47 lines
815 B
Modula-2
47 lines
815 B
Modula-2
// Do not forget to update stochastic_scalar.mod when this file is modified
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var(rows=3) X, Y, Z, T;
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var r;
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varexo(rows=3) E, U, V, W;
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varexo f;
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parameters(rows=3, cols=3) P;
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varexo_det(rows=3) D;
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P = [.1, .2, -.3; -.1, .5, .1; .2, -.3, .9];
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model;
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X = P*X(-1)+E;
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transpose(Y) = transpose(Y(-1))*transpose(P)+transpose(U);
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Z[1] = V[1];
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Z[2] = V[2];
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Z[3] = V[3];
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T = D + W;
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r = 0.9*r(+1)+f;
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end;
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shocks;
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var E = [ 0.1, 0.2, 0.3 ];
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var E[1], E[2] = 0.08;
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var U[1] = 0.4;
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var U[2]; stderr 0.5;
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var U[3]; stderr 0.6;
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corr U[1], U[2] = 0.09;
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var V; stderr [ 1.1, 1.2, 1.3 ];
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vcov W = [
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1, 0.2, 0.3;
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0.2, 5, 0.6;
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0.3, 0.6, 9
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];
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var f = 3;
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var f, E[2] = 0.5;
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corr U[1], f = 0.7;
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end;
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stoch_simul(order=1, nodecomposition, irf=0);
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write_latex_dynamic_model;
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