70 lines
1.9 KiB
Modula-2
Executable File
70 lines
1.9 KiB
Modula-2
Executable File
% Forward-looking example model from Koop, Pesaran, Smith (2013, JBES)
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% created by Willi Mutschler (@wmutschl, willi@mutschler.eu)
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% =========================================================================
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% Copyright © 2020 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
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% =========================================================================
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var r x p;
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varexo e_M e_D e_S;
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varobs r x p;
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parameters PSI TAU BETA KAPPA;
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PSI=1.1;
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TAU=2;
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BETA=0.9;
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KAPPA=0.6;
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model;
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r = PSI*p + e_M;
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x = x(+1) - 1/TAU*(r-p(+1)) + e_D;
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p = BETA*p(+1) + KAPPA*x + e_S;
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end;
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shocks;
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var e_M = 1;
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var e_D = 1;
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var e_S = 1;
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end;
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steady;
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check;
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estimated_params;
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PSI, 1.1;
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TAU, 2;
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BETA, 0.9;
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KAPPA, 0.6;
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end;
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identification; %this triggers sylvester3a with empty ghx
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% as a side note, we have the true solution:
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% [r;x;p] = TRUE_SOLUTION*[e_M;e_D;e_S] (ghx is empty)
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A = [1 0 -PSI; 1/TAU 1 0; 0 -KAPPA 1];
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TRUE_SOLUTION1 = inv(A);
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TRUE_SOLUTION2 = 1/(KAPPA*PSI/TAU +1)*[1 KAPPA*PSI PSI;
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-1/TAU 1 -PSI/TAU;
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-KAPPA/TAU KAPPA 1];
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% note that BETA drops out from the solution
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if max(max(abs(TRUE_SOLUTION1 - oo_.dr.ghu))) > 1e-15
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error('Something wrong with perturbation');
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end
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if max(max(abs(TRUE_SOLUTION2 - oo_.dr.ghu))) > 1e-15
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error('Something wrong with perturbation');
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end |