84 lines
2.5 KiB
Modula-2
84 lines
2.5 KiB
Modula-2
// Declaration of the endogenous variables of the DSGE model.
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var a g mc mrs n winf pie r rw y;
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// Declaration of the exogenous variables of the DSGE model.
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varexo e_a e_g e_lam e_ms;
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// Declaration of the deep parameters
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parameters invsig delta gam rho gampie gamy rhoa rhog bet
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thetabig omega eps ;
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eps=6;
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thetabig=2;
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bet=0.99;
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invsig=2.5;
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gampie=1.5;
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gamy=0.125;
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gam=1;
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delta=0.36;
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omega=0.54;
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rhoa=0.5;
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rhog=0.5;
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rho=0.5;
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model(linear);
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y=y(+1)-(1/invsig)*(r-pie(+1)+g(+1)-g);
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y=a+(1-delta)*n;
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mc=rw+n-y;
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mrs=invsig*y+gam*n-g;
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r=rho*r(-1)+(1-rho)*(gampie*pie+gamy*y)+e_ms;
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rw=rw(-1)+winf-pie;
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a=rhoa*a(-1)+e_a;
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g=rhog*g(-1)+e_g;
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rw=mrs;
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// HYBRID PHILLIPS CURVED USED FOR THE SUMULATIONS:
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// pie = (omega/(1+omega*bet))*pie(-1)+(bet/(1+omega*bet))*pie(1)+(1-delta)*
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// (1-(1-1/thetabig)*bet)*(1-(1-1/thetabig))/((1-1/thetabig)*(1+delta*(eps-1)))/(1+omega*bet)*(mc+e_lam);
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// FORWARD LOOKING PHILLIPS CURVE:
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pie=bet*pie(+1)+(1-delta)*(1-(1-1/thetabig)*bet)*(1-(1-1/thetabig))/((1-1/thetabig)*(1+delta*(eps-1)))*(mc+e_lam);
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end;
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// Declaration of the prior beliefs about the deep parameters.
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estimated_params;
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stderr e_a, uniform_pdf,,,0,2;
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stderr e_g, uniform_pdf,,,0,2;
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stderr e_ms, uniform_pdf,,,0,2;
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stderr e_lam, uniform_pdf,,,0,2;
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invsig, gamma_pdf, 2.5, 1.76;
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gam, normal_pdf, 1, 0.5;
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rho, uniform_pdf,,,0,1;
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gampie, normal_pdf, 1.5, 0.25;
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gamy, gamma_pdf, 0.125, 0.075;
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rhoa, uniform_pdf,,,0,1;
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rhog, uniform_pdf,,,0,1;
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thetabig, gamma_pdf, 3, 1.42, 1, ;
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// Parameter for the hybrid Phillips curve
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// omega, uniform_pdf,,,0,1;
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end;
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/*
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** Declaration of the observed endogenous variables. Note that they are the variables of the VAR (4 by default) and that we must
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** have as many observed variables as exogenous variables.
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*/
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varobs pie r rw y;
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/* REMARK 1.
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** The option dsge_var=.8 triggers the estimation of a DSGE-VAR model, with a calibrated dsge prior weight equal to .8.
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**
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** REMARK 2.
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** The option bayesian_irf triggers the computation of the DSGE-VAR and DSGE posterior distribution of the IRFs.
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** The Dashed lines are the first, fifth (ie the median) and ninth posterior deciles of the DSGE-VAR's IRFs, the bold dark curve is the
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** posterior median of the DSGE's IRfs and the shaded surface covers the space between the first and ninth posterior deciles of the DSGE's IRFs.
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*/
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estimation(datafile=datarabanal_hybrid,silent_optimizer,first_obs=50,mh_nblocks = 1,nobs=90,dsge_var=.8,optim=('NumgradAlgorithm',3),mode_compute=4,mh_replic=2000,bayesian_irf);
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