29 lines
1.1 KiB
PHP
29 lines
1.1 KiB
PHP
/* A simple purely backward model, used for testing both “simul_backward” and
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perfect foresight simulations, consisting of:
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- a VAR(3) with one variable in level, one in log and one log-differentiated;
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- two other variables that depend on the contemporaneous values of the VAR(3),
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and which together for a simultaneous block.
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Those five equations are repeated an arbitrary number of times (n). */
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@#define n = 10
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@#for i in 1:n
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var x@{i}, y@{i}, z@{i}, t@{i}, s@{i};
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varexo e_x@{i}, e_y@{i}, e_z@{i}, e_t@{i}, e_s@{i};
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@#endfor
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model(use_dll);
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@#for i in 1:n
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x@{i} = 0.1*x@{i}(-1) + 0.2*log(y@{i}(-1)) + 0.3*diff(log(z@{i}(-1))) + e_x@{i};
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[name = 'y']
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log(y@{i}) = 0.4*x@{i}(-1) + 0.5*log(y@{i}(-1)) + 0.6*diff(log(z@{i}(-1))) + e_y@{i};
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[name = 'z']
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/* NB: we choose 0.5 as steady state for z, since initial value is drawn from
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[0,1] (in the “simul_backward” case) */
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diff(log(z@{i})) = -0.8*(log(z@{i}(-1)) - log(0.5)) + 0.1*x@{i}(-1) + 0.2*log(y@{i}(-1)) - 0.3*diff(log(z@{i}(-1))) + e_z@{i};
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t@{i} = x@{i} + 2*log(y@{i}) + 3*diff(log(z@{i})) + s@{i} + e_t@{i};
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s@{i} = 4*x@{i}(-1) + 3*t@{i} + e_s@{i};
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@#endfor
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end;
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