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Added more PAC model examples.

time-shift
Stéphane Adjemian (Charybdis) 2018-02-15 15:34:57 +01:00
parent b1368c4e85
commit 9f02392ee6
2 changed files with 78 additions and 0 deletions
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// --+ options: json=compute +--
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 gamma; // VAR parameters
parameters beta e_c_m c_z_1 c_z_2; // PAC equation parameters
a_y_1 = .2;
a_y_2 = .3;
b_y_1 = .1;
b_y_2 = .4;
b_x_1 = -.1;
b_x_2 = -.2;
beta = .9;
e_c_m = .1;
c_z_1 = .7;
c_z_2 = -.3;
gamma = .7;
var_model(model_name=toto, eqtags=['eq:x', 'eq:y']);
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', data_type='nonstationary']
diff(x) = b_x_1*y(-2) + b_x_2*diff(x(-1)) + ex ;
[name='eq:pac']
diff(z) = gamma*(e_c_m*(x(-1)-z(-1)) + c_z_1*diff(z(-1)) + c_z_2*diff(z(-2)) + pac_expectation(model_name=pacman, var_model_name=toto, discount=beta)) + (1-gamma)*ez;
end;
get_companion_matrix('toto');

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// --+ options: json=compute +--
var y x z;
varexo ex ey ez g;
parameters a_y_1 a_y_2 b_y_1 b_y_2 b_x_1 b_x_2 ; // VAR parameters
parameters beta e_c_m c_z_1 c_z_2; // PAC equation parameters
a_y_1 = .2;
a_y_2 = .3;
b_y_1 = .1;
b_y_2 = .4;
b_x_1 = -.1;
b_x_2 = -.2;
beta = .9;
e_c_m = .1;
c_z_1 = .7;
c_z_2 = -.3;
var_model(model_name=toto, eqtags=['eq:x', 'eq:y']);
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', data_type='nonstationary']
diff(x) = b_x_1*y(-2) + b_x_2*diff(x(-1)) + ex ;
[name='eq:pac']
diff(z) = e_c_m*(x(-1)-z(-1)) + c_z_1*diff(z(-1)) + c_z_2*diff(z(-2)) + pac_expectation(model_name=pacman, var_model_name=toto, discount=beta, growth=g) + ez;
end;
get_companion_matrix('toto');