commit
a21aa064c9
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@ -144,7 +144,7 @@ else
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end
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end
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% Set priors over the estimated parameters.
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% Set priors over the estimated parameters.
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if ~isempty(estim_params_)
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if ~isempty(estim_params_) && ~(isfield(estim_params_,'nvx') && sum(estim_params_.nvx+estim_params_.nvn+estim_params_.ncx+estim_params_.ncn+estim_params_.np)==0)
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[xparam1,estim_params_,bayestopt_,lb,ub,M_] = set_prior(estim_params_,M_,options_);
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[xparam1,estim_params_,bayestopt_,lb,ub,M_] = set_prior(estim_params_,M_,options_);
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end
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end
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@ -158,7 +158,7 @@ if exist([M_.fname '_prior_restrictions.m'])
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end
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end
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% Check that the provided mode_file is compatible with the current estimation settings.
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% Check that the provided mode_file is compatible with the current estimation settings.
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if ~isempty(estim_params_) && ~isempty(options_.mode_file) && ~options_.mh_posterior_mode_estimation
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if ~isempty(estim_params_) && ~(isfield(estim_params_,'nvx') && sum(estim_params_.nvx+estim_params_.nvn+estim_params_.ncx+estim_params_.ncn+estim_params_.np)==0) && ~isempty(options_.mode_file) && ~options_.mh_posterior_mode_estimation
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number_of_estimated_parameters = length(xparam1);
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number_of_estimated_parameters = length(xparam1);
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mode_file = load(options_.mode_file);
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mode_file = load(options_.mode_file);
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if number_of_estimated_parameters>length(mode_file.xparam1)
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if number_of_estimated_parameters>length(mode_file.xparam1)
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@ -289,7 +289,7 @@ if ~isempty(estim_params_) && ~isempty(options_.mode_file) && ~options_.mh_poste
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end
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end
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%check for calibrated covariances before updating parameters
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%check for calibrated covariances before updating parameters
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if ~isempty(estim_params_)
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if ~isempty(estim_params_) && ~(isfield(estim_params_,'nvx') && sum(estim_params_.nvx+estim_params_.nvn+estim_params_.ncx+estim_params_.ncn+estim_params_.np)==0)
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estim_params_=check_for_calibrated_covariances(xparam1,estim_params_,M_);
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estim_params_=check_for_calibrated_covariances(xparam1,estim_params_,M_);
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end
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end
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@ -308,7 +308,7 @@ if options_.use_calibration_initialization %set calibration as starting values
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end
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end
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end
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end
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if ~isempty(estim_params_) && ~all(strcmp(fieldnames(estim_params_),'full_calibration_detected'))
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if ~isempty(estim_params_) && ~(all(strcmp(fieldnames(estim_params_),'full_calibration_detected')) || (isfield(estim_params_,'nvx') && sum(estim_params_.nvx+estim_params_.nvn+estim_params_.ncx+estim_params_.ncn+estim_params_.np)==0))
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if ~isempty(bayestopt_) && any(bayestopt_.pshape > 0)
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if ~isempty(bayestopt_) && any(bayestopt_.pshape > 0)
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% Plot prior densities.
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% Plot prior densities.
