61 lines
930 B
Modula-2
61 lines
930 B
Modula-2
var x y z;
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varexo u v;
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parameters a d e f g;
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a = 0.98;
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g = 0.25;
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d = 0.80;
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e = 0.90;
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f = 0.50;
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model;
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z = a*z(-1) + u + g*u(-1);
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y = d*y(1) + z;
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x = e*x(-1) + f*y + v;
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end;
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steady;
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check;
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shocks;
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var u = 0.01;
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var v = 0.01;
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end;
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stoch_simul(order=1,irf=0,periods=10000);
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save('mydata.mat','x','y','z');
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estimated_params;
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e, beta_pdf, 0.90, 0.05;
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d, beta_pdf, 0.80, 0.05;
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g, beta_pdf, 0.25, 0.05;
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end;
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varobs x, y;
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//estimation(datafile=mydata,order=1,first_obs=5001,nobs=100,mh_replic=0);
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options_.particle.status = 1;
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options_.particle.initialization = 1;
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options_.particle.number_of_particles = 1000;
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options_.mode_check_neighbourhood_size = 0.05;
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set_dynare_threads('local_state_space_iteration2',2);
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estimated_params_init;
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e, 0.9009;
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d, 0.7912;
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g, 0.2448;
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end;
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estimation(datafile=mydata,order=2,first_obs=5001,nobs=100,mh_replic=0,mode_compute=8,silent_optimizer,filter_algorithm=sis);
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