58 lines
930 B
Modula-2
58 lines
930 B
Modula-2
// Test for varexo_det and forecast command at order 1
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var y, c, k, a, h, b;
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varexo e,u;
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varexo_det ahat, bhat;
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parameters beta, rho, rho2, alpha, delta, theta, psi, tau;
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alpha = 0.36;
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rho = 0.95;
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tau = 0.025;
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beta = 0.99;
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delta = 0.025;
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psi = 0;
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theta = 2.95;
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rho2 = -0.1;
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phi = 0.1;
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model;
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c*theta*h^(1+psi)=(1-alpha)*y;
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k = beta*(((exp(b)*c)/(exp(b(+1))*c(+1)))
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*(exp(b(+1))*alpha*y(+1)+(1-delta)*k));
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y = exp(a)*(k(-1)^alpha)*(h^(1-alpha));
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k = exp(b)*(y-c)+(1-delta)*k(-1);
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a = ahat + rho*a(-1) + rho2*a(-2) + tau*b(-1) + e;
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b = bhat + tau*a(-1) + rho*b(-1) + u;
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end;
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initval;
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y = 1.08068253095672;
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c = 0.80359242014163;
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h = 0.29175631001732;
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k = 5;
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a = 0;
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b = 0;
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e = 0;
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u = 0;
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ahat = 0;
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bhat = 0;
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end;
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shocks;
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var e; stderr 0.009;
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var u; stderr 0.009;
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var e, u = phi*0.009*0.009;
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var ahat;
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periods 1;
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values 0.1;
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var bhat;
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periods 2;
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values 0.2;
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end;
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stoch_simul(irf=0,noprint);
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forecast(periods=20);
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