Replication codes for paper on "Pruned skewed Kalman filter and smoother with application to DSGE models"

This repository contains the replication codes for the paper "Pruned Skewed Kalman Filter and Smoother with Application to DSGE Models" authored by Gaygysyz Guljanov, Willi Mutschler, and Mark Trede.
The preprint is available at this link.
Previous versions of the paper were circulated under the title "Pruned Skewed Kalman Filter and Smoother: With Application to the Yield Curve", which can be accessed through CQE Working Paper 101 and Dynare Working Paper no. 78.

Section 2: Closed skew normal distribution

• The R script figure_csn_univariate.R in the R folder creates Figure 1 of the paper (figure_csn_univariate.pdf).

• The R script figure_csn_bivariate.R in the R folder creates Figure 2 of the paper (figure_csn_bivariate.pdf).

Section 4: Pruning the skewness dimension

The R script figure_pruned_distribution.R in the R folder creates Figure 3 of the paper (figure_pruned_distribution.pdf).
It also prints the correlation matrix before pruning, the pruned parameters, and the Kullback-Leibler divergence between the original and pruned distributions to the console.

Section 6: Asymmetric shocks in a New Keynesian DSGE model

• The R script figure_data.R in the R folder creates Figure 4 of the paper (figure_data.pdf).
  It also computes the summary statistics and prints them to the console.

• The MATLAB script main_ireland2004.m in the Dynare folder estimates the Gaussian and CSN models with maximum likelihood and Bayesian methods.
  The estimation is done with Dynare in several steps and the results are saved in the results/ireland2004 folder:

  • Table 2 of the paper is in results/ireland2004/table2.tex
  • The likelihood ratio test is in results/ireland2004/LR_statistic.tex and results/ireland2004/LR_pvalue.tex
  • The data for Figure 5 of the paper is in results/ireland2004/, the Figure is created with the R script figure_irfs.R in the R folder (figure_irfs.pdf)
  • Table 3 of the paper is in results/ireland2004/table3.tex

Monte Carlo Study

The Online Appendix includes detailed tables from the Monte Carlo study.
You can replicate these tables using the scripts table1_table2.m, table3.m, and table4.m, which are located in the MATLAB folder.
The results can also be found in the results folder.

Publication quality figures

The figures reported in the paper have been generated with the scripts in the folder R.
These scripts are written in the R programming language and require several packages to be installed.
The figures are saved as eps files.

Replicating results from working paper

This repository also contains replication codes for previous versions of the paper.
Namely, in the working paper versions of the paper, we estimate a Dynamic Nelson-Siegel model (Diebold, Rudebusch and Aruoba, 2006) of the yield curve using maximum likelihood in MATLAB.
Additionally, we provide non-Dynare codes for estimating the Ireland (2004) model with maximum likelihood in MATLAB, though not with Bayesian methods.
While the Dynare toolbox is significantly more user-friendly and widely adopted among quantitatively oriented macroeconomists, our alternative approach aims to offer complementary insights.