Christiano Eichenbaum Evans 2005 JPE Code

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Christiano Eichenbaum Evans 2005 JPE Code

Postby roberto.croce » Fri May 08, 2009 3:42 pm

Hi Folks,
I wanted to tweak the CEE 2005 model and started by replicating it. I haven't found a decent code for this elsewhere. The code is attached; I hope some of you find it useful. Note that I include the 'dyngraph' command, which calls a program I found elsewhere on this forum that cleans up all the files Dynare creates in the working directory.

Regards,

Rob
Attachments
CEE 2005 Working Paper Version with Appendix.pdf
(686.52 KiB) Downloaded 2850 times
CEE20054.mod
(7.5 KiB) Downloaded 2726 times
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Re: Christiano Eichenbaum Evans 2005 JPE Code

Postby Chan » Wed Jun 03, 2009 3:51 am

Did u or anyone try to estimate Gamma (the third group of model parameters) using the method of distance minimization as CEE 2005 did? Any idea on coding? Thanks
Chan
 
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Re: Christiano Eichenbaum Evans 2005 JPE Code

Postby roberto.croce » Thu Jun 11, 2009 8:03 pm

I haven't, actually. But the way I would do it would be to search over a grid, repeatedly calling Dynare.
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Re: Christiano Eichenbaum Evans 2005 JPE Code

Postby Chan » Tue Jun 16, 2009 4:00 am

Hmm, it sounds complicated. I will eventually try it. But for now, my colleagues are still discussing about why we believe that the VAR's irfs are superior and we have to map our DSGE's irf to those of VAR. I think it is better than having nothing when you can't calibrate or use any stylized fact, am I right?
Cheers,
Chan
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Re: Christiano Eichenbaum Evans 2005 JPE Code

Postby TomDoan » Thu Sep 03, 2009 3:46 pm

Since you appear to have shifted the timing on capital, shouldn't:

Code: Select all
rk = w + r + l - k;


read

Code: Select all
rk = w + r + l - k(-1);
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Re: Christiano Eichenbaum Evans 2005 JPE Code

Postby roberto.croce » Mon Sep 07, 2009 6:31 pm

You appear to be right. I tried changing the code to use lagged capital and get an error. However I find that when I treat capital utilized as if it is not preset, but the capital stock as preset, all runs as it should. It makes sense to me that the capital stock would be fixed in period, whereas utilized capital could be chosen in the period. But I don't know that this legit.
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