From 162813225dee6e44f529db738c6510e77d150c22 Mon Sep 17 00:00:00 2001
From: Johannes Pfeifer <jpfeifer@gmx.de>
Date: Wed, 13 Sep 2023 21:15:31 +0200
Subject: [PATCH] fs2000.mod: provide actual replication
Closes https://git.dynare.org/Dynare/dynare/-/issues/1905
---
examples/fs2000.mod | 95 ++++++++++++------
examples/fs2000_data.m | 215 +++++++++++++++++++++++++++++++++++++++++
license.txt | 5 +
3 files changed, 284 insertions(+), 31 deletions(-)
create mode 100644 examples/fs2000_data.m
diff --git a/examples/fs2000.mod b/examples/fs2000.mod
index 57fb1684f4..391fc2f1c3 100644
--- a/examples/fs2000.mod
+++ b/examples/fs2000.mod
@@ -3,20 +3,20 @@
* in the paper) described in Frank Schorfheide (2000): "Loss function-based
* evaluation of DSGE models", Journal of Applied Econometrics, 15(6), 645-670.
*
- * The data are in file "fsdat_simul.m", and have been artificially generated.
- * They are therefore different from the original dataset used by Schorfheide.
+ * The data are taken from the replication package at
+ * http://dx.doi.org/10.15456/jae.2022314.0708799949
*
* The prior distribution follows the one originally specified in Schorfheide's
- * paper, except for parameter rho. In the paper, the elicited beta prior for rho
+ * paper. Note that the elicited beta prior for rho in the paper
* implies an asymptote and corresponding prior mode at 0. It is generally
- * recommended to avoid this extreme type of prior. Some optimizers, for instance
- * mode_compute=12 (Mathworks' particleswarm algorithm) may find a posterior mode
- * with rho equal to zero. We lowered the value of the prior standard deviation
- * (changing .223 to .100) to remove the asymptote.
+ * recommended to avoid this extreme type of prior.
+ *
+ * Because the data are already logged and we use the loglinear option to conduct
+ * a full log-linearization, we need to use the logdata option.
*
* The equations are taken from J. Nason and T. Cogley (1994): "Testing the
* implications of long-run neutrality for monetary business cycle models",
- * Journal of Applied Econometrics, 9, S37-S70.
+ * Journal of Applied Econometrics, 9, S37-S70, NC in the following.
* Note that there is an initial minus sign missing in equation (A1), p. S63.
*
* This implementation was originally written by Michel Juillard. Please note that the
@@ -25,7 +25,7 @@
*/
/*
- * Copyright © 2004-2017 Dynare Team
+ * Copyright © 2004-2023 Dynare Team
*
* This file is part of Dynare.
*
@@ -43,33 +43,71 @@
* along with Dynare. If not, see <https://www.gnu.org/licenses/>.
*/
-var m P c e W R k d n l gy_obs gp_obs y dA;
-varexo e_a e_m;
-
-parameters alp bet gam mst rho psi del;
-
+var m ${m}$ (long_name='money growth')
+ P ${P}$ (long_name='Price level')
+ c ${c}$ (long_name='consumption')
+ e ${e}$ (long_name='capital stock')
+ W ${W}$ (long_name='Wage rate')
+ R ${R}$ (long_name='interest rate')
+ k ${k}$ (long_name='capital stock')
+ d ${d}$ (long_name='dividends')
+ n ${n}$ (long_name='labor')
+ l ${l}$ (long_name='loans')
+ gy_obs ${\Delta \ln GDP}$ (long_name='detrended capital stock')
+ gp_obs ${\Delta \ln P}$ (long_name='detrended capital stock')
+ y ${y}$ (long_name='detrended output')
+ dA ${\Delta A}$ (long_name='TFP growth')
+ ;
+varexo e_a ${\epsilon_A}$ (long_name='TFP shock')
+ e_m ${\epsilon_M}$ (long_name='Money growth shock')
+ ;
+
+parameters alp ${\alpha}$ (long_name='capital share')
+ bet ${\beta}$ (long_name='discount factor')
+ gam ${\gamma}$ (long_name='long-run TFP growth')
+ mst ${m^*}$ (long_name='long-run money growth')
+ rho ${\rho}$ (long_name='autocorrelation money growth')
+ phi ${\phi}$ (long_name='labor weight in consumption')
