Estimation help

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Estimation help

Postby wadd003 » Mon Oct 11, 2010 3:09 pm

I'm attaching my code below. I am attempting to estimate the coefficient of auto correlation and the standard error of my shock process in a standard RBC model, just to try to get a hang of it. I keep getting the error "You did not declare endogenous variables after the estimation command.
Warning: File 'rbc_est/prior' not found. "

I'm relatively new to dynare (this is my first time trying to do estimation) and I can't find the bug in my code. Please let me know if there is anything glaringly obvious that I am doing wrong.
I thought I have declared my prior by the command estimated_params.
I have a feeling I haven't declared enough options at in the "estimation" command, but I'm not sure.

Thanks in advance for your help!
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
% Defining variables vs. parameters
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

var y c k i y_n n z;
varexo e;

parameters beta delta theta rho psi chi sigma A;

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
% Calibration
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
theta = 0.33;
A = 0.7959;
beta = 0.9976;
delta = 0.0075;
psi = 0.7;
sigma = 2;
chi = 35.5244;
rho = 0.95;
%sigma_eps = 0.006;

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
% The Model
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

model;
(c^-sigma) = beta*(c(+1)^(-sigma))*(1-delta+theta*exp(z(+1))*A*(k^(theta-1))*(n(+1))^(1-theta));
chi*((n)^(1/psi))*(c^sigma) = (1-theta)*exp(z)*A*(k(-1)^theta)*(n^(-theta));
c+i = y;
y = exp(z)*A*(k(-1)^theta)*(n)^(1-theta);
i = k-(1-delta)*k(-1);
y_n = y/n;
z = rho*z(-1)+e;
end;
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
% Computation
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
initval;
y = 1;
k = 33.33;
c = 0.75;
n = 0.25;
i = 0.25;
z = 0;
e = 0;
y_n = 4;
end;

shocks;
var e; stderr 0.006;
end;

steady;
estimated_params;
stderr e, inv_gamma_pdf, 0.007, inf;
rho, beta_pdf, 0.93, 0.006;
end;
%----------------------------------------------------------------
% Estimation: Tell it what data to Match
%----------------------------------------------------------------

varobs y k n;
estimation(datafile=input_file);
wadd003
 
Posts: 1
Joined: Mon Oct 11, 2010 3:00 pm

Re: Estimation help

Postby SébastienVillemot » Wed Oct 13, 2010 10:39 am

wadd003 wrote:"You did not declare endogenous variables after the estimation command.
Warning: File 'rbc_est/prior' not found. "


Both of these messages are only warnings. They are not fatal errors, and the estimation should continue nevertheless.

Do you have any other message ?
Sébastien Villemot
Economist at OFCE – Sciences Po
SébastienVillemot
 
Posts: 706
Joined: Fri Dec 07, 2007 2:29 pm
Location: Paris, France


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