Sinclair’s paper, JMCB, 2009

[unforgiven02]

Hi all,
i wish to replicate Sinclair’s paper (The Relationships between Permanent and Transitory Movements in U.S. Output and the Unemployment Rate, Journal of Money, Credit and Banking,2009) using rats. Any suggestions?

i've included the data file.

[tclark]

The author has made her data and a Gauss program available on her web page: http://home.gwu.edu/~tsinc/yu.zip

[TomDoan]

This will do it. It's a bit of overkill, as I tried a few things (other than brute force with something like PMETHOD=GENETIC) to locate the published estimates. The covariance matrix of the shocks in the joint model is very close to being singular which causes some numerical problems.

sinclair.prg

(5.79 KiB) Downloaded 185 times

[unforgiven02]

Thank you very much Tom Doan for your help and Todd Clark for your comment. It's a great contribution..but when i run the program, Rats has closed itself, i tried many times but result is the same so i wasn't able to replicate the model using rats program. The version i'am using is 7.0, is this happen due to the version incompatibility?

Best.

[condor]

I encountered the same problem. As far as I understand, the problem seems to occur from the following specification:

Code: Select all

* This estimates the model with the pre-sample conditions used in the paper
*
dlm(start=DLMYUModelSetup(),a=ayu,z=zyu,sw=swyu,c=cyu,f=fyu,y=||lgdp,ur||,$
  x0=x0,sx0=sx0,condition=4,parmset=jparms,pmethod=simplex,piters=5,method=bfgs,type=smooth)

It may seem a little bit ironic, but the code works perfectly if you skip these lines and estimate the model "with the more technically correct handling".

[unforgiven02]

Even if i skip the lines shown by condor, the problem occurs again, the code doesn't work and rats shut down itself. I'm running rats line by line and rats shut down between the lines 55-60 before the lines condor indicated.

[moderator]

You'll need version 7.2 (or later) to run that code. Version 7.2 includes a fix for the bug that causes that DLM instruction to fail.

Regards,
Tom Maycock