41 lines
743 B
Modula-2
41 lines
743 B
Modula-2
var y pie r;
|
|
varexo e_y e_pie;
|
|
|
|
parameters delta sigma alpha kappa gamma1 gamma2;
|
|
|
|
delta = 0.44;
|
|
kappa = 0.18;
|
|
alpha = 0.48;
|
|
sigma = -0.06;
|
|
|
|
gamma1 = 1.5;
|
|
gamma2 = 0.5;
|
|
|
|
model(use_dll);
|
|
y = delta * y(-1) + (1-delta)*y(+1)+sigma *(r - pie(+1)) + e_y;
|
|
pie = alpha * pie(-1) + (1-alpha) * pie(+1) + kappa*y + e_pie;
|
|
r = gamma1*pie+gamma2*y;
|
|
end;
|
|
|
|
shocks;
|
|
var e_y;
|
|
stderr 0.63;
|
|
var e_pie;
|
|
stderr 0.4;
|
|
end;
|
|
|
|
steady;
|
|
|
|
stoch_simul(order=1,periods=200, irf=0, nomoments);
|
|
|
|
oo = oo_;
|
|
|
|
options_.simul.maxit = 100;
|
|
options_.ep.order = 0;
|
|
|
|
ts = extended_path([], 200, oo_.exo_simul, options_, M_, oo_);
|
|
|
|
if max(max(abs(transpose(ts.data(2:end,:))-oo.endo_simul))) > 1e-6
|
|
error('extended path algorithm fails in ./tests/ep/linearmodel.mod')
|
|
end
|