31 lines
513 B
Modula-2
31 lines
513 B
Modula-2
var dx dy;
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varexo e_x e_y;
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parameters rho_x rho_y;
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rho_x = 0.5;
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rho_y = -0.3;
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model;
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dx = rho_x*dx(-1)+e_x;
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dy = rho_y*dy(-1)+e_y;
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end;
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estimated_params;
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rho_x,NORMAL_PDF,0.5,0.1;
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rho_y,NORMAL_PDF,-0.3,0.1;
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stderr e_x,INV_GAMMA_PDF,0.01,inf;
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stderr e_y,INV_GAMMA_PDF,0.01,inf;
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end;
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varobs dx dy;
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check;
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estimation(datafile = bvar_sample, mh_replic = 1200, mh_jscale = 1.3,
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first_obs = 20);
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bvar_density(bvar_prior_train = 10) 8;
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bvar_forecast(forecast = 10, bvar_replic = 2000, nobs = 200) 8;
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