2010-03-10 08:40:52 +01:00
|
|
|
var R Pie Y;
|
|
|
|
|
|
|
|
varobs Y Pie R;
|
|
|
|
|
|
|
|
svar_identification;
|
|
|
|
lower_cholesky;
|
|
|
|
end;
|
|
|
|
|
2011-12-16 11:18:24 +01:00
|
|
|
markov_switching(chain=1,number_of_regimes=2,duration=2.5);
|
2010-03-10 08:40:52 +01:00
|
|
|
|
|
|
|
svar(variances, chain=1);
|
|
|
|
|
2011-09-13 17:42:59 +02:00
|
|
|
set_dynare_seed(5);
|
|
|
|
|
2021-03-17 17:41:27 +01:00
|
|
|
ms_estimation(datafile=msdata
|
2011-05-26 11:50:22 +02:00
|
|
|
,freq=4
|
|
|
|
,initial_year=1959
|
|
|
|
,final_year=2005
|
|
|
|
,nlags=4
|
|
|
|
,max_repeated_optimization_runs=1
|
|
|
|
,max_number_of_stages=0
|
|
|
|
);
|
2011-05-11 19:02:39 +02:00
|
|
|
ms_simulation(mh_replic=1000);
|
|
|
|
ms_compute_mdd;
|
|
|
|
ms_compute_probabilities;
|
2011-10-10 18:33:16 +02:00
|
|
|
ms_irf(parameter_uncertainty);
|
2011-05-20 14:29:23 +02:00
|
|
|
ms_forecast;
|
2011-10-19 17:25:46 +02:00
|
|
|
ms_variance_decomposition(no_error_bands);
|