58 lines
1.1 KiB
Modula-2
58 lines
1.1 KiB
Modula-2
var dc, dd, v_c, v_d, x;
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varexo e_c, e_x, e_d;
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parameters DELTA THETA PSI MU_C MU_D RHO_X LAMBDA_DX;
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DELTA=.99;
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PSI=1.5;
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THETA=(1-7.5)/(1-1/PSI);
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MU_C=0.0015;
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MU_D=0.0015;
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RHO_X=.979;
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LAMBDA_DX=3;
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model;
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v_c = DELTA^THETA * exp((-THETA/PSI)*dc(+1) + (THETA-1)*log((1+v_c(+1))*exp(dc(+1))/v_c) ) * (1+v_c(+1))*exp(dc(+1));
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v_d = DELTA^THETA * exp((-THETA/PSI)*dc(+1) + (THETA-1)*log((1+v_c(+1))*exp(dc(+1))/v_c) ) * (1+v_d(+1))*exp(dd(+1));
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dc = MU_C + x(-1) + e_c;
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dd = MU_D + LAMBDA_DX*x(-1) + e_d;
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x = RHO_X * x(-1) + e_x;
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end;
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initval;
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v_c=15;
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v_d=15;
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dc=MU_C;
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dd=MU_D;
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x=0;
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e_c=0;
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e_x=0;
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e_d=0;
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end;
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shocks;
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var e_d; stderr .001;
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var e_c; stderr .001;
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var e_x; stderr .001;
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end;
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steady;
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estimated_params;
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DELTA, beta_pdf, 0.98,.005;
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THETA,normal_pdf,-19.5, 0.0025;
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PSI,normal_pdf,1.6, 0.1;
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MU_C,normal_pdf,0.001, 0.001;
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MU_D,normal_pdf,0.001, 0.001;
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RHO_X,normal_pdf,.98, 0.005;
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LAMBDA_DX,normal_pdf,3, 0.05;
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stderr e_d,inv_gamma_pdf,.0025, 30;
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stderr e_x,inv_gamma_pdf,.0003, 30;
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stderr e_c,inv_gamma_pdf,.01, 30;
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end;
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varobs v_d dd dc;
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estimation(datafile=simudata,mh_replic=1000,mh_jscale=.4,nodiagnostic); |