jmaih
commented
2 years ago Hi Erick,
Thank you for your interest in our paper. I believe the replication material is posted on the website of the journal in which the paper was published. Please take a look and let me know if this is not the case.
I have not yet implemented the Tailored Randomized Block Metropolis Hastings in RISE. But RISE allows you to use your own algorithms as long as the inputs and outputs are required by RISE.
check the help for rise/pull_objective
The call to the function is [ff,lb,ub,x0,vcov,obj]=pull_objective(obj,varargin)
Args: obj (rise | dsge | svar | rfvar): initial model object varargin (pairwise additional inputs): usual RISE arguments
Returns: :
- ff [function handle]: for computing "minus log posterior kernel"
- lb [d x 1 vector]: lower bound of the parameters to optimize
- ub [d x 1 vector]: upper bound of the parameters to optimize
- x0 [d x 1 vector]: posterior mode if available
- vcov [d x d matrix]: covariance matrix at the posterior mode if available.
- obj [rise|dsge|svar|rfvar]: updated model object
Cheers,
J.
On Wed, Oct 5, 2022 at 6:43 PM ezhao90 @.***> wrote:
Dear Junior Maih,
I hope everything is doing well. My name is Erick, and I am currently working on a DSGE model with asymmetric information. A few months ago, I found your paper "Origins of Monetary Policy Shifts", which gave me the idea of taking a regime-switching approach in which the type is basically a latent AR(1) process and the regimes are defined as this factor crossing a given threshold.
I really like the approach you and your co-author used, so I wanted to kindly ask you if there is any place where I can find the replication files of this paper or if maybe you can share with me the p-coded files that implement the endogenous Kalman Filter and the TaRB-MH.
I know is a lot to ask for, but I would really appreciate any help you can give me. In case this is not possible, is there any way in which I can, at least, interface Dynare's posterior_sampler in RISE (which already implements the TaRB-MH)?
Thank you in advanced for any help!
Best regards. Erick
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ezhao90
Zhanwenqing
Dear Junior Maih,
I hope everything is doing well. My name is Erick, and I am currently working on a DSGE model with asymmetric information. A few months ago, I found your paper "Origins of Monetary Policy Shifts", which gave me the idea of taking a regime-switching approach in which the type is basically a latent AR(1) process and the regimes are defined as this factor crossing a given threshold.
I really like the approach you and your co-author used, so I wanted to kindly ask you if there is any place where I can find the replication files of this paper or if maybe you can share with me the p-coded files that implement the endogenous Kalman Filter and the TaRB-MH.
I know is a lot to ask for, but I would really appreciate any help you can give me. In case this is not possible, is there any way in which I can, at least, interface Dynare's posterior_sampler in RISE (which already implements the TaRB-MH)?
Thank you in advanced for any help!
Best regards. Erick