Impulse responses

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.

Impulse responses

Postby econphd » Fri Feb 10, 2017 7:57 pm

Dear Johannes, I have a model with two unit root shocks. First one is technology shocks (A) and second one is labor supply shock (B). so, hours has trend B, productivity (also wages) has trend A. The rest of the variables has trend A and B (I stationarized the model based on that) . I see that the impulses responses for the variables are the same for both shocks. I think that the IRs should be the different but I could not figure out the problem. Could you please look at my codes and tell me why I get the same IRs? Please see attached file. Best,
I also have this in model solution:
Attachments
model1.mod
(2.3 KiB) Downloaded 54 times
Last edited by econphd on Sun Feb 12, 2017 9:44 am, edited 1 time in total.
econphd
 
Posts: 31
Joined: Fri Mar 25, 2016 2:39 pm

Re: Impulse responses

Postby econphd » Sat Feb 11, 2017 12:40 pm

Dear Johannes, could you please also look at my codes?
econphd
 
Posts: 31
Joined: Fri Mar 25, 2016 2:39 pm

Re: Impulse responses

Postby jpfeifer » Sun Feb 12, 2017 10:22 am

Hi, first of all, questions on the forum where I need to run codes and think about model-specific output take longer to answer, because they are non-standard.

Now to your model: the IRFs from the detrended model must be the same. If you look at your model equations, both shocks always only appear as a sum in exactly the same place and are therefore indistinguishable. Differences might appear in the non-detrended IRFs where you do not add both trends back to the detrended variables.
------------
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: Impulse responses

Postby econphd » Sun Feb 12, 2017 3:58 pm

Sorry. thank you for replying.
I think thats why I obtained correlation of simulated variables as 1:

CORRELATION OF SIMULATED VARIABLES

VARIABLE y h y_h w c
y 1.0000 -1.0000 1.0000 1.0000 1.0000
h -1.0000 1.0000 -1.0000 -1.0000 -1.0000
y_h 1.0000 -1.0000 1.0000 1.0000 1.0000
w 1.0000 -1.0000 1.0000 1.0000 1.0000
c 1.0000 -1.0000 1.0000 1.0000 1.0000

Actually, my concern is not IRs. I need the simulated data from the model. The model runs perfectly but I am not still sure that I stationarized the model correctly especially for hours, wages and C_Y:

h^(1/psi) = c^(-1)*w;
w= alpha*(y/h);
c_y = c/y;

Do you think I stationarized correctly these equations in above? h is has a trend B. w has a trend A (like productivity) , c has a trend AB, y has a trend AB so c_y does not have any trend. This is how I stationarized them.

Best
econphd
 
Posts: 31
Joined: Fri Mar 25, 2016 2:39 pm

Re: Impulse responses

Postby jpfeifer » Mon Feb 13, 2017 1:38 pm

This looks sensible at first sight, but I cannot check your whole model for you.
------------
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 help

Who is online

Users browsing this forum: Google [Bot] and 5 guests