+ del ${\delta}$ (long_name='depreciation rate')
+ ;
+
+% roughly picked values to allow simulating the model before estimation
alp = 0.33;
bet = 0.99;
gam = 0.003;
mst = 1.011;
rho = 0.7;
-psi = 0.787;
+phi = 0.787;
del = 0.02;
model;
+[name='NC before eq. (1), TFP growth equation']
dA = exp(gam+e_a);
+[name='NC eq. (2), money growth rate']
log(m) = (1-rho)*log(mst) + rho*log(m(-1))+e_m;
+[name='NC eq. (A1), Euler equation']
-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)))))/(c(+2)*P(+2)*m(+1))=0;
+[name='NC below eq. (A1), firm borrowing constraint']
W = l/n;
--(psi/(1-psi))*(c*P/(1-n))+l/n = 0;
+[name='NC eq. (A2), intratemporal labour market condition']
+-(phi/(1-phi))*(c*P/(1-n))+l/n = 0;
+[name='NC below eq. (A2), credit market clearing']
R = P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(-alp)/W;
+[name='NC eq. (A3), credit market optimality']
1/(c*P)-bet*P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)/(m*l*c(+1)*P(+1)) = 0;
+[name='NC eq. (18), aggregate resource constraint']
c+k = exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)+(1-del)*exp(-(gam+e_a))*k(-1);
+[name='NC eq. (19), money market condition']
P*c = m;
+[name='NC eq. (20), credit market equilibrium condition']
m-1+d = l;
+[name='Definition TFP shock']
e = exp(e_a);
+[name='Implied by NC eq. (18), production function']
y = k(-1)^alp*n^(1-alp)*exp(-alp*(gam+e_a));
+[name='Observation equation GDP growth']
gy_obs = dA*y/y(-1);
+[name='Observation equation price level']
gp_obs = (P/P(-1))*m(-1)/dA;
end;
@@ -84,12 +122,12 @@ steady_state_model;
m = mst;
khst = ( (1-gst*bet*(1-del)) / (alp*gst^alp*bet) )^(1/(alp-1));
xist = ( ((khst*gst)^alp - (1-gst*(1-del))*khst)/mst )^(-1);
- nust = psi*mst^2/( (1-alp)*(1-psi)*bet*gst^alp*khst^alp );
+ nust = phi*mst^2/( (1-alp)*(1-phi)*bet*gst^alp*khst^alp );
n = xist/(nust+xist);
P = xist + nust;
k = khst*n;
- l = psi*mst*n/( (1-psi)*(1-n) );
+ l = phi*mst*n/( (1-phi)*(1-n) );
c = mst/P;
d = l - mst + 1;
y = k^alp*n^(1-alp)*gst^alp;
@@ -104,17 +142,18 @@ steady_state_model;
gy_obs = dA;
end;
-steady;
+steady;
check;
+% Table 1 of Schorfheide (2000)
estimated_params;
alp, beta_pdf, 0.356, 0.02;
bet, beta_pdf, 0.993, 0.002;
gam, normal_pdf, 0.0085, 0.003;
mst, normal_pdf, 1.0002, 0.007;
-rho, beta_pdf, 0.129, 0.100;
-psi, beta_pdf, 0.65, 0.05;
+rho, beta_pdf, 0.129, 0.223;
+phi, beta_pdf, 0.65, 0.05;
del, beta_pdf, 0.01, 0.005;
stderr e_a, inv_gamma_pdf, 0.035449, inf;
stderr e_m, inv_gamma_pdf, 0.008862, inf;
@@ -122,14 +161,8 @@ end;
varobs gp_obs gy_obs;
-estimation(order=1, datafile=fsdat_simul, nobs=192, loglinear, mh_replic=2000, mh_nblocks=2, mh_jscale=0.8, mode_check);
-
-
-/*
- * The following lines were used to generate the data file. If you want to
- * generate another random data file, comment the "estimation" line and uncomment
- * the following lines.
- */
+estimation(order=1, datafile=fs2000_data, loglinear,logdata, mh_replic=2000, mh_nblocks=2, mh_jscale=0.8, mode_check);
-//stoch_simul(periods=200, order=1);
-//datatomfile('fsdat_simul', {'gy_obs', 'gp_obs'});
+%uncomment the following lines to generate LaTeX-code of the model equations
+%write_latex_original_model(write_equation_tags);
+%collect_latex_files;
\ No newline at end of file
diff --git a/examples/fs2000_data.m b/examples/fs2000_data.m
new file mode 100644
index 0000000000..9c4ea3d6d1
--- /dev/null
+++ b/examples/fs2000_data.m
@@ -0,0 +1,215 @@
+%This file is a direct Matlab implementation of the loaddata.g and data.prn files
+%of Schorfheide, Frank (2000): Loss function-based evaluation of DSGE models
+%(replication data). Version: 1. Journal of Applied Econometrics. Dataset.
