75 lines
1.1 KiB
Modula-2
75 lines
1.1 KiB
Modula-2
var x
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y
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z;
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varexo u
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v;
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parameters a1 a2 a3 a4
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b1 b2 b3
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c1;
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a1 = .50;
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a2 = .00;
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a3 = .70;
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a4 = .40;
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b1 = .90;
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b2 = .00;
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b3 = .80;
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c1 = .95;
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model;
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y = a1*x(-1) + a2*x(1) + a3*z + a4*y(-1);
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z = b1*z(-1) + b2*z(1) + b3*x + u;
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x = c1*x(-1) + v;
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end;
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shocks;
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var u; stderr .05;
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var v; stderr .05;
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end;
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steady;
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check;
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stoch_simul(irf=0, periods=10000);
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datatomfile('linear_model_data');
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estimated_params;
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a1, .50;
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a2, .00;
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a3, .70;
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a4, .40;
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b1, .90;
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b2, .00;
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b3, .80;
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c1, .95;
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stderr u, .05;
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stderr v, .05;
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end;
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varobs y, z;
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options_.particle.status = 1;
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options_.particle.algorithm = 'sequential_importance_particle_filter';
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options_.particle.initialization = 1;
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options_.particle.pruning = 0;
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options_.particle.number_of_particles = 20000;
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options_.particle.resampling.status = 'systematic';
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options_.particle.resampling.neff_threshold = .1;
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options_.gstep(1) = 1e-4;
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options_.gstep(2) = .1;
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options_.mode_check_neighbourhood_size = 0.05;
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set_dynare_threads('local_state_space_iteration_2',3);
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estimation(order=2,nobs=100,datafile=linear_model_data,mh_replic=0);
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