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if ~options_.nograph && options_.plot_priors
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if ~options_.nograph && options_.plot_priors
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@ -339,7 +339,7 @@ if ~isempty(estim_params_) && ~all(strcmp(fieldnames(estim_params_),'full_calibr
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end
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end
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end
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end
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if isempty(estim_params_) || all(strcmp(fieldnames(estim_params_),'full_calibration_detected'))% If estim_params_ is empty (e.g. when running the smoother on a calibrated model)
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if isempty(estim_params_) || all(strcmp(fieldnames(estim_params_),'full_calibration_detected')) || (isfield(estim_params_,'nvx') && sum(estim_params_.nvx+estim_params_.nvn+estim_params_.ncx+estim_params_.ncn+estim_params_.np)==0) % If estim_params_ is empty (e.g. when running the smoother on a calibrated model)
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if ~options_.smoother
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if ~options_.smoother
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error('Estimation: the ''estimated_params'' block is mandatory (unless you are running a smoother)')
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error('Estimation: the ''estimated_params'' block is mandatory (unless you are running a smoother)')
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end
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end
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@ -112,6 +112,7 @@ llik = zeros(smpl,pp);
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newRank = rank(Pinf,diffuse_kalman_tol);
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newRank = rank(Pinf,diffuse_kalman_tol);
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l2pi = log(2*pi);
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l2pi = log(2*pi);
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s=0;
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while newRank && (t<=last)
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while newRank && (t<=last)
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s = t-start+1;
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s = t-start+1;
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@ -192,6 +192,7 @@ MODFILES = \
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kalman_filter_smoother/fs2000_2.mod \
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kalman_filter_smoother/fs2000_2.mod \
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kalman_filter_smoother/fs2000a.mod \
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kalman_filter_smoother/fs2000a.mod \
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kalman_filter_smoother/fs2000_smoother_only.mod \
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kalman_filter_smoother/fs2000_smoother_only.mod \
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kalman_filter_smoother/fs2000_smoother_only_ns.mod \
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kalman_filter_smoother/check_variable_dimensions/fs2000.mod \
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kalman_filter_smoother/check_variable_dimensions/fs2000.mod \
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kalman_filter_smoother/check_variable_dimensions/fs2000_ML.mod \
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kalman_filter_smoother/check_variable_dimensions/fs2000_ML.mod \
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kalman/likelihood_from_dynare/fs2000_corr_ME.mod \
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kalman/likelihood_from_dynare/fs2000_corr_ME.mod \
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@ -101,7 +101,10 @@ check;
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varobs gp_obs gy_obs;
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varobs gp_obs gy_obs;
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estimation(order=1, datafile=fsdat_simul, mode_compute=0,nobs=192, loglinear, smoother) m P c e W R k d n l gy_obs gp_obs y dA;
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estimation(order=1, datafile=fsdat_simul, mode_compute=0,nobs=192, loglinear, smoother) m P c e W R k d n l gy_obs gp_obs y dA;
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estimation(order=1, datafile=fsdat_simul, mode_compute=0,nobs=192, loglinear, smoother,kalman_algo=1) m P c e W R k d n l gy_obs gp_obs y dA;
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estimation(order=1, datafile=fsdat_simul, mode_compute=0,nobs=192, loglinear, smoother,kalman_algo=2) m P c e W R k d n l gy_obs gp_obs y dA;
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estimation(order=1, datafile=fsdat_simul, mode_compute=0,nobs=192, loglinear, smoother,kalman_algo=3) m P c e W R k d n l gy_obs gp_obs y dA;
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estimation(order=1, datafile=fsdat_simul, mode_compute=0,nobs=192, loglinear, smoother,kalman_algo=4) m P c e W R k d n l gy_obs gp_obs y dA;
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/*
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/*
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* The following lines were used to generate the data file. If you want to
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* The following lines were used to generate the data file. If you want to
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@ -0,0 +1,121 @@
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/*
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* This file replicates the estimation of the cash in advance model described
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* Frank Schorfheide (2000): "Loss function-based evaluation of DSGE models",
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* Journal of Applied Econometrics, 15(6), 645-670.
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*
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* The data are in file "fsdat_simul.m", and have been artificially generated.
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* They are therefore different from the original dataset used by Schorfheide.
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*
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* The equations are taken from J. Nason and T. Cogley (1994): "Testing the
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* implications of long-run neutrality for monetary business cycle models",
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* Journal of Applied Econometrics, 9, S37-S70.
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* Note that there is an initial minus sign missing in equation (A1), p. S63.
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*
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* This implementation was written by Michel Juillard. Please note that the
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* following copyright notice only applies to this Dynare implementation of the
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* model.
