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IMFS-MMB / mmb-gui-electron

Electron-vue based GUI of the Macroeconomic Model Database
http://www.macromodelbase.com
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No Autocorrelation and Variance for Output in NK_BGG99 #100

Closed btatar13 closed 4 years ago

btatar13 commented 4 years ago

Describe the bug No Autocorrelation and Variance for Output in NK_BGG99 although Output does not seem to be a unit root process

To Reproduce Steps to reproduce the behavior:

  1. Run NK_BGG99 with all possible rules and monetary policy shock

Desktop:

gboehl commented 4 years ago

Odd. Can you have a look yourself?

btatar13 commented 4 years ago

Tomorrow I can have a look into.

gboehl commented 4 years ago

Any advancements?

btatar13 commented 4 years ago

Working on that a bit later today. I was asked to help debug #82.

btatar13 commented 4 years ago

I had a look into the model and ran it outside the MMB. We have indeed a unit root in the model. After a technology shock output, consumption, investment and capital do not return to their steady state values but converge to another value. Obviously agents use capital to smooth consumption and build up at the beginning additional capital to consume later the annuities, as they would do in a simple partial equilibrium infinite horizon problem. Interesting, but not unrealistic at all.

gboehl commented 4 years ago

Alright, thanks for looking into it. We have no means of disabling a variable only for variances and autocorrelation, and we want to keep it for the IRFs. So I'm closing this.