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Hansen[1985]: Standard deviations of marco variables
Posted:
Mon Sep 21, 2009 2:44 pm
by Pjotre7
Dear all,
enlosed there is the .mod file for Hansen's[1985] RBC model. Unfortunately, I get counterintuitive results. All the standard deviations are smaller than expected given the set of parameters:
For consumption: 0.0048 instead of about 0.5,
For investment: 0.0183 instead of about 5.5.
Furthermore, the difference between the standard deviations of consumption and investment are pretty small. Do you have any ideas for the reasons for these results.
Many thanks for your help.
Kind regards
Peter
Re: Hansen[1985]: Standard deviations of marco variables
Posted:
Mon Nov 23, 2009 3:19 pm
by StephaneLhuissier
I have attached a mod file replicating the moments of table 1 in Hansen (1985) : "Indivisible labor and the business cycle". Contrary to Hansen, I compute the theoritical moments. This explains that I do not exactly obtain the same results.
Re: Hansen[1985]: Standard deviations of marco variables
Posted:
Sun Aug 18, 2013 5:41 pm
by AlineZ
Dear all,
I have a question concering the output equation. You were using k lagged for one period, but Hansen (1985) defined the output as y=lambda*(k^theta)*(h^(1-theta)) that leads to an autocorrelation of all variables of |1,00|. Could you explain why you used the lagged term?
Thank you very much!
Kind regards,
Aline
Re: Hansen[1985]: Standard deviations of marco variables
Posted:
Mon Aug 19, 2013 6:45 am
by jpfeifer
That is due to Dynare's end of the period stock notation. See the manual.
Re: Hansen[1985]: Standard deviations of marco variables
Posted:
Mon Aug 19, 2013 9:10 am
by AlineZ
Thank you very much!
Re: Hansen[1985]: Standard deviations of marco variables
Posted:
Wed Aug 21, 2013 8:34 am
by AlineZ
Hi,
I have one further question: why is the shock term (4) (Hansen, 1985, p. 313) transformed to lambda = lambda(-1)*gamma+e?
Thank you,
Aline
Re: Hansen[1985]: Standard deviations of marco variables
Posted:
Thu Aug 22, 2013 7:23 am
by jpfeifer
Because that is the timing convention. You define lambda at time t using the exogenous shocks at time t. The original formula used the exogenous shock at time t+1.
Re: Hansen[1985]: Standard deviations of marco variables
Posted:
Sat Aug 24, 2013 11:55 am
by Logan_Collins
Hi everyone,
I am currently trying to replicate Hansen's paper, but I do not understand, why we need to take the logarithm in the shock term.
I saw that this was done in StephaneLhuissier's .mod-file. If the logarithm is not taken Dynare cannot find a solution. Could someone explain why? Thank you very much,
Logan
Re: Hansen[1985]: Standard deviations of marco variables
Posted:
Mon Aug 26, 2013 8:50 am
by jpfeifer
There are two ways. You can either use
- Code: Select all
Y = LAMBDA*K(-1)^(theta)*H^(1-theta);
log(LAMBDA) = gam*log(LAMBDA(-1)) + EPS;
or redefine LAMBDA=log(LAMBDA) and use
- Code: Select all
Y = exp(LAMBDA)*K(-1)^(theta)*H^(1-theta);
LAMBDA = gam*LAMBDA(-1) + EPS;
Both yield essentially the same lognormal process (except for a different steady state).
Re: Hansen[1985]: Standard deviations of marco variables
Posted:
Sat Aug 22, 2015 4:05 pm
by jpfeifer