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Added VAR model with ECM component.

time-shift
Stéphane Adjemian (Charybdis) 2018-02-09 15:52:09 +01:00
parent 949387c82b
commit 488913a092
2 changed files with 35 additions and 2 deletions
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5
examples/var/clean
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#!/bin/sh
rm -rf m1 m2
rm -rf m1 m2 m3
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 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

32
examples/var/m3.mod Normal file
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var y x z;
varexo ex ey ez;
parameters a_y_1 a_y_2 b_y_1 b_y_2 b_x_1 b_x_2 c_z_1 c_z_2 c_z_3;
a_y_1 = .2;
a_y_2 = .3;
b_y_1 = .1;
b_y_2 = .4;
b_x_1 = -.1;
b_x_2 = -.2;
c_z_1 = .9;
c_z_2 = .1;
c_z_3 = -.8;
var_model(model_name=toto, eqtags=['eq:x', 'eq:y', 'eq:z']);
model;
[name='eq:y']
y = a_y_1*y(-1) + a_y_2*diff(x(-1)) + b_y_1*y(-2) + b_y_2*diff(x(-2)) + ey ;
[name='eq:x']
diff(x) = b_x_1*y(-2) + b_x_2*diff(x(-1)) + ex ;
[name='eq:z']
diff(z) = c_z_1*(x(-1)-z(-1)) + c_z_2*diff(z(-1)) + c_z_3*diff(z(-2)) + ez ;
end;
get_ar_matrices('toto');