73 lines
1.7 KiB
Modula-2
73 lines
1.7 KiB
Modula-2
// Scalar translation of stochastic_matrix.mod
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// The declaration orders are the same as those of the expanded matrix version
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var r X_1 X_2 X_3 Y_1 Y_2 Y_3 Z_1 Z_2 Z_3 T_1 T_2 T_3;
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varexo f E_1 E_2 E_3 U_1 U_2 U_3 V_1 V_2 V_3 W_1 W_2 W_3;
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parameters P_1_1 P_1_2 P_1_3 P_2_1 P_2_2 P_2_3 P_3_1 P_3_2 P_3_3;
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varexo_det D_1 D_2 D_3;
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P_1_1 = .1;
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P_1_2 = .2;
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P_1_3 = -.3;
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P_2_1 = -.1;
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P_2_2 = .5;
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P_2_3 = .1;
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P_3_1 = .2;
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P_3_2 = -.3;
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P_3_3 = .9;
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model;
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X_1 = P_1_1*X_1(-1) + P_1_2*X_2(-1) + P_1_3*X_3(-1) + E_1;
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X_2 = P_2_1*X_1(-1) + P_2_2*X_2(-1) + P_2_3*X_3(-1) + E_2;
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X_3 = P_3_1*X_1(-1) + P_3_2*X_2(-1) + P_3_3*X_3(-1) + E_3;
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Y_1 = P_1_1*Y_1(-1) + P_1_2*Y_2(-1) + P_1_3*Y_3(-1) + U_1;
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Y_2 = P_2_1*Y_1(-1) + P_2_2*Y_2(-1) + P_2_3*Y_3(-1) + U_2;
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Y_3 = P_3_1*Y_1(-1) + P_3_2*Y_2(-1) + P_3_3*Y_3(-1) + U_3;
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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_1 = D_1 + W_1;
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T_2 = D_2 + W_2;
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T_3 = D_3 + W_3;
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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_1 = 0.1;
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var E_2 = 0.2;
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var E_3 = 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_1; stderr 1.1;
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var V_2; stderr 1.2;
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var V_3; stderr 1.3;
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var W_1 = 1;
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var W_2 = 5;
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var W_3 = 9;
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var W_1, W_2 = 0.2;
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var W_1, W_3 = 0.3;
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var W_2, W_3 = 0.6;
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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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L = load('stochastic_matrix_results.mat');
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if max(max(abs(L.oo_.dr.ghu - oo_.dr.ghu))) > 1e-12
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error('Failure in matrix expansion')
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end
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if max(max(abs(L.oo_.dr.ghx - oo_.dr.ghx))) > 1e-12
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error('Failure in matrix expansion')
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end
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if max(max(abs(L.oo_.var - oo_.var))) > 1e-12
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error('Failure in matrix expansion')
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end
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