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Added VAR model.

time-shift
Stéphane Adjemian (Charybdis) 2018-02-09 18:53:28 +01:00
parent 51a4cb151d
commit 3947680932
2 changed files with 31 additions and 1 deletions
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3
examples/var/clean
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#!/bin/sh
rm -rf m1 m2 m3
rm -rf m1 m2 m3 m4
rm -f m1_dynamic.m m1.log m1.m m1_results.mat m1_set_auxiliary_variables.m m1_static.m
rm -f m2_dynamic.m m2.log m2.m m2_results.mat m2_set_auxiliary_variables.m m2_static.m
rm -f m3_dynamic.m m3.log m3.m m3_results.mat m3_set_auxiliary_variables.m m3_static.m
rm -f m4_dynamic.m m4.log m4.m m4_results.mat m4_set_auxiliary_variables.m m4_static.m

29
examples/var/m4.mod Normal file
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var y x z;
varexo ex ey ez;
parameters a_x_0 a_x_1 a_x_2 b_z_0 b_z_1 b_z_2;
a_x_0 = .2;
a_x_1 = .9;
a_x_2 = -.2;
b_z_0 = .3;
b_z_1 = .7;
b_z_2 = -.4;
var_model(model_name=toto, eqtags=['eq:x', 'eq:z', 'eq:y']);
model;
[name='eq:y']
y = y(-1) + ey ;
[name='eq:x']
diff(x) = -a_x_0*(x(-1)-y(-1)) + a_x_1*diff(x(-1)) + a_x_2*diff(x(-2)) + ex ;
[name='eq:z']
diff(z) = -b_z_0*(z(-1)-x(-1)) + b_z_1*diff(z(-1)) + b_z_2*diff(z(-2)) + ez ;
end;
get_ar_matrices('toto');