BinhPham wrote:Dear Tom,
Many thanks for your efforts. But I cannot run your code with trial version 9.1. The messages are:
Model SW US (2007) message is below:
## SX19. This Character is Illegal Here
>>>>compute cstderrqs=?<<<<
BinhPham wrote:Model SW (2003):
## FO15. Model can't be expanded. Includes exogenous series reference.
Taking derivative with respect to YP{0}
Error was in FRML EQN10
junlin wrote:Dear Tom,
I have two questions about DSGE estimation:
(1) When I use the method in "Bayesian Estimation: Hyperinflation Model" in RATS Handbook for State-Space Models to estimate a simple DSGE mode. In the "function EvalModel":
If I use "compute gdlm=%dlmgfroma(adlm)" or "compute gdlm=||1.0,-1.0||~\%identity(%rows(adlm)-2)"
The estimation will be done,but the graph is one horizontal line!
If I use "compute gdlm=||1.0,-1.0||~\%identity(%rows(adlm)-2)"above, RATS tell me:
## MAT3. Matrix with Dimensions 21 x 22 Involved in DLM-G matrix Operation. Need rxN
The Error Occurred At Location 200, Line 3 of EVALMODEL
Called From Location 613, Line 26 of EVALPOSTERIOR
Called From Location 28, Line 1 of loop/block
So:
*1) How to set the matrix of gdlm? Every time we guess it ?
junlin wrote: *2) Why are the density graphs horizontal lines? If we use Uniform destribution, we can't get the resoult from bayesian estimation?
junlin wrote: (2) In program of "withdata" (replication for Smets Wouters (2007)),
Why shouldn't we set the prior destribution of parameters? Can we set the prior destribution of parameters in program of "withdata"?Can we use the commands below( in "Bayesian Estimation: Hyperinflation Model") to get the density of parameters ?
@mcmcpostproc(ndraws=ndraws,mean=bmean,stderrs=bstderrs,cd=bcd) bgibbs
set alphas 1 ndraws = bgibbs(t)(1)
density(grid=automatic,maxgrid=100,band=.75) $
alphas 1 ndraws xalpha falpha
scatter(style=line,vmin=0.0,footer="Posterior for the_c")
# xalpha falpha
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