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[![DOI](https://zenodo.org/badge/DOI/10.5281/zenodo.3192196.svg)](https://doi.org/10.5281/zenodo.3192196)

# Replication files

## The effect of observables, functional specifications, model features and shocks on identification in linearized DSGE models

## Authors: Sergey Ivashchenko and Willi Mutschler
If you spot mistakes please open an issue or write an email to willi@mutschler.eu
# Replication files for "The effect of observables, functional specifications, model features and shocks on identification in linearized DSGE models"
- Authors: Sergey Ivashchenko and Willi Mutschler (corresponding author)
- Published in [Economic Modelling](https://doi.org/10.1016/j.econmod.2019.09.039)

### General notes
- <u>**For all cases you can simply check the Dynare log files and generated pdfs instead of (time-costly) rerunning all models.**</u>
- Note that you need at least Dynare 4.6-unstable. All results were generated with the Version from May 6, 2019 (commit 0375dbe29b40ac1f70963ccfd8e429ef99fea774 on [Dynare Master Branch](https://git.dynare.org/Dynare/dynare). You can find this specific version in the folder `utils`.
- If you spot mistakes please open an issue or write an email to willi@mutschler.eu

### Updates
- Small bugfixes
- Rerun all identification rank checks for prior mean and 100 draws from prior domain
- Added measurement errors to AnScho model
- Rerun all identification strength scenarios and updated tables

### Folder `paper`
- Contains the pdf and Latex source files of the current version of the paper and technical appendix.
### Folder `utils`
- `dynare-4.6-unstable-0375dbe.tar.xz` and `dynare-4.6-unstable-0375dbe-win.exe` source files and Windows Setup file of the Dynare version used for replication. Any newer Dynare 4.6-unstable version should work as well.
- `dynare-4.6-unstable-0375dbe.tar.xz` and `dynare-4.6-unstable-0375dbe-win.exe` source files and Windows Setup file of the Dynare version used for replication. Any newer Dynare 4.6-unstable version should work as well. There might be slight differences due to random numbers and bugfixes. We would always advise to use the latest dynare 4.6 version from [https://dynare.org](https://dynare.org)
- `AnSchoModTheBuilder.mod`: Dynare mod file for all variants of the monetary model. This mod file is copied into all folders.
- `KimModTheBuilder.mod`: Dynare mod file for all variants of the investment adjustment costs model. This mod file is copied into all folders.
- `LatexTable.m` function that converts Matlab tables to Latex tables. Original authors Eli Duenisch and Pascal E. Fortin
- `SetupForParallel.ini` configuration file for running Dynare in parallel on a local computer
- `SetupForParallelCluster.ini` configuration file for running Dynare in parallel on the PALMA cluster of the University of Münster
- `LatexTable.m` function that converts Matlab tables to Latex tables. Original authors are Eli Duenisch and Pascal E. Fortin.
- `SetupForParallel.ini` configuration file for running Dynare in parallel on a local computer with eight cores.
- `SetupForParallelCluster.ini` configuration file for running Dynare in parallel on the PALMA cluster of the University of Münster with 72 cores.

