07經(jīng)濟(jì)學(xué)模型-DSGE模型討論之七——最簡單的DSGE模型的Dynare模擬和MLE-Bayesian估計(jì)_第1頁
07經(jīng)濟(jì)學(xué)模型-DSGE模型討論之七——最簡單的DSGE模型的Dynare模擬和MLE-Bayesian估計(jì)_第2頁
07經(jīng)濟(jì)學(xué)模型-DSGE模型討論之七——最簡單的DSGE模型的Dynare模擬和MLE-Bayesian估計(jì)_第3頁
07經(jīng)濟(jì)學(xué)模型-DSGE模型討論之七——最簡單的DSGE模型的Dynare模擬和MLE-Bayesian估計(jì)_第4頁
07經(jīng)濟(jì)學(xué)模型-DSGE模型討論之七——最簡單的DSGE模型的Dynare模擬和MLE-Bayesian估計(jì)_第5頁
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1、這個notes純粹是掃盲用的。我用了一個最簡單的線性DSGE,只有兩個方程。先是我用手算的方法找到saddle-path的policyfunction,然后手算出impulseresponsefunction。這些我都用Dynare做了計(jì)算，程序和結(jié)果都寫在note里面。HRspecifyan1rhayiourrule,ytBE鉗%(1)：0】anrxugeiitHjsMjuKdvprocessrodescribeChehdiHVjnniufjj-uur+上*_!_+&或(。.仃勺：|p|dynaresimplemodelConfiguringDynare.mexGeneralizedQZ.m

2、exSylvesterequationsolution.mexKroneckerproducts.mexSparsekroneckerproducts.mexLocalstatespaceiteration(secondorder).mexBytecodeevaluation.mexk-orderperturbationsolver.mexk-ordersolutionsimulation.mexQuasiMonte-Carlosequence(Sobol).mexMarkovSwitchingSBVAR.StartingDynare(version4.3.3).Startingpreproc

3、essingofthemodelfile.Found2equation(s).Evaluatingexpressions.doneComputingstaticmodelderivatives:-order1Computingdynamicmodelderivatives:-order1Processingoutputs.donePreprocessingcompleted.StartingMATLAB/Octavecomputing.STEADY-STATERESULTS:EIGENVALUES:ModulusRealImaginary0.91.1110.91.111Thereare1eig

4、envalue(s)largerthan1inmodulusfor1forward-lookingvariable(s)Therankconditionisverified.Residualsofthestaticequations:Equationnumber1:0Equationnumber2:0MODELSUMMARYNumberofvariables:2Numberofstochasticshocks:2Numberofstatevariables:1Numberofjumpers:1Numberofstaticvariables:0MATRIXOFCOVARIANCEOFEXOGEN

5、OUSSHOCKSVariableseue0.0100000.000000u0.0000000.010000POLICYANDTRANSITIONFUNCTIONSyxx(-1)4.7368420.900000e5.2631581.000000u1.0000000MOMENTSOFSIMULATEDVARIABLESVARIABLEMEANSTD.DEV.VARIANCESKEWNESSKURTOSISy-0.3479661.2792061.636369-0.0766290.045543x-0.0656400.2423470.058732-0.0916980.036069CORRELATION

6、OFSIMULATEDVARIABLESVARIABLEyxy1.00000.9970x0.99701.0000AUTOCORRELATIONOFSIMULATEDVARIABLESVARIABLE12345y0.91270.82440.73640.65810.5958x0.91630.82950.74260.66920.6119Loading900observationsfromSimul_data.matInitialvalueofthelogposterior(orlikelihood):-14016.6527Warning:OptionsLargeScale=offandAlgorit

7、hm=trust-region-reflectiveconflict.IgnoringAlgorithmandrunningactive-setalgorithm.Toruntrust-region-reflective,setLargeScale=on.Torunactive-setwithoutthiswarning,useAlgorithm=active-set.Infminconat454Indynare_estimation_1at228Indynare_estimationat70Insimplemodelat129Indynareat120Warning:Yourcurrents

8、ettingswillrunadifferentalgorithm(interior-point)inafuturerelease.Infminconat458Indynare_estimation_1at228Indynare_estimationat70Insimplemodelat129Indynareat120MaxLinesearchDirectionalFirst-orderIterF-countf(x)constraintsteplengthderivativeoptimalityProcedure0314016.7-0.1917-1447.33-0.0950.5-1.1e+05

9、5.09e+04213-1577.29-0.083130.125-2.88e+048.91e+03317-1579.48-0.041560.5-2444.29e+03422-1587.63-0.077590.25-3411.9e+03529-1588.01-0.074790.0625-29356.2632-1588.68-0.082741-76.1390735-1589.03-0.085021-48.8980838-1589.17-0.086231-140110941-1589.19-0.084361-11.317.61044-1589.19-0.083481-3.358.11147-1589

10、.19-0.083451-0.720.0422Localminimumpossible.Constraintssatisfied.fminconstoppedbecausethesizeofthecurrentsearchdirectionislessthantwicetheselectedvalueofthestepsizetoleranceandconstraintsaresatisfiedtowithinthedefaultvalueoftheconstrainttolerance.Noactiveinequalities.POSTERIORKERNELOPTIMIZATIONPROBL

11、EM!(minus)thehessianmatrixatthemodeisnotpositivedefinite!=posteriorvarianceoftheestimatedparametersarenotpositive.Youshouldtrytochangetheinitialvaluesoftheparametersusingtheestimated_params_initblock,oruseanotheroptimizationroutine.Warning:Theresultsbelowaremostlikelywrong!Indynare_estimation_1at480Indynare_estimationat70Insimplemodelat129Indynareat120MODECHEC

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