26 lines
963 B
Modula-2
26 lines
963 B
Modula-2
@#include "fs2000_model.inc"
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estimated_params;
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alp, 0.356;
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gam, 0.0085;
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del, 0.01;
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stderr e_a, 0.035449;
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stderr e_m, 0.008862;
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corr e_m, e_a, 0;
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stderr gp_obs, 1;
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stderr gy_obs, 1;
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//corr gp_obs, gy_obs,0;
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end;
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@#define mode_file_name="'fs2000_uncorr_ME_missing/Output/fs2000_uncorr_ME_missing_mode'"
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@#define data_file_name="fsdat_simul_uncorr_ME_missing"
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@#include "fs2000_estimation_check.inc"
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%%Multivariate Kalman Filter
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options_.lik_init=1;
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estimation(kalman_algo=1,fast_kalman_filter,mode_file=@{mode_file_name},mode_compute=0,order=1,datafile=@{data_file_name},smoother,filter_decomposition,forecast = 8,filtered_vars,filter_step_ahead=[1,3],irf=20) m P c e W R k d y gy_obs;
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fval_algo_5=oo_.likelihood_at_initial_parameters;
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SmoothedMeasurementErrors(:,:,1)=cell2mat(struct2cell(oo_.SmoothedMeasurementErrors));
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SmoothedShocks(:,:,1)=cell2mat(struct2cell(oo_.SmoothedShocks));
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SmoothedVariables(:,:,1)=cell2mat(struct2cell(oo_.SmoothedVariables)); |