78 lines
1.7 KiB
Modula-2
78 lines
1.7 KiB
Modula-2
// --+ options: json=compute, stochastic +--
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var x1 x2 x1bar x2bar z y1 y2;
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varexo ex1 ex2 ex1bar ex2bar ez ey1 ey2;
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parameters a_x1_0 a_x1_1 a_x1_2 a_x1_x2_1 a_x1_x2_2
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a_x2_0 a_x2_1 a_x2_2 a_x2_x1_1 a_x2_x1_2
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e_c_m c_z_1 c_z_2 gamma beta ;
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a_x1_0 = -.9;
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a_x1_1 = .4;
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a_x1_2 = .3;
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a_x1_x2_1 = .1;
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a_x1_x2_2 = .2;
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a_x2_0 = -.9;
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a_x2_1 = .2;
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a_x2_2 = -.1;
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a_x2_x1_1 = -.1;
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a_x2_x1_2 = .2;
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beta = .2;
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e_c_m = .5;
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c_z_1 = .2;
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c_z_2 = -.1;
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gamma = .7;
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trend_component_model(model_name=toto, eqtags=['eq:x1', 'eq:x2', 'eq:x1bar', 'eq:x2bar'], targets=['eq:x1bar', 'eq:x2bar']);
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pac_model(discount=beta, model_name=pacman);
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model(linear);
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[name='eq:exo:1']
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diff(y1) = .7*diff(y1(-1)) - .3*diff(y1(-2)) + ey1;
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[name='eq:exo:2']
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diff(y2) = .5*diff(y2(-1)) - .2*diff(y2(-3)) + ey2;
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[name='eq:x1']
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diff(x1) = a_x1_0*(x1(-1)-x1bar(-1)) + a_x1_1*diff(x1(-1)) + a_x1_2*diff(x1(-2)) + a_x1_x2_1*diff(x2(-1)) + a_x1_x2_2*diff(x2(-2)) + ex1;
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[name='eq:x2']
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diff(x2) = a_x2_0*(x2(-1)-x2bar(-1)) + a_x2_1*diff(x1(-1)) + a_x2_2*diff(x1(-2)) + a_x2_x1_1*diff(x2(-1)) + a_x2_x1_2*diff(x2(-2)) + ex2;
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[name='eq:x1bar']
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x1bar = x1bar(-1) + ex1bar;
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[name='eq:x2bar']
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x2bar = x2bar(-1) + ex2bar;
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[name='eq:pac']
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diff(z) = gamma*(e_c_m*(x1(-1)-z(-1)) + c_z_1*diff(z(-1)) + c_z_2*diff(z(-2)) + pac_expectation(pacman)) + (1-gamma)*(.5*diff(y1)-.7*diff(y2)) + ez;
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end;
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// Initialize the PAC model.
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pac.initialize('pacman');
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// Update the PAC/MCE parameters (α in M_.params).
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pac.mce.parameters('pacman');
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// Setup a scenario for the shocks.
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shocks;
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var ex1 = .01;
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var ex2 = .01;
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var ey1 = .005;
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var ey2 = .007;
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var ex1bar = .0;
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var ex2bar = .0;
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var ez = .02;
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end;
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stoch_simul(periods=1000, noprint);
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