Re: [Gretl-users] unobserved component model with stochastic volatility (UC-SV)
Hey Allin,
I should have been more precise.
Actually I am trying to replicate figure 2a (std. deviation of the
permanent component) and 2b (std. deviation of the transitory component)
from the S/W paper.
If one compares figures 2a and 2b with the results I've obtained with Peter
Summer's gretl code (pdf, attached before) you see that they highly deviate
from Stock and Watson's results. But using the original code I can
replicate their figures quite well (see attached pdf files).
I thought that maybe somebody on the mailing list has already tried to
replicate the S/W paper using their data and Peter Summer's code.
Best,
Artur
2012/5/15 Allin Cottrell <cottrell(a)wfu.edu>
On Mon, 14 May 2012, Artur Tarassow wrote:
> Dear gretl mailing list
>
> some while ago, Peter Summers posted his translated code from
Stock/Watson's
> 2007 paper (originally written in Gauss)
> (URL:
http://lists.wfu.edu/pipermail/gretl-users/2011-February/005897.html).
>
> I tried to replicate some work, among them Stock/Watson's paper, but
> unfortunately I do not get the same or at least similar results using
Peter
> Summer's code. Even though, the input parameters are as in the original
Gauss
> code.
What exactly is it that you're comparing between the Stock &
Watson paper and gretl output? And are you using the corrected
S & W output?
http://www.princeton.edu/~mwatson/papers/jmcb_07_stockandwatson_corrected...
Allin Cottrell
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Attachments:
- attachment.html (text/html — 2.4 KB)
- fig2_sd_eps_infl.pdf (application/pdf — 4.4 KB)
- fig2_sd_eta_infl.pdf (application/pdf — 4.5 KB)