RESULTS FROM POSTERIOR MAXIMIZATION parameters prior mean mode s.d. t-stat prior pstdev crhoa 0.500 0.9588 0.0102 93.6267 beta 0.2000 crhob 0.500 0.1824 0.0840 2.1707 beta 0.2000 crhog 0.500 0.9762 0.0082 119.2432 beta 0.2000 crhoqs 0.500 0.7096 0.0590 12.0289 beta 0.2000 crhoms 0.500 0.1271 0.0654 1.9426 beta 0.2000 crhopinf 0.500 0.9038 0.0465 19.4457 beta 0.2000 crhow 0.500 0.9719 0.0128 76.0981 beta 0.2000 cmap 0.500 0.7449 0.0868 8.5784 beta 0.2000 cmaw 0.500 0.8881 0.0511 17.3649 beta 0.2000 csadjcost 4.000 5.4882 1.0291 5.3332 norm 1.5000 csigma 1.500 1.3952 0.1309 10.6579 norm 0.3750 chabb 0.700 0.7124 0.0415 17.1855 beta 0.1000 cprobw 0.500 0.7375 0.0706 10.4487 beta 0.1000 csigl 2.000 1.9199 0.6190 3.1016 norm 0.7500 cprobp 0.500 0.6563 0.0583 11.2515 beta 0.1000 cindw 0.500 0.5920 0.1330 4.4504 beta 0.1500 cindp 0.500 0.2284 0.0919 2.4847 beta 0.1500 czcap 0.500 0.5472 0.1154 4.7435 beta 0.1500 cfc 1.250 1.6150 0.0777 20.7897 norm 0.1250 crpi 1.500 2.0295 0.1812 11.2026 norm 0.2500 crr 0.750 0.8153 0.0244 33.4469 beta 0.1000 cry 0.125 0.0847 0.0225 3.7643 norm 0.0500 crdy 0.125 0.2229 0.0273 8.1746 norm 0.0500 constepinf 0.625 0.8180 0.0977 8.3682 gamm 0.1000 constebeta 0.250 0.1607 0.0605 2.6563 gamm 0.1000 constelab 0.000 -0.1031 0.6051 0.1703 norm 2.0000 ctrend 0.400 0.4320 0.0142 30.3209 norm 0.1000 cgy 0.500 0.5261 0.0888 5.9224 norm 0.2500 calfa 0.300 0.1928 0.0175 11.0089 norm 0.0500 standard deviation of shocks prior mean mode s.d. t-stat prior pstdev ea 0.100 0.4518 0.0275 16.4389 invg 2.0000 eb 0.100 0.2425 0.0233 10.3968 invg 2.0000 eg 0.100 0.5200 0.0298 17.4454 invg 2.0000 eqs 0.100 0.4501 0.0484 9.3070 invg 2.0000 em 0.100 0.2398 0.0147 16.3035 invg 2.0000 epinf 0.100 0.1411 0.0167 8.4561 invg 2.0000 ew 0.100 0.2444 0.0221 11.0549 invg 2.0000 Log data density [Laplace approximation] is -1193461.981940. MODEL SUMMARY Number of variables: 47 Number of stochastic shocks: 7 Number of state variables: 20 Number of jumpers: 12 Number of static variables: 21 MATRIX OF COVARIANCE OF EXOGENOUS SHOCKS Variables ea eb eg em epinf eqs ew ea 0.204113 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 eb 0.000000 0.058787 0.000000 0.000000 0.000000 0.000000 0.000000 eg 0.000000 0.000000 0.270411 0.000000 0.000000 0.000000 0.000000 em 0.000000 0.000000 0.000000 0.057523 0.000000 0.000000 0.000000 epinf 0.000000 0.000000 0.000000 0.000000 0.019916 0.000000 0.000000 eqs 0.000000 0.000000 0.000000 0.000000 0.000000 0.202596 0.000000 ew 