Code to replicate Garcıa-Cicco, Pancrazi and Uribe (2010)

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Re: Code to replicate Garcıa-Cicco, Pancrazi and Uribe (2010

Postby ozgrbhr » Thu Feb 05, 2015 11:59 am

Thank you for your kind reply. Yes. I run the code with their data. I also checked whether subtracting a preference shock affects results, in that case correlation matrix is the following. It seems strange, does not it? I understand when the correlation is less than 0.5, but the numbers(0,86,-0,81 ) are so high. May I miss something ?

e_a e_g e_mu e_s
e_a 1.00 -0.81 0.46 0.16
e_g -0.81 1.00 -0.35 -0.36
e_mu 0.46 -0.35 1.00 0.04
e_s 0.16 -0.36 0.04 1.00

Bahar.
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Re: Code to replicate Garcıa-Cicco, Pancrazi and Uribe (2010

Postby ozgrbhr » Thu Feb 05, 2015 12:18 pm

Thank you for your kind reply. Yes. I run the code with their data. I also checked whether subtracting a preference shock affects results, in that case correlation matrix is the following. It seems strange, does not it? I understand when the correlation is less than 0.5, but the numbers(0,86,-0,81 ) are so high. May I miss something ?

e_a e_g e_mu e_s
e_a 1.00 -0.81 0.46 0.16
e_g -0.81 1.00 -0.35 -0.36
e_mu 0.46 -0.35 1.00 0.04
e_s 0.16 -0.36 0.04 1.00

Bahar.
ozgrbhr
 
Posts: 10
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Re: Code to replicate Garcıa-Cicco, Pancrazi and Uribe (2010

Postby jpfeifer » Mon Feb 09, 2015 1:57 pm

This is hard to tell. But it is well-known that many smoothed economic shocks violate the i.i.d assumption.
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
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Re: Code to replicate Garcıa-Cicco, Pancrazi and Uribe (2010

Postby cathec » Sun May 15, 2016 5:44 pm

Hello jpfeifer,

I'm trying to run GarciaCicco_et_al_2010.mod, with the same code and data in:
https://github.com/JohannesPfeifer/DSGE ... et_al_2010,
I'm using the dynare unstable version 2016-05-01, my matlab version is 7.8.0 (R2009a), I'm using 32-bit preprocessor and I'm obtain this error:

??? Reference to non-existent field 'g_y'.

Error in ==> GarciaCicco_et_al_2010 at 310
fprintf('%30s \t %5.4f \t %5.4f \t %5.4f \t %5.4f\n','Correlation with
g_y:',[oo_.PosteriorTheoreticalMoments.dsge.covariance.Mean.g_y.g_y/(sqrt(oo_.PosteriorTheoreticalMoments.dsge.covariance.Mean.
Error in ==> dynare at 223
evalin('base',fname) ;

I start to run the code the code with:
addpath c:\dynare\2016-05-01\matlab
dynare GarciaCicco_et_al_2010.mod

I read your reply in this forum about dynare_estimacion.m but I can't found the .m file in it's last version.
¿Could you help me? :( Or somebody else?
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Re: Code to replicate Garcıa-Cicco, Pancrazi and Uribe (2010

Postby jpfeifer » Mon May 16, 2016 8:54 am

This was a mistake in the mod-file. I updated it. Could you please try with the new version?
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
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Location: Cologne, Germany

Re: Code to replicate Garcıa-Cicco, Pancrazi and Uribe (2010

Postby cathec » Mon May 16, 2016 1:08 pm

Thank you very much!. I'll try to run it again.
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Re: Code to replicate Garcıa-Cicco, Pancrazi and Uribe (2010

Postby cathec » Tue May 17, 2016 3:16 pm

Thank you very much for checking the code , it runs now. Then I 'll deal with my data, this is the hardest part. Again, thank you very much!
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