Greenwood, Hercowitz and Huffman paper

This forum is closed. You can read the posts but cannot write. We have migrated the forum to a new location where you will have to reset your password.
Forum rules
This forum is closed. You can read the posts but cannot write. We have migrated the forum to a new location (https://forum.dynare.org) where you will have to reset your password.

Greenwood, Hercowitz and Huffman paper

Postby Mave » Mon Aug 19, 2013 10:54 am

Hey guys,
I have to replicate the paper Investment, Capacity Utilization, and the Real Business Cycle by Greenwood, Hercowitz and Huffman.
http://www.jstor.org/discover/10.2307/1 ... 2565330227
There are two Problems:

First:
I'm looking for some code. Did anybody do this or has any help for me?

Second:
I have to change the Marcov- Process to an AR(1)-Process. Does anyone know how that works?

Thanks in advance!
Mave
 
Posts: 2
Joined: Mon Aug 19, 2013 10:39 am

Re: Greenwood, Hercowitz and Huffman paper

Postby jpfeifer » Mon Aug 19, 2013 12:56 pm

Regarding the second part: the autocorrelation and standard deviation of the AR1 process implied by the Markov process are explicitly stated in the paper.
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
jpfeifer
 
Posts: 6940
Joined: Sun Feb 21, 2010 4:02 pm
Location: Cologne, Germany


Return to Dynare contributions and examples

Who is online

Users browsing this forum: No registered users and 1 guest