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jstac / sdfs_via_autodiff

Computing wealth consumption ratios and stochastic discount factors under smooth recursive utility
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Write continuous state version of GCY #9

Open jstac opened 1 year ago

jstac commented 1 year ago

To be completed once we are happy with SSY continuous state version.

Smit-create commented 1 year ago

@jstac @JunnanZ Should we start moving towards GCY, or, how are we proceeding on this? Thanks!

jstac commented 1 year ago

Hi @Smit-create , yes, we can now start moving on this. Do you have time to take a shot, just paralleling the continuous state version of SSY?

The rules for updating the state are given at the top of https://github.com/jstac/sdfs_via_autodiff/blob/main/code/gcy/gcy_model.py

JunnanZ commented 1 year ago

Perhaps it's worth it to code up the loglinear price-consumption ratio for the GCY model, to feed Newton's method as an initial guess. It might not work but it's worth a try.

How to compute it is detailed in Section A.2 of this paper. @Smit-create, do you think you can work this out? It should be similar to what we have done for the SSY model here: https://github.com/jstac/sdfs_via_autodiff/blob/main/code/ssy/ssy_model.py#L94.

Smit-create commented 1 year ago

Thanks for sharing the paper @JunnanZ. I can have a look and get back if I have any doubts.

Smit-create commented 1 year ago

@jstac , @JunnanZ do we have any other pending tasks for this issue or in general?