50 lines
1.0 KiB
Modula-2
50 lines
1.0 KiB
Modula-2
var y x;
|
|
varexo e;
|
|
|
|
parameters beta theta rho xbar;
|
|
xbar = 0.0179;
|
|
rho = -0.139;
|
|
theta = -1.5;
|
|
theta = -10;
|
|
beta = 0.95;
|
|
|
|
model;
|
|
y = beta*exp(theta*x(+1))*(1+y(+1));
|
|
x = (1-rho)*xbar + rho*x(-1)+e;
|
|
end;
|
|
|
|
shocks;
|
|
var e; stderr 0.0348;
|
|
end;
|
|
|
|
initval;
|
|
x = xbar;
|
|
y = beta*exp(theta*xbar)/(1-beta*exp(theta*xbar));
|
|
end;
|
|
|
|
resid;
|
|
|
|
steady;
|
|
|
|
stoch_simul(order=2,irf=0);
|
|
|
|
sigma2=M_.Sigma_e;
|
|
i = 1:800;
|
|
a = theta*xbar*i+(theta^2*sigma2)/(2*(1-rho)^2)*(i-2*rho*(1-rho.^i)/(1-rho)+rho^2*(1-rho.^(2*i))/(1-rho^2));
|
|
a1 = theta^2*sigma2/(2*(1-rho)^2)*(i-2*rho*(1-rho.^i)/(1-rho)+rho^2*(1-rho.^(2*i))/(1-rho^2));
|
|
b = theta*rho*(1-rho.^i)/(1-rho);
|
|
|
|
dr = oo_.dr;
|
|
x1 = [dr.ghx(2); dr.ghu(2); dr.ghxx(2); dr.ghuu(2); dr.ghxu(2); dr.ghs2(2)];
|
|
x2 = [
|
|
sum(beta.^i.*exp(theta*xbar*i).*b*rho)
|
|
sum(beta.^i.*exp(theta*xbar*i).*b)
|
|
sum(beta.^i.*exp(theta*xbar*i).*(b*rho).^2)
|
|
sum(beta.^i.*exp(theta*xbar*i).*b.^2)
|
|
sum(beta.^i.*exp(theta*xbar*i).*b.^2*rho)
|
|
sum(beta.^i.*exp(theta*xbar*i).*a1*2)
|
|
];
|
|
if any(abs(x1-x2) > 1e-14);
|
|
error('burnside_1 doesn''t reproduce the analytical solution');
|
|
end;
|