91 lines
1.8 KiB
Modula-2
91 lines
1.8 KiB
Modula-2
// 3 independent local trend models
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// test that the three local trends processes are still independent in the smoother
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var
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beta1, beta2, beta3,
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mu1, mu2, mu3,
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psi1, psi2, psi3,
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tren1, tren2, tren3,
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slop1, slop2, slop3,
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cyc1, cyc2, cyc3,
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v1, v2, v3;
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varexo
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e_irr1, e_irr2, e_irr3,
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e_lev1, e_lev2, e_lev3,
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e_slp1, e_slp2, e_slp3,
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e_cyc1, e_cyc2, e_cyc3;
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parameters
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rho,
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sdirr1, sdirr2, sdirr3,
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sdlev1, sdlev2, sdlev3,
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sdslp1, sdslp2, sdslp3,
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sdcyc1, sdcyc2, sdcyc3;
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rho = 0.75;
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sdirr1 = 0.005;
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sdirr2 = 0.005;
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sdirr3 = 0.005;
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sdlev1 = 0.0001;
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sdlev2 = 0.0001;
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sdlev3 = 0.0001;
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sdslp1 = 0.0001;
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sdslp2 = 0.0001;
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sdslp3 = 0.0001;
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sdcyc1 = 0.005;
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sdcyc2 = 0.005;
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sdcyc3 = 0.005;
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model(linear);
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mu1 = mu1(-1) + beta1(-1) + sdlev1*e_lev1;
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beta1 = beta1(-1) + sdslp1*e_slp1;
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psi1 = rho*psi1(-1) + sdcyc1*e_cyc1;
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mu2 = mu2(-1) + beta2(-1) + sdlev2*e_lev2;
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beta2 = beta2(-1) + sdslp2*e_slp2;
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psi2 = rho*psi2(-1) + sdcyc2*e_cyc2;
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mu3 = mu3(-1) + beta3(-1) + sdlev3*e_lev3;
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beta3 = beta3(-1) + sdslp3*e_slp3;
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psi3 = rho*psi3(-1) + sdcyc3*e_cyc3;
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tren1 = mu1(-1);
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tren2 = mu2(-1);
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tren3 = mu3(-1);
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slop1 = beta1(-2);
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slop2 = beta2(-2);
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slop3 = beta3(-2);
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cyc1 = psi1(-1);
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cyc2 = psi2(-1);
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cyc3 = psi3(-1);
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v1 = tren1 + cyc1 + sdirr1*e_irr1;
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v2 = tren2 + cyc2 + sdirr2*e_irr2;
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v3 = tren3 + cyc3 + sdirr3*e_irr3;
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end;
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shocks;
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var e_irr1; stderr 1;
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var e_irr2; stderr 1;
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var e_irr3; stderr 1;
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var e_lev1; stderr 1;
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var e_lev2; stderr 1;
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var e_lev3; stderr 1;
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var e_slp1; stderr 1;
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var e_slp2; stderr 1;
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var e_slp3; stderr 1;
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var e_cyc1; stderr 1;
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var e_cyc2; stderr 1;
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var e_cyc3; stderr 1;
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end;
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stoch_simul(order=1,irf=20,periods=500);
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send_endogenous_variables_to_workspace;
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save data_Pinf_Pstar.mat v1 v2 v3;
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