,0.5,0.20;
crhog,.9930,.01,.9999,BETA_PDF,0.5,0.20;
crhoqs,.5724,.01,.9999,BETA_PDF,0.5,0.20;
crhoms,.3,.01,.9999,BETA_PDF,0.5,0.20;
crhopinf,.8692,.01,.9999,BETA_PDF,0.5,0.20;
crhow,.9546,.001,.9999,BETA_PDF,0.5,0.20;
cmap,.7652,0.01,.9999,BETA_PDF,0.5,0.2;
cmaw,.8936,0.01,.9999,BETA_PDF,0.5,0.2;
csadjcost,6.3325,2,15,NORMAL_PDF,4,1.5;
csigma,1.2312,0.25,3,NORMAL_PDF,1.50,0.375;
chabb,0.7205,0.001,0.99,BETA_PDF,0.7,0.1;
cprobw,0.7937,0.3,0.95,BETA_PDF,0.5,0.1;
csigl,2.8401,0.25,10,NORMAL_PDF,2,0.75;
cprobp,0.7813,0.5,0.95,BETA_PDF,0.5,0.10;
cindw,0.4425,0.01,0.99,BETA_PDF,0.5,0.15;
cindp,0.3291,0.01,0.99,BETA_PDF,0.5,0.15;
czcap,0.2648,0.01,1,BETA_PDF,0.5,0.15;
cfc,1.4672,1.0,3,NORMAL_PDF,1.25,0.125;
crpi,1.7985,1.0,3,NORMAL_PDF,1.5,0.25;
crr,0.8258,0.5,0.975,BETA_PDF,0.75,0.10;
cry,0.0893,0.001,0.5,NORMAL_PDF,0.125,0.05;
crdy,0.2239,0.001,0.5,NORMAL_PDF,0.125,0.05;
constepinf,0.7,0.1,2.0,GAMMA_PDF,0.625,0.1;//20;
constebeta,0.7420,0.01,2.0,GAMMA_PDF,0.25,0.1;//0.20;
constelab,1.2918,-10.0,10.0,NORMAL_PDF,0.0,2.0;
ctrend,0.3982,0.1,0.8,NORMAL_PDF,0.4,0.10;
cgy,0.05,0.01,2.0,NORMAL_PDF,0.5,0.25;
calfa,0.24,0.01,1.0,NORMAL_PDF,0.3,0.05;
end;

varobs dy dc dinve labobs pinfobs dw robs;
// This estimation is for 2009Q1 data
   estimation(optim=('MaxIter',200),datafile=usmodel_data2009q1,first_obs=71,presample=4,lik_init=2,prefilter=0,mh_replic=0,mh_nblocks=2,mh_jscale=0.20,mh_drop=0.2,forecast=8);
// This uses the period from 1966:1 to 2004:4
   //estimation(optim=('MaxIter',200),datafile=usmodel_data2,mode_compute=0,mode_file=usmodel_mode,first_obs=71,presample=4,lik_init=2,prefilter=0,mh_replic=0,mh_nblocks=2,mh_jscale=0.20,mh_drop=0.2);
//   estimation(optim=('MaxIter',200),datafile=usmodel_data,mode_compute=0,mode_file=usmodel_mode,first_obs=71,presample=4,lik_init=2,prefilter=0,mh_replic=0,mh_nblocks=2,mh_jscale=0.20,mh_drop=0.2);
//   estimation(optim=('MaxIter',200),datafile=usmodel_data,mode_compute=0,mode_file=usmodel_mode,first_obs=71,presample=4,lik_init=2,prefilter=0,mh_replic=0,mh_nblocks=2,mh_jscale=0.20,mh_drop=0.2);
// estimation(optim=('MaxIter',200),datafile=usmodel_data,mode_compute=0,mode_file=usmodel_mode,first_obs=71,presample=4,lik_init=2,prefilter=0,mh_replic=250000,mh_nblocks=2,mh_jscale=0.20,mh_drop=0.2,bayesian_irf,irf=20,moments_varendo,filtered_vars,smoother);

// Generate IRfunctions and Moments of output, inflation and interest rate
   stoch_simul(irf=20) dy pinfobs robs ;


// Calculation the marginal likelihood with training period (40 observations between '56 and '65)
// estimation(optim=('MaxIter',200),datafile=usmodel_data,mode_compute=0,mode_file=usmodel_hist_dsge_f19_7_31_mode  ,first_obs=31,nobs=200,presample=4,lik_init=2,prefilter=0,mh_replic=0,mh_nblocks=2,mh_jscale=0.20,mh_drop=0.2);
// estimation(optim=('MaxIter',200),datafile=usmodel_data,mode_compute=0,mode_file=usmodel_hist_dsge_f19_7_3144_mode,first_obs=31,nobs=44,presample=4,lik_init=2,prefilter=0,mh_replic=0,mh_nblocks=2,mh_jscale=0.20,mh_drop=0.2);

// Outcomes for subperiods (66:1-79:2 and 84:1-04:4)
// estimation(optim=('MaxIter',200),datafile=usmodel_data,mode_compute=0,mode_file=usmodel_hist_dsge_f19_7_7158_mode,first_obs=71,nobs=58,presample=4,lik_init=2,prefilter=0,mh_replic=0,mh_nblocks=2,mh_jscale=0.20,mh_drop=0.2);
//   stoch_simul(irf=20) dy pinfobs robs ;
// estimation(optim=('MaxIter',200),datafile=usmodel_data,mode_compute=0,mode_file=usmodel_hist_dsge_f19_7_143_mode,first_obs=143,presample=4,lik_init=2,prefilter=0,mh_replic=0,mh_nblocks=2,mh_jscale=0.20,mh_drop=0.2);
//   stoch_simul(irf=20) dy pinfobs robs ;