+%http://dx.doi.org/10.15456/jae.2022314.0708799949
+% Copyright: 2000-2022 Frank Schorfheide
+% Copyright: 2023 Dynare Team
+
+% License: CC BY 4.0
+% (https://creativecommons.org/licenses/by/4.0/legalcode)
+
+% Time series, extracted 05/04/00
+% columms are quarterly data from 1949:IV to 1997:IV
+% 1: GDPD = GROSS DOMESTIC PRODUCT:IMPLICIT PRICE DEFLATOR (INDEX,92=100)(T7.1)
+% 2: GDPQ = GROSS DOMESTIC PRODUCT
+% 3: GPOP = POPULATION, NIPA basis (THOUS.,NSA)
+
+data_q=[18.02 1474.5 150.2
+17.94 1538.2 150.9
+18.01 1584.5 151.4
+18.42 1644.1 152
+18.73 1678.6 152.7
+19.46 1693.1 153.3
+19.55 1724 153.9
+19.56 1758.2 154.7
+19.79 1760.6 155.4
+19.77 1779.2 156
+19.82 1778.8 156.6
+20.03 1790.9 157.3
+20.12 1846 158
+20.1 1882.6 158.6
+20.14 1897.3 159.2
+20.22 1887.4 160
+20.27 1858.2 160.7
+20.34 1849.9 161.4
+20.39 1848.5 162
+20.42 1868.9 162.8
+20.47 1905.6 163.6
+20.56 1959.6 164.3
+20.62 1994.4 164.9
+20.78 2020.1 165.7
+21 2030.5 166.5
+21.2 2023.6 167.2
+21.33 2037.7 167.9
+21.62 2033.4 168.7
+21.71 2066.2 169.5
+22.01 2077.5 170.2
+22.15 2071.9 170.9
+22.27 2094 171.7
+22.29 2070.8 172.5
+22.56 2012.6 173.1
+22.64 2024.7 173.8
+22.77 2072.3 174.5
+22.88 2120.6 175.3
+22.92 2165 176.045
+22.91 2223.3 176.727
+22.94 2221.4 177.481
+23.03 2230.95 178.268
+23.13 2279.22 179.694
+23.22 2265.48 180.335
+23.32 2268.29 181.094
+23.4 2238.57 181.915
+23.45 2251.68 182.634
+23.51 2292.02 183.337
+23.56 2332.61 184.103
+23.63 2381.01 184.894
+23.75 2422.59 185.553
+23.81 2448.01 186.203
+23.87 2471.86 186.926
+23.94 2476.67 187.68
+24 2508.7 188.299
+24.07 2538.05 188.906
+24.12 2586.26 189.631
+24.29 2604.62 190.362
+24.35 2666.69 190.954
+24.41 2697.54 191.56
+24.52 2729.63 192.256
+24.64 2739.75 192.938
+24.77 2808.88 193.467
+24.88 2846.34 193.994
+25.01 2898.79 194.647
+25.17 2970.48 195.279
+25.32 3042.35 195.763
+25.53 3055.53 196.277
+25.79 3076.51 196.877
+26.02 3102.36 197.481
+26.14 3127.15 197.967
+26.31 3129.53 198.455
+26.6 3154.19 199.012
+26.9 3177.98 199.572
+27.21 3236.18 199.995
+27.49 3292.07 200.452
+27.75 3316.11 200.997
+28.12 3331.22 201.538
+28.39 3381.86 201.955
+28.73 3390.23 202.419
+29.14 3409.65 202.986
+29.51 3392.6 203.584
+29.94 3386.49 204.086
+30.36 3391.61 204.721
+30.61 3422.95 205.419
+31.02 3389.36 206.13
+31.5 3481.4 206.763
+31.93 3500.95 207.362
+32.27 3523.8 208
+32.54 3533.79 208.642
+33.02 3604.73 209.142
+33.2 3687.9 209.637
+33.49 3726.18 210.181
+33.95 3790.44 210.737
+34.36 3892.22 211.192
+34.94 3919.01 211.663
+35.61 3907.08 212.191
+36.29 3947.11 212.708
+37.01 3908.15 213.144
+37.79 3922.57 213.602
+38.96 3879.98 214.147
+40.13 3854.13 214.7
+41.05 3800.93 215.135
+41.66 3835.21 215.652
+42.41 3907.02 216.289
