2009-12-16 18:25:06 +01:00
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var w x y z dw dx dy;
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varexo e_w e_x e_y e_z;
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parameters rho_w rho_x rho_y rho_z a1 a2 a3 b c;
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rho_w = 0.5;
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rho_x = 0.5;
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rho_y = 0.5;
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rho_z = 0.8;
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a1 = 0.1;
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a2 = -0.1;
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a3 = 0.1;
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b = 1;
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c = 1;
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model(linear);
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dw = rho_w*dw(-1)+a1*(x(-1)-b*y(-1)-c*w(-1))+e_w;
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dx = rho_x*dx(-1)+a2*(x(-1)-b*y(-1)-c*w(-1))+e_x;
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dy = rho_y*dy(-1)+a3*(x(-1)-b*y(-1))+e_y;
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z = rho_z*z(-1)+dw-dx+e_z;
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w = w(-1)+dw;
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x = x(-1)+dx;
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y = y(-1)+dy;
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end;
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shocks;
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var e_w; stderr 0.05;
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var e_x; stderr 0.05;
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var e_y; stderr 0.05;
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var e_z; stderr 0.05;
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end;
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2011-03-25 21:32:45 +01:00
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stoch_simul(periods=2000,irf=0);
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2009-12-16 18:25:06 +01:00
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plot([w x y z]);
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2011-11-04 09:11:25 +01:00
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save data.mat w x y z dw dx dy;
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