本人是DSGE初学者,在打算复现黄赜琳(2005)《中国经济周期特征与财政政策效应———一个基于三部门 RBC 模型的实证分析》一文。发现对数线性化、编译程序都能运行,但结果与文中结果不同(由于文章中没有脉冲图,所以对比的相关系数矩阵,发现的不同)。是不是因为文章中用的“迭代法”所以导致结果差异的?求大神解决。var c g n z k y i r;
varexo
e_1 %technology shock
e_g; %government shcok
parameters
psi_1 % autocorrelation of technology coefficient
psi_g % autocorrelation of government coefficient
eta % CRRA
alpha % coefficient between government concumption and private consumption
delta % depreciation rate
beta % subjective discounting rate
rho % capital share in production function
;
parameters cs gs ns zs ks n_k ys is;
%parameters value
psi_1 = 0.72;
psi_g = 0.32;
eta = 0.7;
alpha = 0.36;
delta = 0.1;
beta = 0.943;
rho = 0.503;
%steady state
ns = 0.542;
zs = 1;
gs = 1;
n_k = 1/(zs*rho)*(1/beta-1+delta);
ks = ns/((n_k)^(1/(1-rho)));
cs = zs*ks^rho*ns^(1-rho)-gs-delta*ks;
ys = zs*ks^rho*ns^(1-rho);
is = delta*ks;
rs =1/beta;
model;
%Euler equation about consumption and labor
-eta*c+alpha*(1-eta)*g=(ns/(1-ns)+rho)*n-z-rho*k(-1);
%Euler equation about consumption and capital
-eta*c+alpha*(1-eta)*g=-eta*c(+1)+alpha*(1-eta)*g(+1)+beta*(rho*ks^(rho-1)*ns^(1-rho)*zs*z(+1) + rho*(rho-1)*zs*ks^(rho-1)*ns^(1-rho)*k + rho*(1-rho)*zs*ks^(rho-1)*ns^(1-rho)*n(+1) );
%constraint condition
(z+rho*k(-1)+(1-rho)*n)*zs*ks^rho*ns^(1-rho)=cs*c+gs*g+ks*k-(1-delta)*ks*k(-1);
%technology shock
z=psi_1*z(-1)+e_1;
%government shock
g=psi_g*g(-1)+e_g;
%investment
ks*k=is*i+ks*(1-delta)*k(-1);
%output equation
y=z+rho*k(-1)+(1-rho)*n;
%R
r-eta*c+alpha*(1-eta)*g=-eta*c(-1)+alpha*(1-eta)*g(-1);
end;
initval;
c=0;
g=0;
n=0;
z=0;
k=0;
y=0;
i=0;
r=0;
end;
shocks;
var e_1 ;
stderr 0.0246;
var e_g;
stderr 0.0395;
end;
steady;
check;
stoch_simul(order=1,irf=40)c k n y i g z;