52 lines
1.5 KiB
Modula-2
52 lines
1.5 KiB
Modula-2
// this program estimates the model in
|
|
// "The Demand for Money during Hyperinflations under Rational Expectations: I" by T. Sargent, IER 1977 using maximum likelihood
|
|
// variables are defined as follows:
|
|
// x=p_t-p_{t-1}, p being the log of the price level
|
|
// mu=m_t-m_{t-1}, m being the log of money supply
|
|
// note that in contrast to the paper eta and epsilon have variance 1 (they are multiplied by the standard deviations)
|
|
|
|
|
|
|
|
var x mu a1 a2;
|
|
varexo epsilon eta;
|
|
parameters alpha lambda sig_eta sig_epsilon;
|
|
lambda=.5921;
|
|
alpha=-2.344;
|
|
sig_eta=.001;
|
|
sig_epsilon=.001;
|
|
|
|
model;
|
|
x=x(-1)-lambda*a1(-1)+(1/(lambda+alpha*(1-lambda)))*sig_epsilon*epsilon-(1/(lambda+alpha*(1-lambda)))*sig_eta*eta;
|
|
mu=(1-lambda)*x(-1)+lambda*mu(-1)-lambda*a2(-1)+(1+alpha*(1-lambda))/(lambda+alpha*(1-lambda))*sig_epsilon*epsilon-(1-lambda)/(lambda+alpha*(1-lambda))*sig_eta*eta;
|
|
a1=(1/(lambda+alpha*(1-lambda)))*sig_epsilon*epsilon-(1/(lambda+alpha*(1-lambda)))*sig_eta*eta;
|
|
a2=(1+alpha*(1-lambda))/(lambda+alpha*(1-lambda))*sig_epsilon*epsilon-(1-lambda)/(lambda+alpha*(1-lambda))*sig_eta*eta;
|
|
end;
|
|
|
|
steady;
|
|
|
|
shocks;
|
|
|
|
var eta;
|
|
stderr 1;
|
|
var epsilon;
|
|
stderr 1;
|
|
end;
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
estimated_params;
|
|
// ML estimation setup
|
|
// parameter name, initial value, boundaries_low, ..._up;
|
|
lambda, .5, 0.25, 0.75;
|
|
alpha, -2, -8, -0.1;
|
|
sig_eta, .0001, 0.0001, 0.3;
|
|
sig_epsilon, .0001, 0.0001, 0.3;
|
|
end;
|
|
|
|
varobs mu x;
|
|
unit_root_vars x;
|
|
estimation(datafile=cagan_data,first_obs=1,nobs=34,mh_replic=0,mode_compute=4,mode_check); |