Higher-order statistics for DSGE models

By Mutschler Willi
Econometrics and Statistics (2016)

  • Willi Mutschler

  • Willi Mutschler

    TU Dortmund

    Germany

Created

September 26, 2016

Last update

October 9, 2016

Software

Matlab

Ranking

128

Visits

797

Downloads

87

Description

These files replicate tables 1, 2 and 3 of the paper as well as the GMM estimation. Dynare 4.4.3 is required. Please add to the Matlab path the following folders and subfolders: GMMtoolbox, HOSScriptFiles and HOSUtils, e.g. using: addpath(genpath(pwd)) For replication of table 1 run: dynare usmodel_Gaussian dynare usmodel_Student_t For replication of table 2 run: dynare AnSchorfheide_Gaussian dynare AnSchorfheide_Student_t For replication of table 3 run: dynare neoclassical_Gaussian dynare neoclassical_Student_t For the GMM estimation run: dynare RBCmodel The used seeds for the Monte Carlo simulation study are accessible in seedsNR.mat. For all questions, comments and concerns, please write to willi@mutschler.eu

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