77 lines
2.1 KiB
Modula-2
77 lines
2.1 KiB
Modula-2
@#include "ls2003_model.inc"
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estimated_params;
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psi1 , gamma_pdf,1.5,0.5;
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psi2 , gamma_pdf,0.25,0.125;
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psi3 , gamma_pdf,0.25,0.125;
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rho_R ,beta_pdf,0.5,0.2;
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alpha ,beta_pdf,0.3,0.1;
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rr ,gamma_pdf,2.5,1;
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k , gamma_pdf,0.5,0.25;
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tau ,gamma_pdf,0.5,0.2;
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rho_q ,beta_pdf,0.4,0.2;
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rho_A ,beta_pdf,0.5,0.2;
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rho_ys ,beta_pdf,0.8,0.1;
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rho_pies,beta_pdf,0.7,0.15;
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/*
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stderr e_R,inv_gamma_pdf,(1.2533),(0.6551);
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stderr e_q,inv_gamma_pdf,(2.5066),(1.3103);
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stderr e_A,inv_gamma_pdf,(1.2533),(0.6551);
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stderr e_ys,inv_gamma_pdf,(1.2533),(0.6551);
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stderr e_pies,inv_gamma_pdf,(1.88),(0.9827);
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*/
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stderr e_R,inv_gamma_pdf,(1.2533/3),(0.6551/10);
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stderr e_q,inv_gamma_pdf,(2.5066/3),(1.3103/10);
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stderr e_A,inv_gamma_pdf,(1.2533/3),(0.6551/10);
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stderr e_ys,inv_gamma_pdf,(1.2533/3),(0.6551/10);
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stderr e_pies,inv_gamma_pdf,(1.88/3),(0.9827/10);
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end;
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// endogenous prior restrictions
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irf_calibration(relative_irf);
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y(1:4), e_ys, [ -50, 50]; //[first year response]
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//y(1:4), e_ys, [-inf -50]; //[first year response]
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@#for ilag in 21:40
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R_obs(@{ilag}), e_ys, [0, 6]; //[response after 4th year to 10th year]
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@#endfor
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end;
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/*
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irf_calibration;
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y(1:4), e_ys, [-inf, -0.4]; //[first year response]
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@#for ilag in 21:40
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R_obs(@{ilag}), e_ys, [0, 0.25]; //[response after 4th year to 10th year]
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@#endfor
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end;
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*/
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moment_calibration;
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//y_obs,y_obs, [0.8, 1.1]; //[unconditional variance]
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y_obs,y_obs(1:4), +; //[first year acf]
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//y_obs,pie_obs(-4:4), -; //[ccf]
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@#for ilag in -2:2
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y_obs,R_obs(@{ilag}), -; //[ccf]
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@#endfor
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@#for ilag in -4:4
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y_obs,pie_obs(@{ilag}), -; //[ccf]
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@#endfor
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end;
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options_.prior_mc=5000;
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prior simulate;
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prior moments(distribution);
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if isoctave()
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sensitivity(prior_range=0, nodisplay, graph_format=(eps),Nsam=512);
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else
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sensitivity(prior_range=0, nodisplay, graph_format=(fig),Nsam=512);
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end
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/*
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estimation(datafile='data_ca1.m',first_obs=8,nobs=79,mh_nblocks=2, mode_file = ls2003a_mode,
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prefilter=1,mh_jscale=0.5,mh_replic=5000, mode_compute=0, mh_drop=0.6, bayesian_irf);
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//stoch_simul(irf=40, order=1, relative_irf) y_obs R_obs pie_obs dq de;
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stoch_simul(irf=40, order=1) y_obs R_obs pie_obs dq de;
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*/
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