A Question about Taking “data” to “model”：DSGE模型参数估计的一点思考

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Generally speaking, we use a linear model to estimate parameters. Of course, we can use nonlinear model to estimate parameters too but it could be much more complicated [The first particle filter routines was released in Dynare 4.3. But it was not that clean and efficient at that time. Now It should be stable and efficient.]
In the linear model, variables are usually log-linearized\[ \hat{x}_{t}\equiv\log x_{t}-\log x\]   So in order to take data to model, we could define a growth variable as \[\text{d}x\equiv\log x_{t}-\log x_{t-1}=\hat{x}_{t}-\hat{x}_{t-1}\]then we define dx as varobs in Dynare model file. Then the growth data could be constructed from statistical level data and taken to model by loading the data into the model.
So the data are not necessarily be de-trended using HP filter when one estimate the parameters in the model though sometimes it is used. To my understanding, in this case, the cycle part of the HP filter is taken to model variable \[\hat{x}_{t}\]directly without defining a new observable variable. By definition, the cycle part of HP filter is the periodic variation around its trend. And the log-deviation form \[\hat{x}_{t}\] refers to the deviation from its steady state value. In this sense, the cycle part of HP filter matches   \[\hat{x}_{t}\] in implication to some extent.

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关键词：question taking dsge模型 Quest About

PDF附件 estimation_equations201907.pdf (103.98 KB)

2019-8-2 04:40:05 上传

thanls for sharing

稳态x可能在每一期都是不同的，例如GDP，此时 x_hat(t) = log[x(t)] - log[x_ss(t)] ，则

增长率 log[x(t)] - log[x(t-1)]
= x_hat(t) + log(x_ss(t)) - x_hat(t-1) - log[x_ss(t-1)]
= x_hat(t) - x_hat(t-1) + log[x_ss(t)]-log[x_ss(t-1)]
而对于GDP来说通常 log[x_ss(t)] - log[x_ss(t-1)] 不等于0

李向阳老师， 拥有微软软件工程师资格；

then we define dx as varobs in Dynare model file. Then the growth data could be constructed from statistical level data and taken to model by loading the data into the model.

这个教案里； 提示了定义变量；

很多人没学过高级语言。  C++ 或者 FORTRAN ;  动态编程语言的变量类型不需要预先申明： declare, or declaration. 我的英文不好，怕拼写错误；


我2007年大学毕业去深圳做研究员，所以因为我是研究员出身的；我知道这个帖子的作者就是李向阳老师本人；哈哈

可以进一步教学不？
同时，据我在遇到 dynare 错误的时候  dynare.m 文件里有 hook 钩子函数； hook 钩子函数在 C++ 语言，专业程序员更得心应手；以及 dynare 的并行多核计算， 配置 pstools 以及  .ini 文件；

很期待李向阳老师再露一手，因为我也买了李向阳老师的教材第一版； 看了后非常的痴迷。哈哈

尤其是在教学编程上，dynare 的
var,varexo ,parameters ，其实都是 double 类型的数据？

我现在和一些网友聊天，我就说定义一个MATLAB 变量
boolTest = true;    % declare a   boolen type varable.  变量用合成单词的大小写表示，应该在C++ 语言里叫做【匈牙利变量表示方法】
class(boolTest);

testMatrix = eyes(10); % declare a matrix ,which is double type varables ;
class(testMatrix):

goodnight, Yurs Daniel.