Unconditional variance: zeros and NaNs

Model Comparison Execution of model Comparison
1

Hi All,

Running v2.3.2 to see how the Taylor rule works across models with a monetary policy shock, I encountered zeros and NaNs for a number of models (cf. below). Is this expected behavior or does it indicate an installation problem?

Thanks,

Ray

Model Interest Inflation Outputgap Output
NK_RW97 0.079687 0.061910 0.389011 1.170185
NK_LWW03 4.677007 0.803340 18.005086
NK_CGG99 0.403511 1.672616 11.180891
NK_CGG02 0.000000 0.000000 0.000000 0.000000
NK_MCN99cr 4.552730 1.324597 1.552290
NK_IR04 6.205939 2.519643 0.105360 50.452929
NK_BGG99 0.000000 0.000000 0.000000 NaN
NK_GM05 0.850931 0.349508 0.151881 0.440556
NK_GK09lin 0.000000 0.000000 0.000000 0.000000
NK_CK08 3.499437 0.481532 3.575186 3.575186
NK_CKL09 1.427580 0.118462 0.190884 0.684910
NK_RW06 0.000000 0.000000 0.000000
US_CMR14 23.081597 13.044670 26.282135 168.027031
US_FRB03 164.374345 8.456621 239.064000 215.595130
US_FRB08 NaN NaN NaN NaN
US_FRB08mx NaN NaN NaN NaN
US_SW07 24.412989 20.236693 18.258208 30.842104
US_ACELm 0.452592 0.317296 0.400555 0.860964
US_ACELt 0.061933 0.066297 0.438336 0.384399
US_ACELswm 0.286504 0.188399 0.351306 0.605484
US_ACELswt 0.043843 0.056461 0.448951 0.367126
US_RS99 24.363090 11.888077 5.170883 5.170883
US_OR03 21.252609 10.581111 5.915766 5.915766
US_PM08 4.577176 1.270099 1.773423 1.773423
US_PM08fl 5.215986 1.690203 1.123906 1.123906
US_DG08 3.499271 0.690237 4.572434 18.261754
US_CD08 1.252488 0.620759 0.713709 1.907218
US_IAC05 2.541675 0.764162 5.426554 3.720427
US_MR07 NaN 0.000893 NaN NaN
US_RA07 55.640950 20.631710 15.248460 201.811067
US_CCTW10 30.364712 24.378764 20.390743 29.731331
US_IR11 80.089518 34.197288 0.239419 1.114090
EA_CW05ta 3.994667 1.202740 2.782745 2.782745
EA_CW05fm 16.548180 6.563988 2.779097 2.779097
EA_AWM05 4.724320 1.205157 4.528152 4.593630
EA_SW03 3.326490 0.772280 3.681759 6.435739
EA_SR07 12.347281 9.212859 10.105732 25.771420
EA_QUEST3 34.417157 14.894980 2.941532
EA_CKL09 4.481231 0.932265 3.693269 0.521844
EA_GE10 25.053068 25.540021 34.635020 23.936881
G7_TAY93 27.953069 6.911255 16.707190 16.707190
G3_CW03 5.661569 2.494527 3.444601 3.444601
EACZ_GEM03 1.397075 1.048501 0.691074 5.015016
G2_SIGMA08 NaN NaN NaN NaN
EAUS_NAWM08 0.000000 0.000000 0.000000 0.000000
EAES_RA09 NaN NaN NaN NaN
CL_MS07 11.036665 5.456832 5.751626 24.721564
BRA_SAMBA08 194.388354 156.213704 223.732961 210.313389
CA_LS07 1.238851 0.453947 0.144304 6.173727
HK_FPP11 25.705900 10.210023 2.385025 9.164768
US_IN10 4.801574 2.694995 1.633556 26.716691
US_CMR10 60.611065 50.253281 45.104854 11.148996
US_CMR10fa 214.972254 202.969781 214.326605 24.664625
US_VMDno 0.975466 0.000302 0.000862 0.000862
US_VMDop 0.977966 0.003293 0.006946 0.006946
NK_KRS12 5.046381 2.107468 0.115121 42.894780
HK_FP13 1.711880 3.195013 18.266004 7.507345
EAUS_NAWMctww 0.000000 0.000000 0.000000 0.000000
NK_CW09 9.731202 4.883404 18.867234 39.914615
GPM6_IMF13 6.317395 1.797355 2.783221 NaN
CA_BMZ12 2.336883 1.224671 2.200270 8.546637
NK_GK11 0.021965 0.006500 0.003350 0.230231
US_FM95 12.752560 6.296420 7.167006 7.167006
EA_QR14 2.097362 0.749835 0.137919 3.028901
NK_ET14 77.386394 32.191607 1.236780 0.010429
NK_GK13 0.014839 0.006151 0.002778 0.026037
NK_BGEU10 44.649531 1.459568 96.904006 486.027136
NK_BGUS10 12.898841 1.626958 11.644303 60.805102
RBC_DTT11 8.939180 3.972969 0.000000 9.236175
US_CFOP14 16.527090 10.033147 9.201794 13.957863
US_JPT11 412.770596 376.012382 331.238120 343.659447
US_CPS10 7959.623357 8235.842000 679.786756 680.637585
NK_NS14 0.213125 0.030728 0.198233 2.021986
US_DNGS15 43.357347 33.177272 27.705810 71.509123
US_FMS134 17.864448 12.537112 20.136361 63.009782
US_FGKR15 2.821174 1.008334 4.669918 4.280918
EA_PV15 1.337877 0.597458 0.009323 4.595406
NK_CFP10 2.259158 2.311260 4.264075 58.597037
NK_GM07 1.825386 0.530769 1.231865 19.261526
NK_KW16 12490.433602 1418.447293 1288.808392 14140.442853
NK_MPT10 7928.641453 463.225709 166.731827 314.449453
NK_PP17 2.159000 1.047385 0.812542 3.120551
NK_PSV16 0.000000 0.000000 0.000000 0.000000
NK_RA16 3.668810 1.208202 0.056475 7.153163
NK_ST13 8873.706607 15.491065 113.279903 113.280450
US_AJ16 0.029234 0.007757 0.034350 0.433735
US_CFP17endo 22.153485 18.933509 48.647138 169.837837
US_CFP17exo 27.426847 14.105095 28.352502 142.497064
US_DNGS15SW 10307.498550 9684.055372 8641.361410 9774.877443
US_DNGS15SWpi 46168.027241 45039.723405 42990.807792 44338.265773
US_DNGS15SWSP 30261.911544 27462.219867 22609.648619 22650.060611
US_FV15 45.673994 17.831025 6.234815 95.359889
US_IR15 39.654714 32.257927 189.276824 189.276824
US_LWY13 5.997369 3.088065 2.158275 9.673753
US_RE09 1554.091339 1551.610028 1554.905018 NaN
NK_GLSV07 0.000000 0.000000 0.000000 0.000000

2

Dear Prof. Hawkins,

I responded to you in our email conversation some time ago.
However, I decided to copy that answer in case others have the same concerns.

Some models feature unit roots and therefore do not calculate respective moments (NK_BGG99, US_RE09, EAES_RA09, US_FRB08 among others).

The MMB 2.3 additionally contains models in which variances are zero as the shocks in the mod files are commented out (NK_CGG02, NK_GK09lin, NK_GLSV07, NK_MM10, NK_PSV16, NK_RW06, G2_SIGMA08, EAUS_NAWM08, for instance).

Hope this helps.
Best regards!