53 lines
1.1 KiB
Modula-2
53 lines
1.1 KiB
Modula-2
// --+ options: json=compute, stochastic +--
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var y x z;
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varexo ex ey ez;
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parameters a_y_1 a_y_2 b_y_1 b_y_2 b_x_1 b_x_2 ; // VAR parameters
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parameters beta e_c_m c_z_1 c_z_2; // PAC equation parameters
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a_y_1 = .2;
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a_y_2 = .3;
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b_y_1 = .1;
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b_y_2 = .4;
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b_x_1 = -.1;
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b_x_2 = -.2;
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beta = .9;
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e_c_m = .1;
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c_z_1 = .7;
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c_z_2 = -.3;
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var_model(model_name=toto, eqtags=['eq:x', 'eq:y']);
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pac_model(auxiliary_model_name=toto, discount=beta, model_name=pacman);
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model;
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[name='eq:y']
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y = a_y_1*y(-1) + a_y_2*diff(x(-1)) + b_y_1*y(-2) + b_y_2*diff(x(-2)) + ey ;
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[name='eq:x', data_type='nonstationary']
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diff(x) = b_x_1*y(-2) + b_x_2*diff(x(-1)) + ex ;
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[name='eq:pac']
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diff(z) = e_c_m*(x(-1)-z(-1)) + c_z_1*diff(z(-1)) + c_z_2*diff(z(-2)) + pac_expectation(pacman) + ez;
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end;
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shocks;
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var ex = 1.0;
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var ey = 1.0;
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var ez = 1.0;
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end;
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[~, b0] = get_companion_matrix_legacy('toto');
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[~, ~, b1] = get_companion_matrix('toto');
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if any(abs(b0(:)-b1(:))>1e-9)
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error('get_companion_matrix and get_comapnion_matrix_legacy do not return the same AR matrices.')
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end
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