Discussion of State Space and Dynamic Stochastic General Equilibrium Models
The paper replication example, Perron-Wada (http://www.estima.com/forum/viewtopic.php?f=8&t=1504
), includes an estimation of a SS-model with a broken trend rae. Is there a clever way to introduce more than one break in the trend rate?. I tried but unfortunately only with embarassing results.
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- Joined: Wed May 19, 2010 5:12 am
That's fairly straightforward. This does breaks at 1973:1 (as in the paper) plus another at 1990:1. The three lines with >>> are the only ones that need to change.
- Code: Select all
set lgdp = 100.0*lgdp
set d1973 = t>1973:1
>>>SET D1990 = T>1990:1
* UC-0 decomposition with AR(2) cycle, broken trend rate.
>>>nonlin mu D1 D2 sn ph1 ph2 se
dec frml[rect] af
dec frml[vect] zf
dec frml[symm] swf
frml af = ||1.0,0.0,0.0|$
>>>frml zf = ||mu+D1*D1973+D2*D1990,0.0,0.0||
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