"Loss Function Based Evaluation of DSGE Models"

Frank Schorfheide
University of Pennsylvania
Department of Economics
3718 Locust Walk
Philadelphia, PA 19104-6297

E-mail: schorf@ssc.upenn.edu
URL   : www.econ.upenn.edu/~schorf

GAUSS Procedures:

Dataset: 

   Directory: ../dsgesel/data
   Filename:  data.prn (ASCII)
              data.wf1 (EVIEWS)

Prior, Hessian, Mode:

   Directory: ../dsgesel/gauss/para
   Filename:  m11pri.out
              m21pri.out
              m11mod.out
              m21mod.out
              m11hes.out
              m21hes.out

GAUSS Libraries:

   Directory: c:/gauss/usersrc/
   Filename:  ciamod.src  =   solution of cash-in-advance models
              cialh.src   =   evaluate likelihood for CIA models
              dsgesel.src =   various procedures for evaluation of DSGE models

   Instructions:

   1) copy files in c:\gauss\usersrc
   2) At the GAUSS prompt, type:
      lib user    c:\gauss\usersrc\dsgesel.src
      lib cialib  c:\gauss\usersrc\ciamod.src
      lib cialib  c:\gauss\usersrc\cialh.src
  
   NOTE: you have to make sure that the names of the library are consistent
         with the names that appear in the GAUSS programs!


GAUSS Procedures:

   Directory: ../dsgesel/gauss/
   Filenames: 
              loaddata.g =  reads the data set into GAUSS

              ciatest.g  =  tests the ciamod procedure, computes steady states, IRFs
              ciapm.g    =  finds the posterior mode for the DSGE models
              ciahess.g  =  evaluates the Hessian at mode, computes penalty for 
                            Laplace approximation
              ciamh.g    =  Metropolis-Hastings Algorithm for DSGE model
              ciadd.g    =  Computes marginal data density via modified harmonic mean estimator
              ciappara.g =  Computes posterior means and S.E. for DSGE model parameters
              ciapred.g  =  Convert DSGE parameters into IRFS, correlations and covariances
              ciapmom.g  =  Posterior mean and S.E. for correlations and covariances
              ciapirf.g  =  Posterior mean and S.E. for IRFs
              cialoss.g  =  Loss function estimation of DSGE model

              varpost1.g =  Marginal Data Density for VAR (various estimators)
              varps.g    =  Posterior simulator for VAR, output can be used to 
                            compute marginal data density via modified harmonic mean estimator
                            (ciadd.g)
              varbq.q    =  Draws from posterior of VAR parameters, conversion into
                            IRFs, correlations and covariances
                 
              irfconv.g  =  Normalizes Impulse response functions