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How do I setup the An and Schorfheide example?

 

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To setup the An and Schorfheide (2007) example you can proceed as follows:

1.On the DSGE Data tab click on the browse button next to the data construction file edit box. Go to the directory example\AnSchorfheide and select the file DataConstFile.m.
2.On the same tab click on the browse button next to the measurement equation file edit box. Go to the directory example\AnSchorfheide and select the file MeasurementEqFile.m.
3.On the same tab click on the browse button next to the prior distribution specification file edit box. Go to the directory example\AnSchorfheide\data and select the file AnSchorfheidePrior.wk1.
4.On the same tab click on the browse button next to the file with parameters to update edit box. Go to the directory example\AnSchorfheide and select the file MoreASParameters.m.
5.On the same tab click on the browse button next to the AiM model file edit box. Go to the directory example\AnSchorfheide and select the file AnSchorfheideModel.aim.
6.Click the run AiM parser button on the toolbar or on the Actions menu. Wait until you receive a message from the AiM parser.
7.Click on the set state variables button on the toolbar or on the Actions menu. Make sure the following 7 variables are selected: yhat, pihat, chat, rhat, ghat, zhat, and yhatlag. To verify the selections you must click on the OK button.
8.Click on the set state shocks button on the toolbar or on the Actions menu. Make sure the following 3 variables are selected: etaR, etaG, and etaZ. To verify the selections you must click on the OK button.
9.Click on the save model button on the toolbar or on the File menu.

If you have successfully setup the example, the estimate posterior mode button should be enabled on the toolbar and on the Actions menu.

 

 


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