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Problem when replicating Schmitt-Grohe & Uribe (2008)

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Problem when replicating Schmitt-Grohe & Uribe (2008)

Postby dennis0125hk » Tue Mar 31, 2009 3:20 pm

Hi, I am trying to replicate the estimation of Baseline Model in Schmitt-Grohe & Uribe (2008) "What's News in Business Cycle". I tried using the posterior mean as the starting point for posterior maximation by using Chris Sim's "csminwel". However, the result was not desired. Most of the standard deviations were small and after obtaining the distribution, below warning message was often appeared,

Warning: Matrix is close to singular or badly scaled.
Results may be inaccurate. RCOND = 1.117895e-030.

MH: Let me try again.

And the Log data density obtained by Geweke Estimator is -Inf, the one in Schimitt-Grohe is about -2140. Before that, I also tried using mode_compute = 6 to get the mode by using default starting point. However, the estimation result was still not desire. The log data density is 591.437571 which is positive (impossible).

I attached my codes for reference. I would be appreciated with your help.
Attachments
cycledat.m
data
(12.57 KiB) Downloaded 152 times
cycle_steadystate.m
steady state
(2.06 KiB) Downloaded 139 times
cycle.mod
model file
(5.85 KiB) Downloaded 207 times
dennis0125hk
 
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Re: Problem when replicating Schmitt-Grohe & Uribe (2008)

Postby dennis0125hk » Tue Mar 31, 2009 3:22 pm

There is one more attached file for running the code above.
Attachments
other_params.m
.m files to assign values of MUI, DETLA1
(778 Bytes) Downloaded 113 times
dennis0125hk
 
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Re: Problem when replicating Schmitt-Grohe & Uribe (2008)

Postby dennis0125hk » Thu Apr 02, 2009 12:06 pm

I also made the log-linearization version of this. However, the result is still strange and the acceptance rate in MH algorithm is very low and the Geweke Estimator for Log Data Density is -INF. I just follow the equilibrium equations and take log-linearization to them. I don't know what happening to my replication.

I would be appreciated if someone can help me with this.
Attachments
cycle_level_steadystate.m
(1.43 KiB) Downloaded 105 times
other_params_log.m
(451 Bytes) Downloaded 98 times
cycle_loglinear.mod
model file for log-linearization
(4.88 KiB) Downloaded 127 times
dennis0125hk
 
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Re: Problem when replicating Schmitt-Grohe & Uribe (2008)

Postby dennis0125hk » Thu Apr 02, 2009 12:08 pm

Another file needed for replication of result by using log-linearization version of model.
Attachments
cycledat_log.m
(12.68 KiB) Downloaded 125 times
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Re: Problem when replicating Schmitt-Grohe & Uribe (2008)

Postby dennis0125hk » Mon Apr 06, 2009 2:28 pm

I also made the model file which can be run in Dynare 4 as well. No additional file is needed for running the model file.
Attachments
cycle_loglinear.mod
Model file that can be run in Dynare version 4
(6.19 KiB) Downloaded 234 times
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