74 lines
1.1 KiB
Modula-2
74 lines
1.1 KiB
Modula-2
var x
|
|
y
|
|
z;
|
|
|
|
varexo u
|
|
v;
|
|
|
|
parameters a1 a2 a3 a4
|
|
b1 b2 b3
|
|
c1;
|
|
|
|
a1 = .50;
|
|
a2 = .00;
|
|
a3 = .70;
|
|
a4 = .40;
|
|
b1 = .90;
|
|
b2 = .00;
|
|
b3 = .80;
|
|
c1 = .95;
|
|
|
|
|
|
model;
|
|
y = a1*x(-1) + a2*x(1) + a3*z + a4*y(-1);
|
|
z = b1*z(-1) + b2*z(1) + b3*x + u;
|
|
x = c1*x(-1) + v;
|
|
end;
|
|
|
|
shocks;
|
|
var u; stderr .05;
|
|
var v; stderr .05;
|
|
end;
|
|
|
|
steady;
|
|
|
|
check;
|
|
|
|
stoch_simul(irf=0, periods=10000);
|
|
|
|
datatomfile('linear_model_data');
|
|
|
|
|
|
estimated_params;
|
|
a1, .50;
|
|
a2, .00;
|
|
a3, .70;
|
|
a4, .40;
|
|
b1, .90;
|
|
b2, .00;
|
|
b3, .80;
|
|
c1, .95;
|
|
stderr u, .05;
|
|
stderr v, .05;
|
|
end;
|
|
|
|
varobs y, z;
|
|
|
|
|
|
options_.particle.status = 1;
|
|
options_.particle.initialization = 1;
|
|
options_.particle.pruning = false;
|
|
options_.particle.number_of_particles = 20000;
|
|
options_.particle.resampling.status = 'systematic';
|
|
options_.particle.resampling.neff_threshold = .1;
|
|
|
|
options_.gstep(1) = 1e-4;
|
|
options_.gstep(2) = .1;
|
|
|
|
options_.mode_check_neighbourhood_size = 0.05;
|
|
|
|
set_dynare_threads('local_state_space_iteration_2',3);
|
|
|
|
|
|
estimation(order=2,nobs=100,datafile=linear_model_data,mh_replic=0,filter_algorithm=sis);
|