80 lines
2.0 KiB
Modula-2
80 lines
2.0 KiB
Modula-2
// --+ options: json=compute, stochastic +--
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var y x z u;
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varexo ex ey ez eu;
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parameters a_y_0 a_y_1 a_y_2 b_y_1 b_y_2 b_x_0 b_x_1 b_x_2 ; // VAR parameters
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parameters g beta e_c_m c_z_1 c_z_2; // PAC equation parameters
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a_y_0 = .4;
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a_y_1 = .2;
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a_y_2 = .3;
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b_y_1 = .1;
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b_y_2 = .4;
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b_x_0 = -.1;
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b_x_1 = -.1;
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b_x_2 = -.2;
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beta = .9;
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e_c_m = .1;
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c_z_1 = .7;
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c_z_2 = -.3;
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g = .1;
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var_model(model_name=toto, structural, eqtags=['eq:x', 'eq:y']);
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pac_model(auxiliary_model_name=toto, discount=beta, model_name=pacman, growth=diff(u(-1)));
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model;
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[name='eq:u']
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diff(u) = g + eu;
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[name='eq:y']
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y = a_y_1*y(-1) + a_y_2*diff(x(-1)) + a_y_0*diff(x) + b_y_1*y(-2) + b_y_2*diff(x(-2)) + ey ;
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[name='eq:x']
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diff(x) = b_x_0*y + b_x_1*y(-2) + b_x_2*diff(x(-1)) + g*(1-b_x_2) + ex ;
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[name='eq:pac']
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diff(z) = e_c_m*(x(-1)-z(-1)) + c_z_1*diff(z(-1)) + c_z_2*diff(z(-2)) + pac_expectation(pacman) + ez;
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end;
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shocks;
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var ex = 1.0;
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var ey = 1.0;
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var ez = 1.0;
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var eu = 0.1;
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end;
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// Initialize the PAC model (build the Companion VAR representation for the auxiliary model).
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pac.initialize('pacman');
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// Update the parameters of the PAC expectation model (h0 and h1 vectors).
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pac.update.expectation('pacman');
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// Set initial conditions to zero. Please use more sensible values if any...
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initialconditions = dseries(zeros(10, M_.endo_nbr+M_.exo_nbr), 2000Q1, vertcat(M_.endo_names,M_.exo_names));
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// Simulate the model for 20 periods
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set_dynare_seed('default');
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TrueData = simul_backward_model(initialconditions, 20);
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// Print expanded PAC_EXPECTATION term.
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pac.print('pacman', 'eq:pac');
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verbatim;
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set_dynare_seed('default');
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y = zeros(M_.endo_nbr,1);
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y(1:M_.orig_endo_nbr) = rand(M_.orig_endo_nbr, 1);
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x = randn(M_.exo_nbr,1);
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y = example1.set_auxiliary_variables(y, x, M_.params);
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y = [y(find(M_.lead_lag_incidence(1,:))); y];
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[residual, g1] = example1.dynamic(y, x', M_.params, oo_.steady_state, 1);
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save('example1.mat', 'residual', 'g1', 'TrueData');
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end;
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