86 lines
1.8 KiB
Modula-2
86 lines
1.8 KiB
Modula-2
|
// See fs2000.mod in the examples/ directory for details on the model
|
||
|
|
// This version estimates the model in level rather than in growth rates
|
||
|
|
|
||
|
|
var m P c e W R k d n l gy_obs gp_obs Y_obs P_obs y dA;
|
||
|
|
varexo e_a e_m;
|
||
|
|
|
||
|
|
parameters alp bet gam mst rho psi del;
|
||
|
|
|
||
|
|
alp = 0.33;
|
||
|
|
bet = 0.99;
|
||
|
|
gam = 0.003;
|
||
|
|
mst = 1.011;
|
||
|
|
rho = 0.7;
|
||
|
|
psi = 0.787;
|
||
|
|
del = 0.02;
|
||
|
|
|
||
|
|
model;
|
||
|
|
dA = exp(gam+e_a);
|
||
|
|
log(m) = (1-rho)*log(mst) + rho*log(m(-1))+e_m;
|
||
|
|
-P/(c(+1)*P(+1)*m)+bet*P(+1)*(alp*exp(-alp*(gam+log(e(+1))))*k^(alp-1)*n(+1)^(1-alp)+(1-del)*exp(-(gam+log(e(+1)))))/(c(+2)*P(+2)*m(+1))=0;
|
||
|
|
W = l/n;
|
||
|
|
-(psi/(1-psi))*(c*P/(1-n))+l/n = 0;
|
||
|
|
R = P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(-alp)/W;
|
||
|
|
1/(c*P)-bet*P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)/(m*l*c(+1)*P(+1)) = 0;
|
||
|
|
c+k = exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)+(1-del)*exp(-(gam+e_a))*k(-1);
|
||
|
|
P*c = m;
|
||
|
|
m-1+d = l;
|
||
|
|
e = exp(e_a);
|
||
|
|
y = k(-1)^alp*n^(1-alp)*exp(-alp*(gam+e_a));
|
||
|
|
gy_obs = dA*y/y(-1);
|
||
|
|
gp_obs = (P/P(-1))*m(-1)/dA;
|
||
|
|
Y_obs/Y_obs(-1) = gy_obs;
|
||
|
|
P_obs/P_obs(-1) = gp_obs;
|
||
|
|
end;
|
||
|
|
|
||
|
|
initval;
|
||
|
|
k = 6;
|
||
|
|
m = mst;
|
||
|
|
P = 2.25;
|
||
|
|
c = 0.45;
|
||
|
|
e = 1;
|
||
|
|
W = 4;
|
||
|
|
R = 1.02;
|
||
|
|
d = 0.85;
|
||
|
|
n = 0.19;
|
||
|
|
l = 0.86;
|
||
|
|
y = 0.6;
|
||
|
|
gy_obs = exp(gam);
|
||
|
|
gp_obs = exp(-gam);
|
||
|
|
dA = exp(gam);
|
||
|
|
end;
|
||
|
|
|
||
|
|
shocks;
|
||
|
|
var e_a; stderr 0.014;
|
||
|
|
var e_m; stderr 0.005;
|
||
|
|
end;
|
||
|
|
|
||
|
|
unit_root_vars P_obs Y_obs;
|
||
|
|
|
||
|
|
steady;
|
||
|
|
|
||
|
|
check;
|
||
|
|
|
||
|
|
estimated_params;
|
||
|
|
alp, beta_pdf, 0.356, 0.02;
|
||
|
|
bet, beta_pdf, 0.993, 0.002;
|
||
|
|
gam, normal_pdf, 0.0085, 0.003;
|
||
|
|
mst, normal_pdf, 1.0002, 0.007;
|
||
|
|
rho, beta_pdf, 0.129, 0.223;
|
||
|
|
psi, beta_pdf, 0.65, 0.05;
|
||
|
|
del, beta_pdf, 0.01, 0.005;
|
||
|
|
stderr e_a, inv_gamma_pdf, 0.035449, inf;
|
||
|
|
stderr e_m, inv_gamma_pdf, 0.008862, inf;
|
||
|
|
end;
|
||
|
|
|
||
|
|
varobs P_obs Y_obs;
|
||
|
|
|
||
|
|
observation_trends;
|
||
|
|
P_obs (log(mst)-gam);
|
||
|
|
Y_obs (gam);
|
||
|
|
end;
|
||
|
|
|
||
|
|
estimation(order=1,datafile=fsdat_simul,nobs=192,loglinear,mh_replic=0,
|
||
|
|
mode_compute=0,mh_nblocks=2,mh_drop=0.45,mh_jscale=0.65,diffuse_filter,smoother) P_obs gp_obs gy_obs;
|
||
|
|
|