by Seungcheol Lee » Tue Aug 02, 2016 10:51 pm
Dear Johannes
Thank you for your helpful advice.
Following your help, I changed my observation equations as following:
dc = 100*(0.0018916 + C - C(-1)); % dc: consumption growth rate in percentage terms, constant: average of consumption growth
dinv = 100*(0.0007868 + I - I(-1)); % dinv: investment growth rate in percentage terms
infobs = 100*(0.0038802 + pie); % infobs: inflation in percentage terms
wages = 100*(0.0057283 + PIW); % wages: real wage growth rate in percentage terms
hp = 100*(-0.0010362 + q_h - q_h(-1)); % hp: house price increasing rate in percentage terms
loansH = 100*(0.00399205 + BH - BH(-1)); %loansH: growth rate of loans to household in percentage terms
loansF = 100*(0.00552665 + BE - BE(-1)); %loansF: growth rate of loans to firm in percentage terms
deposits = 100*(0.00625248 + D - D(-1)); %deposits: growth rate of deposits in percentage terms
interestPol = 100*exp(r_ib); % interestPol: quarterly policy rate in percentage terms
interestH = 100*exp(r_bh); % interestH: quarterly loans rate to households in percentage terms
interestF = 100*exp(r_be); % interstF: quarterly loans rate to firms in percentage terms
interestDep = 100*exp(r_d); % interestDep : quarterly deposit rate in percentage terms
However, I still encountered same error message, so I used mode_compute=6 and I got an estimation result.
( I used same priors and the scales of shocks in Gerali et al.(2010) and the replicate file of macroeconomic model data base)
My further questions are
1) How can I check whether I got a reliable result? If I got close estimated posterior values to Gerali et al.(2010), is it a good sign for right estimation? Can you tell me how to read diagnostic statistics from dynare(e.g. MCMC univariate convergence diagnostics)?
(please refer to the attached diagnostic files)
2) If I want to get impulse responses of some endogenous variables to a shock, is it enough to use median values of estimated parameters and use stoch_simul command such as the case of macroeconomic model database's replicate file?
Thank you again for your help.
Best
Seungcheol
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- fig.zip
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