Can I estimate the model, which I have solved?

[startdynare]

Hi,

I just began my learning of dynare. I solve a three-equation New Keynesian Model (Phillips, IS and Taylor rule) with zero lower bound, using the method provided by https://www2.bc.edu/matteo-iacoviello/r ... E_2015.pdf

I attach the code. You can solve the model by run "runsim_cgg.m".

However, I don't know how to estimate this model..Can I estimate this based on Iacoviello's method? Can I estimate in dynare??

It would be appreciated if anyone can help me! Thanks a lot!

[jpfeifer]

You cannot use likelihood based techniques as Dynare cannot construct the likelihood.
You could try to do moment matching for example, but I am not sure this is possible with OCCBIN. I still have to read the paper.

[startdynare]

You cannot use likelihood based techniques as Dynare cannot construct the likelihood.
You could try to do moment matching for example, but I am not sure this is possible with OCCBIN. I still have to read the paper.

Thanks very much for your help!

Another questions, I don't know why he write the Taylor rule of interest rate (equation 7.1 in page 35 in the attachment) as

"rnot = FIR*rnot(-1) + (1-FIR)*(FIP*p + FIY*y)" in cgg.mod and cgg_zlb.mod

May you help me about this? Thanks very much!

[startdynare]

You cannot use likelihood based techniques as Dynare cannot construct the likelihood.
You could try to do moment matching for example, but I am not sure this is possible with OCCBIN. I still have to read the paper.

Besides, why do they only consider the demand shock in cgg.mod? I think we can't ignore cost-push shock and monetary policy shock in the three-equations NK model. Also I think we can consider the three shocks at the same time...I think we can just add another two shocks, named 'eps_u','eps_m' as 'eps_g' and add u and m into the linear equations. Then give them initial values etc.

[sumzhong]

OCCBIN is just for simulation, do estimation ,you need to write code yourself.

[Enthusiast]

Hi! I also have a question how to estimate with Bayesian methods a model solved with Occbin?
Is it like you have to estimate first parameters for both regimes separately or how should if function?

[jpfeifer]

You have to look at Iacoviello's new paper. The basic Occbin was only for simulation, not estimation.