2017-07-24 10:53:14 +02:00
|
|
|
var y yp z mu;
|
|
|
|
|
|
|
|
varexo ez eyp emu;
|
|
|
|
|
|
|
|
parameters alpha;
|
|
|
|
|
|
|
|
alpha = .889;
|
|
|
|
|
|
|
|
model(linear);
|
|
|
|
y = yp + z;
|
|
|
|
yp = mu + yp(-1) + eyp;
|
|
|
|
mu = mu(-1) + emu;
|
|
|
|
z = alpha*z(-1) + ez;
|
|
|
|
end;
|
|
|
|
|
|
|
|
initval;
|
|
|
|
y=8.655680;
|
|
|
|
z=0;
|
|
|
|
yp=8.655680;
|
|
|
|
mu=0;
|
|
|
|
end;
|
|
|
|
|
|
|
|
steady(nocheck);
|
|
|
|
|
|
|
|
estimated_params;
|
|
|
|
stderr emu , inv_gamma_pdf, 0.002 , inf;
|
|
|
|
stderr eyp , inv_gamma_pdf, 0.002 , inf;
|
|
|
|
stderr ez , inv_gamma_pdf, 0.06 , inf;
|
|
|
|
alpha, normal_pdf, 0.9, 0.1;
|
|
|
|
end;
|
|
|
|
|
|
|
|
varobs y;
|
|
|
|
|
2017-07-24 10:55:49 +02:00
|
|
|
estimation(datafile=trend_cycle_decomposition_data,nobs=82, mh_replic=2000, mode_compute=4, mh_nblocks=1, mh_jscale=0.3, filtered_vars, smoother, diffuse_filter) yp z;
|