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*/
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/*
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* Copyright (C) 2004-2010 Dynare Team
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*
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* This file is part of Dynare.
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*
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* Dynare is free software: you can redistribute it and/or modify
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* it under the terms of the GNU General Public License as published by
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* the Free Software Foundation, either version 3 of the License, or
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* (at your option) any later version.
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*
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* Dynare is distributed in the hope that it will be useful,
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* but WITHOUT ANY WARRANTY; without even the implied warranty of
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* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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* GNU General Public License for more details.
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*
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* You should have received a copy of the GNU General Public License
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* along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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*/
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var m P c e W R k d n l gy_obs gp_obs Y_obs P_obs y dA;
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varexo e_a e_m;
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parameters alp bet gam mst rho psi del;
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alp = 0.33;
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bet = 0.99;
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gam = 0.003;
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mst = 1.011;
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rho = 0.7;
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psi = 0.787;
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del = 0.02;
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model;
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dA = exp(gam+e_a);
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log(m) = (1-rho)*log(mst) + rho*log(m(-1))+e_m;
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-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;
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W = l/n;
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-(psi/(1-psi))*(c*P/(1-n))+l/n = 0;
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R = P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(-alp)/W;
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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;
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c+k = exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)+(1-del)*exp(-(gam+e_a))*k(-1);
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P*c = m;
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m-1+d = l;
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e = exp(e_a);
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y = k(-1)^alp*n^(1-alp)*exp(-alp*(gam+e_a));
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gy_obs = dA*y/y(-1);
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gp_obs = (P/P(-1))*m(-1)/dA;
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Y_obs/Y_obs(-1) = gy_obs;
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P_obs/P_obs(-1) = gp_obs;
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end;
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steady_state_model;
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dA = exp(gam);
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gst = 1/dA;
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m = mst;
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khst = ( (1-gst*bet*(1-del)) / (alp*gst^alp*bet) )^(1/(alp-1));
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xist = ( ((khst*gst)^alp - (1-gst*(1-del))*khst)/mst )^(-1);
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nust = psi*mst^2/( (1-alp)*(1-psi)*bet*gst^alp*khst^alp );
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n = xist/(nust+xist);
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P = xist + nust;
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k = khst*n;
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l = psi*mst*n/( (1-psi)*(1-n) );
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c = mst/P;
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d = l - mst + 1;
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y = k^alp*n^(1-alp)*gst^alp;
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R = mst/bet;
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W = l/n;
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ist = y-c;
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q = 1 - d;
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e = 1;
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gp_obs = m/dA;
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gy_obs = dA;
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Y_obs = gy_obs;
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P_obs = gp_obs;
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end;
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shocks;
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var e_a; stderr 0.014;
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var e_m; stderr 0.005;
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end;
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varobs P_obs Y_obs;
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observation_trends;
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P_obs (log(mst)-gam);
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Y_obs (gam);
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end;
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estimation(order=1, datafile=fsdat_simul, mode_compute=0,nobs=192, loglinear,diffuse_filter, smoother) m P c e W R k d n l gy_obs gp_obs y dA;
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estimation(order=1, datafile=fsdat_simul, mode_compute=0,nobs=192, loglinear,diffuse_filter, smoother,kalman_algo=3) m P c e W R k d n l gy_obs gp_obs y dA;
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estimation(order=1, datafile=fsdat_simul, mode_compute=0,nobs=192, loglinear,diffuse_filter, smoother,kalman_algo=4) m P c e W R k d n l gy_obs gp_obs y dA;
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/*
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|
* The following lines were used to generate the data file. If you want to
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* generate another random data file, comment the "estimation" line and uncomment
|
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* the following lines.
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*/
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//stoch_simul(periods=200, order=1);
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//datatomfile('fsdat_simul', char('gy_obs', 'gp_obs'));
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Loading…
Reference in New Issue