1// This file replicates the estimation of the CIA model from
2// Frank Schorfheide (2000) "Loss function-based evaluation of DSGE models"
3// Journal of  Applied Econometrics, 15, 645-670.
4// the data are the ones provided on Schorfheide's web site with the programs.
5// http://www.econ.upenn.edu/~schorf/programs/dsgesel.ZIP
6// You need to have fsdat.m in the same directory as this file.
7// This file replicates:
8// -the posterior mode as computed by Frank's Gauss programs
9// -the parameter mean posterior estimates reported in the paper
10// -the model probability (harmonic mean) reported in the paper
11// This file was tested with dyn_mat_test_0218.zip
12// the smooth shocks are probably stil buggy
13//
14// The equations are taken from J. Nason and T. Cogley (1994)
15// "Testing the implications of long-run neutrality for monetary business
16// cycle models" Journal of Applied Econometrics, 9, S37-S70.
17// Note that there is an initial minus sign missing in equation (A1), p. S63.
18//
19// Michel Juillard, February 2004
20options_.usePartInfo=0;
21var m P c e W R k d n l gy_obs gp_obs Y_obs P_obs y dA P2 c2;
22varexo e_a e_m;
23
24parameters alp bet gam mst rho psi del;
25
26alp = 0.33;
27bet = 0.99;
28gam = 0.003;
29mst = 1.011;
30rho = 0.7;
31psi = 0.787;
32del = 0.02;
33
34model ;
35dA = exp(gam+e_a);
36log(m) = (1-rho)*log(mst) + rho*log(m(-1))+e_m;
37-P/(c(+1)*P(+1)*m)+bet*P(+1)*(alp*exp(-alp*(gam+log(e(+1))))*k^(alp-1)*n(+1)^(1-alp)+(1-del)*exp(-(gam+log(e(+1)))))/(c2(+1)*P2(+1)*m(+1))=0;
38W = l/n;
39-(psi/(1-psi))*(c*P/(1-n))+l/n = 0;
40R = P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(-alp)/W;
411/(c*P)-bet*P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)/(m*l*c(+1)*P(+1)) = 0;
42c+k = exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)+(1-del)*exp(-(gam+e_a))*k(-1);
43P*c = m;
44m-1+d = l;
45e = exp(e_a);
46y = k(-1)^alp*n^(1-alp)*exp(-alp*(gam+e_a));
47gy_obs = dA*y/y(-1);
48gp_obs = (P/P(-1))*m(-1)/dA;
49Y_obs/Y_obs(-1) = gy_obs;
50P_obs/P_obs(-1) = gp_obs;
51P2 = P(+1);
52c2 = c(+1);
53end;
54
55steady_state_model;
56  dA = exp(gam);
57  gst = 1/dA;
58  m = mst;
59  khst = ( (1-gst*bet*(1-del)) / (alp*gst^alp*bet) )^(1/(alp-1));
60  xist = ( ((khst*gst)^alp - (1-gst*(1-del))*khst)/mst )^(-1);
61  nust = psi*mst^2/( (1-alp)*(1-psi)*bet*gst^alp*khst^alp );
62  n  = xist/(nust+xist);
63  P  = xist + nust;
64  k  = khst*n;
65
66  l  = psi*mst*n/( (1-psi)*(1-n) );
67  c  = mst/P;
68  d  = l - mst + 1;
69  y  = k^alp*n^(1-alp)*gst^alp;
70  R  = mst/bet;
71  W  = l/n;
72  ist  = y-c;
73  q  = 1 - d;
74
75  e = 1;
76
77  gp_obs = m/dA;
78  gy_obs = dA;
79  Y_obs = 1;
80  P_obs = 1;
81  P2 = P;
82  c2 = c;
83end;
84
85
86shocks;
87var e_a; stderr 0.014;
88var e_m; stderr 0.005;
89end;
90
91steady(nocheck);
92
93stoch_simul(aim_solver, order=1, irf=0);
94
95benchmark = load('fs2000_b1L1L_results');
96threshold = 1e-8;
97
98if max(max(abs(benchmark.oo_.dr.ghx-oo_.dr.ghx) > threshold));
99  error('error in ghx');
100elseif max(max(abs(benchmark.oo_.dr.ghu-oo_.dr.ghu) > threshold));
101  error('error in ghy');
102end;
103