+43.19 3952.48 216.848
+43.69 4044.59 217.314
+44.15 4072.19 217.776
+44.77 4088.49 218.338
+45.57 4126.39 218.917
+46.32 4176.28 219.427
+47.07 4260.08 219.956
+47.66 4329.46 220.573
+48.63 4328.33 221.201
+49.42 4345.51 221.719
+50.41 4510.73 222.281
+51.27 4552.14 222.933
+52.35 4603.65 223.583
+53.51 4605.65 224.152
+54.65 4615.64 224.737
+55.82 4644.93 225.418
+56.92 4656.23 226.117
+58.18 4678.96 226.754
+59.55 4566.62 227.389
+61.01 4562.25 228.07
+62.59 4651.86 228.689
+64.15 4739.16 229.155
+65.37 4696.82 229.674
+66.65 4753.02 230.301
+67.87 4693.76 230.903
+68.86 4615.89 231.395
+69.72 4634.88 231.906
+70.66 4612.08 232.498
+71.44 4618.26 233.074
+72.08 4662.97 233.546
+72.83 4763.57 234.028
+73.48 4849 234.603
+74.19 4939.23 235.153
+75.02 5053.56 235.605
+75.58 5132.87 236.082
+76.25 5170.34 236.657
+76.81 5203.68 237.232
+77.63 5257.26 237.673
+78.25 5283.73 238.176
+78.76 5359.6 238.789
+79.45 5393.57 239.387
+79.81 5460.83 239.861
+80.22 5466.95 240.368
+80.84 5496.29 240.962
+81.45 5526.77 241.539
+82.09 5561.8 242.009
+82.68 5618 242.52
+83.33 5667.39 243.12
+84.09 5750.57 243.721
+84.67 5785.29 244.208
+85.56 5844.05 244.716
+86.66 5878.7 245.354
+87.44 5952.83 245.966
+88.45 6010.96 246.46
+89.39 6055.61 247.017
+90.13 6087.96 247.698
+90.88 6093.51 248.374
+92 6152.59 248.928
+93.18 6171.57 249.564
+94.14 6142.1 250.299
+95.11 6078.96 251.031
+96.27 6047.49 251.65
+97 6074.66 252.295
+97.7 6090.14 253.033
+98.31 6105.25 253.743
+99.13 6175.69 254.338
+99.79 6214.22 255.032
+100.17 6260.74 255.815
+100.88 6327.12 256.543
+101.84 6327.93 257.151
+102.35 6359.9 257.785
+102.83 6393.5 258.516
+103.51 6476.86 259.191
+104.13 6524.5 259.738
+104.71 6600.31 260.351
+105.39 6629.47 261.04
+106.09 6688.61 261.692
+106.75 6717.46 262.236
+107.24 6724.2 262.847
+107.75 6779.53 263.527
+108.29 6825.8 264.169
+108.91 6882 264.681
+109.24 6983.91 265.258
+109.74 7020 265.887
+110.23 7093.12 266.491
+111 7166.68 266.987
+111.43 7236.5 267.545
+111.76 7311.24 268.171
+112.08 7364.63 268.815];
+
+%Compute growth rates: from 1950:I to 1997:IV
+gy_obs=1000*data_q(:,2)./data_q(:,3); %real GDP per capita
+gy_obs=diff(log(gy_obs));
+
+gp_obs = diff(log(data_q(:,1))); %GDP deflator inflation
\ No newline at end of file
diff --git a/license.txt b/license.txt
index fdbc868059..d6f1336af2 100644
--- a/license.txt
+++ b/license.txt
@@ -245,6 +245,11 @@ Copyright: 2005-2010 Pascal Getreuer
2017 Dynare Team
License: BSD-2-clause
+Files: examples/fs2000_data.m
+Copyright: 2000-2022 Frank Schorfheide
+Copyright: 2023 Dynare Team
+License: CC-BY-SA-4.0
+
Files: doc/*.rst doc/*.tex doc/*.svg doc/*.pdf doc/*.bib
Copyright: 1996-2022 Dynare Team
License: GFDL-NIV-1.3+
--
GitLab