Weird IRF with kinks and oscillatory return to steady states

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Weird IRF with kinks and oscillatory return to steady states

Postby alphaxuan » Mon Feb 17, 2014 1:49 pm

Hi everyone,
I'm running my codes (attached) in Dynare with 1st order linear approximation, but I get very weird shaped IRFs that have lots of kinks, and some of them go back to steady states more than once. My suspicion is that I am not using dynare properly, but I couldn't figure out which part goes wrong. Could anyone point to the right direction for me?
Or would log-linearising them manually before running them in Dynare generate more sensible IRFs (smooth or hump-shaped)?
Thank you very much!
Attachments
wxirf.mod
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Last edited by alphaxuan on Mon Feb 17, 2014 7:21 pm, edited 1 time in total.
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Re: Bizarre IRF with lots of kinks

Postby alphaxuan » Mon Feb 17, 2014 2:47 pm

Or this kinked IRF could be a model feature?
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Re: Bizarre IRF with lots of kinks

Postby jpfeifer » Mon Feb 17, 2014 3:17 pm

This looks like a model issue. Is it on purpose that your model has a unit root?
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
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Re: Bizarre IRF with lots of kinks

Postby alphaxuan » Mon Feb 17, 2014 5:03 pm

jpfeifer wrote:This looks like a model issue. Is it on purpose that your model has a unit root?


Hello jpfeifer,
The unit root is not on purpose. I'm new to Dynare, so I'm not sure what goes wrong. I checked the FOCs and market clearing conditions are correct. Could it be timing-convention problem or should I log-linearise the system? (I've got over 40 nonlinear equations, log-linearisation would prove very difficult)
Would appreciate some hints!
alphaxuan
 
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Re: Weird IRF with kinks and oscillatory return to steady st

Postby jpfeifer » Tue Feb 18, 2014 8:49 am

It could be a timing issue. Log-linearizing does not help. As the unit root is not on purpose, there still must be a mistake in your model.
------------
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

Re: Weird IRF with kinks and oscillatory return to steady st

Postby alphaxuan » Tue Feb 18, 2014 11:40 pm

jpfeifer wrote:It could be a timing issue. Log-linearizing does not help. As the unit root is not on purpose, there still must be a mistake in your model.



The mistake should be a timing mistake, right?


Thanks.
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Re: Weird IRF with kinks and oscillatory return to steady st

Postby jpfeifer » Wed Feb 19, 2014 6:12 am

Maybe. It could be anything from a wrong equation, a typo in parameter initialization, a timing mistake...
------------
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


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