dynare/tests/estimation/univariate/nls/dynamicmodel.mod

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Modula-2

// --+ options: json=compute, stochastic +--
var y x z;
varexo ey ex ez;
parameters gamma rho;
gamma = .3;
rho = .9;
model;
[name='eqx']
x = x(-1)^.8*exp(ex) ;
[name='eqz']
z = exp(ez);
[name='eqy']
y = x^(1-gamma)*z^gamma*abs(y(-1))^rho + ey;
end;
histval;
x(0) = 0.1;
z(0) = 0.5;
end;
shocks;
var ex = .05;
var ez = .05;
var ey = .01;
end;
// Simulate a sample.
simulations = simul_backward_model([], 5000);
// Set residuals in the estimated equation to NaNs.
simulations.ey = dseries(NaN);
// Set initial guess for the estimated parameter.
clear('eparams')
eparams.gamma = 0.6;
eparams.rho = 0.3;
// Call estimation routine.
estimate.nls('eqy', eparams, simulations, 1001Y:5000Y, 'annealing')