40 lines
605 B
Modula-2
40 lines
605 B
Modula-2
var dx dy x y;
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varexo e_x e_y;
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parameters rho_x rho_y b a1 a2;
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rho_x = 0.5;
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rho_y = -0.3;
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b = 1;
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a1 = -0.1;
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a2 = 0.2;
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model;
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dx = rho_x*dx(-1)+a1*(x(-1)-b*y(-1))+e_x;
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dy = rho_y*dy(-1)+a2*(x(-1)-b*y(-1))+e_y;
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x = x(-1)+dx;
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y = y(-1)+dy;
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end;
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steady_state_model;
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dx=0;
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x=0;
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dy=0;
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y=0;
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end;
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estimated_params;
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rho_x,NORMAL_PDF,0.5,0.1;
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rho_y,NORMAL_PDF,-0.3,0.1;
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b,NORMAL_PDF,1,0.1;
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a1,NORMAL_PDF,-0.1,0.1;
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a2,NORMAL_PDF,0.2,0.1;
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stderr e_x,INV_GAMMA_PDF,0.01,inf;
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stderr e_y,INV_GAMMA_PDF,0.01,inf;
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end;
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varobs dx dy;
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estimation(datafile=data2,silent_optimizer,nobs=100,mh_replic=0,diffuse_filter);
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