61 lines
965 B
Modula-2
61 lines
965 B
Modula-2
var x y;
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varexo u v;
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parameters c, r;
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c = .500;
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r = .975;
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model;
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y = x + u;
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x = r*x(-1) + 0.0000001*x(1) + v;
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end;
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shocks;
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var u; stderr sqrt(0.02);
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var v; stderr sqrt(0.02);
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end;
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steady;
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check;
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stoch_simul(irf=0, periods=10000);
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datatomfile('noisy_ar1_data');
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estimated_params;
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c, .500;
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r, .975;
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stderr u, sqrt(.2);
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stderr v, sqrt(.02);
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end;
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varobs y;
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particle = 1;
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if particle;
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options_.particle.status = 1;
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options_.particle.initialization = 1;
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options_.particle.pruning = false;
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options_.particle.number_of_particles = 20000;
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options_.particle.resampling.status = 'systematic';
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options_.particle.resampling.neff_threshold = .1;
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options_.gstep(1) = 1e-4;
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options_.gstep(2) = .1;
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options_.mode_check_neighbourhood_size = 0.05;
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set_dynare_threads('local_state_space_iteration_2',3);
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estimation(order=2,nobs=100,datafile=linear_model_data,mh_replic=0,filter_algorithm=sis);
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else;
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estimation(nobs=100,datafile=noisy_ar1_data,mh_replic=0);
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end;
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