Adapted mod files for new PAC interface.
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@ -3,4 +3,5 @@
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rm -rf example
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rm -f example_dynamic.json example.json example.m example_original.json example_static.json
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rm -f example_dynamic.m example.log example_set_auxiliary_variables.m example_static.m
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rm -f example_dynamic_set_auxiliary_series.m
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rm -f example_results.mat
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@ -22,6 +22,8 @@ c_z_2 = -.3;
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var_model(model_name=toto, eqtags=['eq:x', 'eq:y']);
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pac_model(var_model_name=toto, discount=beta, model_name=pacman);
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model;
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[name='eq:y']
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@ -31,7 +33,7 @@ y = a_y_1*y(-1) + a_y_2*diff(x(-1)) + b_y_1*y(-2) + b_y_2*diff(x(-2)) + ey ;
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diff(x) = b_x_1*y(-2) + b_x_2*diff(x(-1)) + ex ;
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[name='eq:pac']
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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) + ez;
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diff(z) = e_c_m*(x(-1)-z(-1)) + c_z_1*diff(z(-1)) + c_z_2*diff(z(-2)) + pac_expectation(pacman) + ez;
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end;
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@ -0,0 +1,7 @@
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#!/bin/sh
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rm -rf example
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rm -f example_dynamic.json example.json example.m example_original.json example_static.json
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rm -f example_dynamic.m example.log example_set_auxiliary_variables.m example_static.m
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rm -f example_dynamic_set_auxiliary_series.m
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rm -f example_results.mat
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@ -1,6 +1,6 @@
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// --+ options: json=compute +--
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var y x z;
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var y x z ;
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varexo ex ey ez;
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@ -24,6 +24,8 @@ gamma = .7;
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var_model(model_name=toto, eqtags=['eq:x', 'eq:y']);
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pac_model(var_model_name=toto, discount=beta, model_name=pacman);
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model;
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[name='eq:y']
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@ -33,8 +35,25 @@ y = a_y_1*y(-1) + a_y_2*diff(x(-1)) + b_y_1*y(-2) + b_y_2*diff(x(-2)) + ey ;
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diff(x) = b_x_1*y(-2) + b_x_2*diff(x(-1)) + ex ;
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[name='eq:pac']
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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;
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diff(z) = gamma*(e_c_m*(x(-1)-z(-1)) + c_z_1*diff(z(-1)) + c_z_2*diff(z(-2)) + pac_expectation(pacman)) + (1-gamma)*ez;
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end;
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shocks;
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var ey = 1.0;
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var ex = 1.0;
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var ez = 1.0;
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end;
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// Build the companion matrix of the VAR model (toto).
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get_companion_matrix('toto');
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// Update the parameters of the PAC expectation model (h0 and h1 vectors).
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pac.update.equation('pacman');
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// Set initial conditions to zero. Please use more sensible values if any...
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initialconditions = dseries(zeros(10, M_.endo_nbr+M_.exo_nbr), 2000Q1, vertcat(M_.endo_names,M_.exo_names));
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// Simulate the model for 500 periods
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TrueData = simul_backward_model(initialconditions, 500);
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@ -0,0 +1,7 @@
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#!/bin/sh
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rm -rf example
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rm -f example_dynamic.json example.json example.m example_original.json example_static.json
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rm -f example_dynamic.m example.log example_set_auxiliary_variables.m example_static.m
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rm -f example_dynamic_set_auxiliary_series.m
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rm -f example_results.mat
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@ -2,9 +2,9 @@
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var y x z;
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varexo ex ey ez g;
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varexo ex ey ez ;
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parameters a_y_1 a_y_2 b_y_1 b_y_2 b_x_1 b_x_2 ; // VAR parameters
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parameters a_y_1 a_y_2 b_y_1 b_y_2 b_x_1 b_x_2 g; // VAR parameters
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parameters beta e_c_m c_z_1 c_z_2; // PAC equation parameters
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@ -20,8 +20,12 @@ e_c_m = .1;
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c_z_1 = .7;
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c_z_2 = -.3;
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g = .02;
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var_model(model_name=toto, eqtags=['eq:x', 'eq:y']);
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model;
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[name='eq:y']
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