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.059727 POLICY AND TRANSITION FUNCTIONS c inve y labobs dy pinfobs robs Constant 0 0 0 -0.103065 0.432026 0.817982 1.589136 kp (-1) 0.046400 -0.041721 -0.078318 -0.173670 -0.078318 -0.025870 -0.028380 kpf (-1) 0.010144 0.022401 0.011290 0.007607 0.011290 0.005027 0.006327 mstate (-1) -0.100047 -0.156499 -0.099237 -0.066928 -0.099237 -0.020934 0.095611 r (-1) -0.572288 -0.867406 -0.562273 -0.379413 -0.562273 -0.114313 0.638342 y (-1) 0.156475 0.237166 0.153736 0.103739 -0.846264 0.031255 -0.174535 yf (-1) -0.156475 -0.237166 -0.153736 -0.103739 -0.153736 -0.031255 0.174535 c (-1) 0.729565 -0.080165 0.489007 0.336759 0.489007 0.013810 0.121836 cf (-1) 0.019558 0.004795 0.014422 0.009898 0.014422 -0.002283 -0.079196 inve (-1) 0.002060 0.838652 0.156620 0.107655 0.156620 0.005420 0.039395 invef (-1) 0.010072 0.009321 0.008748 0.005943 0.008748 0.000471 -0.024271 pinf (-1) -0.076384 -0.147929 -0.058432 -0.065376 -0.058432 0.243417 0.077291 w (-1) -0.038046 -0.083249 0.024464 -0.059886 0.024464 0.070869 0.032397 em -0.786961 -1.231003 -0.780588 -0.526444 -0.780588 -0.164663 0.752064 THEORETICAL MOMENTS VARIABLE MEAN STD. DEV. VARIANCE c 0.0000 0.8722 0.7607 inve 0.0000 1.4567 2.1218 y 0.0000 0.8726 0.7615 labobs -0.1031 0.5456 0.2977 dy 0.4320 0.2371 0.0562 pinfobs 0.8180 0.1216 0.0148 robs 1.5891 0.2443 0.0597 VARIANCE DECOMPOSITION (in percent) ea eb eg eqs em epinf ew c 0.00 0.00 0.00 0.00 100.00 0.00 0.00 inve 0.00 0.00 0.00 0.00 100.00 0.00 0.00 y 0.00 0.00 0.00 0.00 100.00 0.00 0.00 labobs 0.00 0.00 0.00 0.00 100.00 0.00 0.00 dy 0.00 0.00 0.00 0.00 100.00 0.00 0.00 pinfobs 0.00 0.00 0.00 0.00 100.00 0.00 0.00 robs 0.00 0.00 0.00 0.00 100.00 0.00 0.00 MATRIX OF CORRELATIONS Variables c inve y labobs dy pinfobs robs c 1.0000 0.9825 0.9947 0.9730 0.1347 0.9800 -0.4888 inve 0.9825 1.0000 0.9961 0.9925 0.1105 0.9851 -0.4593 y 0.9947 0.9961 1.0000 0.9902 0.1358 0.9885 -0.4874 labobs 0.9730 0.9925 0.9902 1.0000 0.1908 0.9872 -0.5292 dy 0.1347 0.1105 0.1358 0.1908 1.0000 0.2695 -0.9283 pinfobs 0.9800 0.9851 0.9885 0.9872 0.2695 1.0000 -0.5986 robs -0.4888 -0.4593 -0.4874 -0.5292 -0.9283 -0.5986 1.0000 COEFFICIENTS OF AUTOCORRELATION Order 1 2 3 4 5 c 0.9635 0.8862 0.7903 0.6898 0.5927 inve 0.9659 0.8912 0.7953 0.6910 0.5866 y 0.9631 0.8838 0.7842 0.6782 0.5745 labobs 0.9574 0.8669 0.7540 0.6349 0.5194 dy 0.5741 0.2763 0.0855 -0.0310 -0.0980 pinfobs 0.9400 0.8487 0.7502 0.6524 0.5592 robs 0.6647 0.3736 0.1764 0.0505 -0.0262