### Folder `Kim/Lack_of_Identification`
- Contains replication files and results for the theoretical identification analysis by analyzing the rank criteria of *Iskrev (2010)*, *Komunjer and Ng (2011)* and *Qu and Tkachenko (2012)*
Expand All @@ -32,12 +34,12 @@ If you spot mistakes please open an issue or write an email to willi@mutschler.e
- EXTERNALHABIT: Baseline with external consumption habit formation
- INTERNALHABIT: Baseline with internal consumption habit formation
- INVESTSPECSHOCK: Baseline with investment-specific technological shock
- LABOR: Baseline with leisure choice
- LABOR: Baseline with leisure/labor choice
- MONPOL: Baseline with monetary policy
- Model folders
- The first part of the name of the model folder indicates the scenario, whereas the last part indicates the specification of intertemporal investment adjustment costs (*level* or *growth*)
- `RUN_DYNARE.m` function that sets the Dynare macros and needs to be run in each folder
- `KimModTheBuilder.log` contains the log files of the identification analysis
- `KimModTheBuilder.log` contains the log file of the identification analysis (here you can simply check the run instead of time consuming rerunning everything)
- `table.pdf` contains a table with a summary of the results
- `Replicate_Kim_Lack_of_Identification.m`
- Recreates/changes a specific or all model variants. You then have to go into each model folder and run `RUN_DYNARE.m`. This will recreate all log files as well as pdf files. Be careful as this function deletes all previous results and makes the folders empty.
Expand All @@ -47,12 +49,12 @@ If you spot mistakes please open an issue or write an email to willi@mutschler.e
- We consider the following model scenarios with either the *growth* or *level* specification of intertemporal investment adjustment costs
- Baseline: The original model of *Kim (2003, JEDC)*
- Investshock: Baseline with investment-specific technological shock
- `RunKimStrength.m` creates all model folders and contains all details for the Dynare macros needed for all model variants, the other matlab files starting with `Replicate...` simply set different sample sizes.
- `RunKimStrength.m` creates all model folders and contains all details for the Dynare macros needed for all model variants, the other matlab files starting with `Replicate...` simply set different sample sizes.
- If you want to rerun an estimation for a certain model variant with a certain sample size, e.g. for the Baseline growth scenario and 100 observations simply run `ReplicateKimBaselineGrowth_100.m`. This will create a model folder (`BaselineGrowth/100`) with the following files:
- `currentmodelcall.txt` the exact invocation of Dynare used in this folder
- `KimModTheBuilder.log` is the log file of the estimation
- `KimModTheBuilder_TeX_binder.pdf` is a summary of all graphs produced by Dynare during the estimation
- The average posterior precisions are saved in MAT files in the parent folder (e.g. `weakresults_mcmc_100.mat` in `BaselineGrowth` folder)
- `KimModTheBuilder.log` is the log file of the estimation (simply check this instead of rerunning everything)
- `KimModTheBuilder_TeX_binder.pdf` is a summary of all graphs (in particular convergence diagnostics) produced by Dynare during the estimation
- The average posterior precisions are saved in MAT files in the parent folder (e.g. `weakresults_mcmc_100.mat` in `BaselineGrowth` folder)
- After all estimations are done, `Make_Kim_Latex_Tables_Strength.m` creates Latex tables in each Scenario folder into a folder labled `tables` from the `weakresults_mcmc_...` mat files.

### Folder `AnScho/Lack_of_Identification`
Expand All @@ -63,9 +65,10 @@ If you spot mistakes please open an issue or write an email to willi@mutschler.e
- PREFSHOCK: Baseline with a preference shock on the discount factor shifter
- INDEXATION and PREFSHOCK: Baseline with both partial inflation indexation and preference shock
- Model folders
- The first part of the name of the model folder indicates the scenario, whereas the last part indicates the specification of monetary policy rule (*FLEX*, *GROWTH*, *STEADYSTATE* or *growth*)
- The first part of the name of the model folder indicates the scenario, whereas the last part indicates the specification of monetary policy rule (*FLEX*, *GROWTH*, *STEADYSTATE* or *SW*)
- We also added a version with measurement errors on YGR, INFL, and INT, these folders end with *MEASERR*
- `RUN_DYNARE.m` function that sets the Dynare macros and needs to be run in each folder
- `AnSchoTheBuilder.log` contains the log files of the identification analysis
- `AnSchoTheBuilder.log` contains the log file of the identification analysis (simply check this instead of rerunning the estimation)
- `table.pdf` contains a table with a summary of the results
- `Replicate_AnScho_Lack_of_Identification.m`
- Recreates/changes a specific or all model variants. You then have to go into each model folder and run `RUN_DYNARE.m`. This will recreate all log files as well as pdf files. Be careful as this function deletes all previous results and makes the folders empty.
Expand All @@ -80,7 +83,7 @@ If you spot mistakes please open an issue or write an email to willi@mutschler.e
- `RunAnSchoStrength.m` creates all model folders and contains all details for the Dynare macros needed for all model variants, the other matlab files starting with `Replicate...` simply set different sample sizes.
- If you want to rerun an estimation for a certain model variant with a certain sample size, e.g. for the Baseline scenario and 100 observations simply run `ReplicateASBaseline_100.m`. This will create a model folder (`Baseline/100`) with the following files:
- `currentmodelcall.txt` the exact invocation of Dynare used in this folder
- `AnSchoModTheBuilder.log` is the log file of the estimation
- `AnSchoModTheBuilder_TeX_binder.pdf` is a summary of all graphs produced by Dynare during the estimation
- `AnSchoModTheBuilder.log` is the log file of the estimation (simply check this instead of rerunning the estimation)
- `AnSchoModTheBuilder_TeX_binder.pdf` is a summary of all graphs (in particular convergence diagnostics) produced by Dynare during the estimation
- The average posterior precisions are saved in MAT files in the parent folder (e.g. `weakresults_mcmc_100.mat` in `Baseline` folder)
- After all estimations are done, `Make_AnScho_Latex_Tables_Strength.m` creates Latex tables in each Scenario folder into a folder labled `tables` from the `weakresults_mcmc_...` mat files.

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