66 lines
1.7 KiB
Modula-2
66 lines
1.7 KiB
Modula-2
var y y_s R pie dq pie_s de A y_obs pie_obs R_obs;
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varexo e_R e_q e_ys e_pies e_A;
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parameters psi1 psi2 psi3 rho_R tau alpha rr k rho_q rho_A rho_ys rho_pies;
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psi1 = 1.54;
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psi2 = 0.25;
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psi3 = 0.25;
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rho_R = 0.5;
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alpha = 0.3;
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rr = 2.51;
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k = 0.5;
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tau = 0.5;
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rho_q = 0.4;
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rho_A = 0.2;
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rho_ys = 0.9;
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rho_pies = 0.7;
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model(linear);
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y = y(+1) - (tau +alpha*(2-alpha)*(1-tau))*(R-pie(+1))-alpha*(tau +alpha*(2-alpha)*(1-tau))*dq(+1) + alpha*(2-alpha)*((1-tau)/tau)*(y_s-y_s(+1))-A(+1);
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pie = exp(-rr/400)*pie(+1)+alpha*exp(-rr/400)*dq(+1)-alpha*dq+(k/(tau+alpha*(2-alpha)*(1-tau)))*y+alpha*(2-alpha)*(1-tau)/(tau*(tau+alpha*(2-alpha)*(1-tau)))*y_s;
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pie = de+(1-alpha)*dq+pie_s;
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R = rho_R*R(-1)+(1-rho_R)*(psi1*pie+psi2*(y+alpha*(2-alpha)*((1-tau)/tau)*y_s)+psi3*de)+e_R;
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dq = rho_q*dq(-1)+e_q;
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y_s = rho_ys*y_s(-1)+e_ys;
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pie_s = rho_pies*pie_s(-1)+e_pies;
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A = rho_A*A(-1)+e_A;
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y_obs = y-y(-1)+A;
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pie_obs = 4*pie;
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R_obs = 4*R;
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end;
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shocks;
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var e_R = 1.25^2;
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var e_q = 2.5^2;
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var e_A = 1.89;
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var e_ys = 1.89;
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var e_pies = 1.89;
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end;
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varobs y_obs R_obs pie_obs dq de;
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estimated_params;
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psi1 , gamma_pdf,1.5,0.5;
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psi2 , gamma_pdf,0.25,0.125;
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psi3 , gamma_pdf,0.25,0.125;
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rho_R ,beta_pdf,0.5,0.2;
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alpha ,beta_pdf,0.3,0.1;
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rr ,gamma_pdf,2.5,1;
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k , gamma_pdf,0.5,0.25;
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tau ,gamma_pdf,0.5,0.2;
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rho_q ,beta_pdf,0.4,0.2;
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rho_A ,beta_pdf,0.5,0.2;
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rho_ys ,beta_pdf,0.8,0.1;
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rho_pies,beta_pdf,0.7,0.15;
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stderr e_R,inv_gamma_pdf,1.2533,0.6551;
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stderr e_q,inv_gamma_pdf,2.5066,1.3103;
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stderr e_A,inv_gamma_pdf,1.2533,0.6551;
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stderr e_ys,inv_gamma_pdf,1.2533,0.6551;
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stderr e_pies,inv_gamma_pdf,1.88,0.9827;
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end;
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estimation(datafile=data_ca1,silent_optimizer,first_obs=8,nobs=[76 79],mh_nblocks=1,prefilter=1,mh_jscale=0.5,mh_replic=2000,forecast=8) y_obs R_obs pie_obs dq de;
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