92 lines
2.0 KiB
Modula-2
92 lines
2.0 KiB
Modula-2
/*
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* Example 1 from F. Collard (2001): "Stochastic simulations with DYNARE:
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* A practical guide" (see "guide.pdf" in the documentation directory).
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*/
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/*
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* Copyright (C) 2001-2022 Dynare Team
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*
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* This file is part of Dynare.
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*
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* Dynare is free software: you can redistribute it and/or modify
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* it under the terms of the GNU General Public License as published by
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* the Free Software Foundation, either version 3 of the License, or
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* (at your option) any later version.
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*
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* Dynare is distributed in the hope that it will be useful,
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* but WITHOUT ANY WARRANTY; without even the implied warranty of
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* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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* GNU General Public License for more details.
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*
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* You should have received a copy of the GNU General Public License
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* along with Dynare. If not, see <https://www.gnu.org/licenses/>.
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*/
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var y, c, k, a, h, b;
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varexo e, u;
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parameters beta, rho, alpha, delta, theta, psi, tau;
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alpha = 0.36;
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rho = 0.95;
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tau = 0.025;
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beta = 0.99;
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delta = 0.025;
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psi = 0;
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theta = 2.95;
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phi = 0.1;
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model;
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exp(c)*theta*exp(h)^(1+psi)=(1-alpha)*exp(y);
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exp(k) = beta*(((exp(b)*exp(c))/(exp(b(+1))*exp(c(+1))))
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*(exp(b(+1))*alpha*exp(y(+1))+(1-delta)*exp(k)));
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exp(y) = exp(a)*(exp(k(-1))^alpha)*(exp(h)^(1-alpha));
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exp(k) = exp(b)*(exp(y)-exp(c))+(1-delta)*exp(k(-1));
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a = rho*a(-1)+tau*b(-1) + e;
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b = tau*a(-1)+rho*b(-1) + u;
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end;
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initval;
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y = log(1.08068253095672);
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c = log(0.80359242014163);
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h = log(0.29175631001732);
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k = log(11.08360443260358);
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a = 0;
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b = 0;
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end;
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resid;
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shocks;
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var e; stderr 0.009;
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var u; stderr 0.009;
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var e, u = phi*0.009*0.009;
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end;
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histval;
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k(0) = log(11.08);
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a(0) = log(1.2);
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b(0) = log(1);
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end;
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stoch_simul(order=1,periods=1000);
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forecast;
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forecast;
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conditional_forecast_paths;
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var a;
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periods 1 2 ;
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values 0.01 -0.02;
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var b;
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periods 1 2;
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values 0.05 0;
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end;
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conditional_forecast(parameter_set=calibration, controlled_varexo=(u,e));
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oo_exp=oo_;
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conditional_forecasts_exp=oo_.conditional_forecast;
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oo_exp=oo_;
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save results_exp_histval.mat oo_exp conditional_forecasts_exp
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