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 -923.052692. MODEL SUMMARY Number of variables: 40 Number of stochastic shocks: 7 Number of state variables: 20 Number of jumpers: 12 Number of static variables: 14 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 dy pinfobs robs y c inve labobs Constant 0.432026 0.817982 1.589136 0 0 0 -0.103065 a (-1) 0.225350 -0.129100 -0.166420 0.225350 0.234854 0.821776 -0.929615 b (-1) 0.315021 0.013445 0.080192 0.315021 0.382675 0.265025 0.214896 epinfma(-1) 1.969387 -3.530035 -0.853202 1.969387 0.805864 5.643383 0.927226 ewma (-1) 2.062663 -4.047080 -1.024734 2.062663 2.980750 1.512253 1.739964 g (-1) 0.921765 0.026853 0.052902 0.921765 -0.111110 -0.226630 0.636824 kp (-1) -0.078318 -0.025870 -0.028380 -0.078318 0.046400 -0.041721 -0.173670 kpf (-1) 0.011290 0.005027 0.006327 0.011290 0.010144 0.022401 0.007607 ms (-1) -0.099237 -0.020934 0.095611 -0.099237 -0.100047 -0.156499 -0.066928 qs (-1) 0.474180 0.053798 0.052533 0.474180 -0.038687 2.696155 0.323625 r (-1) -0.562273 -0.114313 0.638342 -0.562273 -0.572288 -0.867406 -0.379413 spinf (-1) -2.389601 4.283249 1.035252 -2.389601 -0.977813 -6.847528 -1.125071 sw (-1) -2.257069 4.428518 1.121315 -2.257069 -3.261686 -1.654783 -1.903956 y (-1) -0.846264 0.031255 -0.174535 0.153736 0.156475 0.237166 0.103739 yf (-1) -0.153736 -0.031255 0.174535 -0.153736 -0.156475 -0.237166 -0.103739 c (-1) 0.489007 0.013810 0.121836 0.489007 0.729565 -0.080165 0.336759 cf (-1) 0.014422 -0.002283 -0.079196 0.014422 0.019558 0.004795 0.009898 inve (-1) 0.156620 0.005420 0.039395 0.156620 0.002060 0.838652 0.107655 invef (-1) 0.008748 0.000471 -0.024271 0.008748 0.010072 0.009321 0.005943 pinf (-1) -0.058432 0.243417 0.077291 -0.058432 -0.076384 -0.147929 -0.065376 w (-1) 0.024464 0.070869 0.032397 0.024464 -0.038046 -0.083249 -0.059886 ea 0.731844 -0.120179 -0.145063 0.731844 0.185068 0.734964 -0.626358 eb 1.726715 0.073698 0.439556 1.726715 2.097545 1.452675 1.177904 eg 0.944276 0.027508 0.054194 0.944276 -0.113823 -0.232164 0.652376 em -0.780588 -0.164663 0.752064 -0.780588 -0.786961 -1.231003 -0.526444 epinf -0.787984 1.725964 0.458892 -0.787984 -0.428881 -1.769355 -0.351480 eqs 0.668265 0.075818 0.074035 0.668265 -0.054522 3.799706 0.456087 ew -0.155397 0.521800 0.158494 -0.155397 -0.358495 -0.298564 -0.278016 THEORETICAL MOMENTS VARIABLE MEAN STD. DEV. VARIANCE dy 0.4320 0.9436 0.8904 pinfobs 0.8180 0.5675 0.3220 robs 1.5891 0.6213 0.3860 y 0.0000 5.7268 32.7961 c 0.0000 5.8092 33.7467 inve 0.0000 12.5805 158.2695 labobs -0.1031 2.9752 8.8518 VARIANCE DECOMPOSITION (in percent) ea eb eg eqs em epinf ew dy 15.91 22.10 28.63 15.97 6.31 4.55 6.52 pinfobs 4.04 0.61 1.01 3.40 4.59 28.56 57.79 robs 10.38 7.68 3.92 19.39 15.46 7.16 36.01 y 29.49 1.59 4.17 7.90 2.32 6.35 48.17 c 10.50 2.31 9.01 3.18 2.25 4.19 68.56 inve 19.22 0.22 5.10 45.60 1.34 6.64 21.87 labobs 1.99 2.62 10.48 8.63 3.36 6.19 66.73 MATRIX OF CORRELATIONS Variables dy pinfobs robs y c inve labobs dy 1.0000 -0.2350 -0.2166 0.0824 0.0176 0.0806 0.0878 pinfobs -0.2350 1.0000 0.6748 -0.3826 -0.5033 -0.2194 -0.3601 robs -0.2166 0.6748 1.0000 -0.3808 -0.5755 -0.1365 -0.2632 y 0.0824 -0.3826 -0.3808 1.0000 0.8140 0.7934 0.8008 c 0.0176 -0.5033 -0.5755 0.8140 1.0000 0.6780 0.6620 inve 0.0806 -0.2194 -0.1365 0.7934 0.6780 1.0000 0.6003 labobs 0.0878 -0.3601 -0.2632 0.8008 0.6620 0.6003 1.0000 COEFFICIENTS OF AUTOCORRELATION Order 1 2 3 4 5 dy 0.2773 0.1613 0.0973 0.0537 0.0222 pinfobs 0.8451 0.7367 0.6481 0.5727 0.5083 robs 0.9085 0.8025 0.7059 0.6218 0.5497 y 0.9864 0.9653 0.9398 0.9117 0.8821 c 0.9930 0.9815 0.9675 0.9520 0.9353 inve 0.9820 0.9426 0.8911 0.8337 0.7746 labobs 0.9748 0.9416 0.9051 0.8672 0.8293