// Recursive estimates for forecasting: starting at 90:1
//  estimation(optim=('MaxIter',200),datafile=usmodel_data,mode_compute=0,mode_file=usmodel_hist_dsge_f19_7_71_100_mode,first_obs=71,nobs=100,presample=4,lik_init=2,prefilter=0,mh_replic=0,mh_nblocks=2,mh_jscale=0.20,mh_drop=0.2);
//  estimation(optim=('MaxIter',200),datafile=usmodel_data,mode_compute=0,mode_file=usmodel_hist_dsge_f19_7_71_104_mode,first_obs=71,nobs=104,presample=4,lik_init=2,prefilter=0,mh_replic=0,mh_nblocks=2,mh_jscale=0.20,mh_drop=0.2);
//  estimation(optim=('MaxIter',200),datafile=usmodel_data,mode_compute=0,mode_file=usmodel_hist_dsge_f19_7_71_108_mode,first_obs=71,nobs=108,presample=4,lik_init=2,prefilter=0,mh_replic=0,mh_nblocks=2,mh_jscale=0.20,mh_drop=0.2);
//  estimation(optim=('MaxIter',200),datafile=usmodel_data,mode_compute=0,mode_file=usmodel_hist_dsge_f19_7_71_112_mode,first_obs=71,nobs=112,presample=4,lik_init=2,prefilter=0,mh_replic=0,mh_nblocks=2,mh_jscale=0.20,mh_drop=0.2);
//  estimation(optim=('MaxIter',200),datafile=usmodel_data,mode_compute=0,mode_file=usmodel_hist_dsge_f19_7_71_116_mode,first_obs=71,nobs=116,presample=4,lik_init=2,prefilter=0,mh_replic=0,mh_nblocks=2,mh_jscale=0.20,mh_drop=0.2);
//  estimation(optim=('MaxIter',200),datafile=usmodel_data,mode_compute=0,mode_file=usmodel_hist_dsge_f19_7_71_120_mode,first_obs=71,nobs=120,presample=4,lik_init=2,prefilter=0,mh_replic=0,mh_nblocks=2,mh_jscale=0.20,mh_drop=0.2);
//  estimation(optim=('MaxIter',200),datafile=usmodel_data,mode_compute=0,mode_file=usmodel_hist_dsge_f19_7_71_124_mode,first_obs=71,nobs=124,presample=4,lik_init=2,prefilter=0,mh_replic=0,mh_nblocks=2,mh_jscale=0.20,mh_drop=0.2);
//  estimation(optim=('MaxIter',200),datafile=usmodel_data,mode_compute=0,mode_file=usmodel_hist_dsge_f19_7_71_128_mode,first_obs=71,nobs=128,presample=4,lik_init=2,prefilter=0,mh_replic=0,mh_nblocks=2,mh_jscale=0.20,mh_drop=0.2);
//  estimation(optim=('MaxIter',200),datafile=usmodel_data,mode_compute=0,mode_file=usmodel_hist_dsge_f19_7_71_132_mode,first_obs=71,nobs=132,presample=4,lik_init=2,prefilter=0,mh_replic=0,mh_nblocks=2,mh_jscale=0.20,mh_drop=0.2);
//  estimation(optim=('MaxIter',200),datafile=usmodel_data,mode_compute=0,mode_file=usmodel_hist_dsge_f19_7_71_136_mode,first_obs=71,nobs=136,presample=4,lik_init=2,prefilter=0,mh_replic=0,mh_nblocks=2,mh_jscale=0.20,mh_drop=0.2);
//  estimation(optim=('MaxIter',200),datafile=usmodel_data,mode_compute=0,mode_file=usmodel_hist_dsge_f19_7_71_140_mode,first_obs=71,nobs=140,presample=4,lik_init=2,prefilter=0,mh_replic=0,mh_nblocks=2,mh_jscale=0.20,mh_drop=0.2);
//  estimation(optim=('MaxIter',200),datafile=usmodel_data,mode_compute=0,mode_file=usmodel_hist_dsge_f19_7_71_144_mode,first_obs=71,nobs=144,presample=4,lik_init=2,prefilter=0,mh_replic=0,mh_nblocks=2,mh_jscale=0.20,mh_drop=0.2);
//  estimation(optim=('MaxIter',200),datafile=usmodel_data,mode_compute=0,mode_file=usmodel_hist_dsge_f19_7_71_148_mode,first_obs=71,nobs=148,presample=4,lik_init=2,prefilter=0,mh_replic=0,mh_nblocks=2,mh_jscale=0.20,mh_drop=0.2);
//  estimation(optim=('MaxIter',200),datafile=usmodel_data,mode_compute=0,mode_file=usmodel_hist_dsge_f19_7_71_152_mode,first_obs=71,nobs=152,presample=4,lik_init=2,prefilter=0,mh_replic=0,mh_nblocks=2,mh_jscale=0.20,mh_drop=0.2);
//  estimation(optim=('MaxIter',200),datafile=usmodel_data,mode_compute=0,mode_file=usmodel_hist_dsge_f19_7_71_156_mode,first_obs=71,nobs=156,presample=4,lik_init=2,prefilter=0,mh_replic=0,mh_nblocks=2,mh_jscale=0.20,mh_drop=0.2);


 
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