Skip to content
Replication files for "The effect of observables, functional specifications, model features and shocks on identification in linearized DSGE models"
Branch: master
Clone or download
Fetching latest commit…
Cannot retrieve the latest commit at this time.
Permalink
Type Name Latest commit message Commit time
Failed to load latest commit information.
AnScho
Kim
utils
LICENSE
README.md

README.md

DOI

Replication files

The effect of observables, functional specifications, model features and shocks on identification in linearized DSGE models

Authors: Sergey Ivashchenko and Willi Mutschler

If you spot mistakes please open an issue or write an email to willi@mutschler.eu

General notes

  • For all cases you can simply check the Dynare log files and generated pdfs instead of (time-costly) rerunning all models.
  • Note that you need at least Dynare 4.6-unstable. All results were generated with the Version from May 6, 2019 (commit 0375dbe29b40ac1f70963ccfd8e429ef99fea774 on Dynare Master Branch. You can find this specific version in the folder utils.

Folder paper

  • Contains the pdf and Latex source files of the current version of the paper and technical appendix.

Folder utils

  • dynare-4.6-unstable-0375dbe.tar.xz and dynare-4.6-unstable-0375dbe-win.exe source files and Windows Setup file of the Dynare version used for replication. Any newer Dynare 4.6-unstable version should work as well.
  • AnSchoModTheBuilder.mod: Dynare mod file for all variants of the monetary model. This mod file is copied into all folders.
  • KimModTheBuilder.mod: Dynare mod file for all variants of the investment adjustment costs model. This mod file is copied into all folders.
  • LatexTable.m function that converts Matlab tables to Latex tables. Original authors Eli Duenisch and Pascal E. Fortin
  • SetupForParallel.ini configuration file for running Dynare in parallel on a local computer
  • SetupForParallelCluster.ini configuration file for running Dynare in parallel on the PALMA cluster of the University of Münster

Folder Kim/Lack_of_Identification

  • Contains replication files and results for the theoretical identification analysis by analyzing the rank criteria of Iskrev (2010), Komunjer and Ng (2011) and Qu and Tkachenko (2012)
  • We consider the following model scenarios
    • BASELINE: The original model of Kim (2003, JEDC)
    • CAPUTILIZATION: Baseline with capital utilization
    • CRRA_EXTERNALHABIT: Baseline with CRRA utility function and external consumption habit formation
    • CRRA_INTERNALHABIT: Baseline with CRRA utility function and internal consumption habit formation
    • CRRA_NOHABIT: Baseline with CRRA utility function
    • EXTERNALHABIT: Baseline with external consumption habit formation
    • INTERNALHABIT: Baseline with internal consumption habit formation
    • INVESTSPECSHOCK: Baseline with investment-specific technological shock
    • LABOR: Baseline with leisure choice
    • MONPOL: Baseline with monetary policy
  • Model folders
    • The first part of the name of the model folder indicates the scenario, whereas the last part indicates the specification of intertemporal investment adjustment costs (level or growth)
    • RUN_DYNARE.m function that sets the Dynare macros and needs to be run in each folder
    • KimModTheBuilder.log contains the log files of the identification analysis
    • table.pdf contains a table with a summary of the results
  • Replicate_Kim_Lack_of_Identification.m
    • Recreates/changes a specific or all model variants. You then have to go into each model folder and run RUN_DYNARE.m. This will recreate all log files as well as pdf files. Be careful as this function deletes all previous results and makes the folders empty.

Folder Kim/Strength_of_Identification

  • Contains replication files and results for the Bayesian learning rate indicator of Koop, Pesaran, and Smith (2013). To this end, we need to simulate data and then estimate the posterior precision for different (growing) sample sizes.
  • We consider the following model scenarios with either the growth or level specification of intertemporal investment adjustment costs
    • Baseline: The original model of Kim (2003, JEDC)
    • Investshock: Baseline with investment-specific technological shock
  • RunKimStrength.m creates all model folders and contains all details for the Dynare macros needed for all model variants, the other matlab files starting with Replicate... simply set different sample sizes.
  • If you want to rerun an estimation for a certain model variant with a certain sample size, e.g. for the Baseline growth scenario and 100 observations simply run ReplicateKimBaselineGrowth_100.m. This will create a model folder (BaselineGrowth/100) with the following files:
    • currentmodelcall.txt the exact invocation of Dynare used in this folder
    • KimModTheBuilder.log is the log file of the estimation
    • KimModTheBuilder_TeX_binder.pdf is a summary of all graphs produced by Dynare during the estimation
    • The average posterior precisions are saved in MAT files in the parent folder (e.g. weakresults_mcmc_100.mat in BaselineGrowth folder)
  • After all estimations are done, Make_Kim_Latex_Tables_Strength.m creates Latex tables in each Scenario folder into a folder labled tables from the weakresults_mcmc_... mat files.

Folder AnScho/Lack_of_Identification

  • Contains replication files and results for the theoretical identification analysis by analyzing the rank criteria of Iskrev (2010), Komunjer and Ng (2011) and Qu and Tkachenko (2012)
  • We consider the following model scenarios
    • BASELINE: The original model of An and Schorfheide (2007, Econometric Reviews)
    • INDEXATION: Baseline with partial inflation indexation
    • PREFSHOCK: Baseline with a preference shock on the discount factor shifter
    • INDEXATION and PREFSHOCK: Baseline with both partial inflation indexation and preference shock
  • Model folders
    • The first part of the name of the model folder indicates the scenario, whereas the last part indicates the specification of monetary policy rule (FLEX, GROWTH, STEADYSTATE or growth)
    • RUN_DYNARE.m function that sets the Dynare macros and needs to be run in each folder
    • AnSchoTheBuilder.log contains the log files of the identification analysis
    • table.pdf contains a table with a summary of the results
  • Replicate_AnScho_Lack_of_Identification.m
    • Recreates/changes a specific or all model variants. You then have to go into each model folder and run RUN_DYNARE.m. This will recreate all log files as well as pdf files. Be careful as this function deletes all previous results and makes the folders empty.

Folder AnScho/Strength_of_Identification

  • Contains replication files and results for the Bayesian learning rate indicator of Koop, Pesaran, and Smith (2013). We need to simulate data and then estimate the posterior precision for different (growing) sample sizes
  • We consider the following model scenarios:
    • Baseline: Original model with flex-price monetary policy rule
    • Indexation: Original model with partial inflation indexation and flex-price monetary policy rule
    • MonPolSteadyStateGap: Original model with steady-state monetary policy rule
    • Prefshock: Original model with preference shock and flex-price monetary policy rule
  • RunAnSchoStrength.m creates all model folders and contains all details for the Dynare macros needed for all model variants, the other matlab files starting with Replicate... simply set different sample sizes.
  • If you want to rerun an estimation for a certain model variant with a certain sample size, e.g. for the Baseline scenario and 100 observations simply run ReplicateASBaseline_100.m. This will create a model folder (Baseline/100) with the following files:
    • currentmodelcall.txt the exact invocation of Dynare used in this folder
    • AnSchoModTheBuilder.log is the log file of the estimation
    • AnSchoModTheBuilder_TeX_binder.pdf is a summary of all graphs produced by Dynare during the estimation
    • The average posterior precisions are saved in MAT files in the parent folder (e.g. weakresults_mcmc_100.mat in Baseline folder)
  • After all estimations are done, Make_AnScho_Latex_Tables_Strength.m creates Latex tables in each Scenario folder into a folder labled tables from the weakresults_mcmc_... mat files.
You can’t perform that action at this time.