34 lines
921 B
Modula-2
34 lines
921 B
Modula-2
// See fs2000.mod in the examples/ directory for details on the model
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// tests heteroskedastic filter/smoother
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// includes lagged exogenous variable introduced by preprocessor
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@#include "fs2000_het_model.inc"
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shocks;
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var e_a; stderr 0.014;
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var e_m; stderr 0.005;
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end;
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steady;
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check;
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stoch_simul(order=1,loglinear);
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forecast;
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options_.solve_tolf = 1e-12;
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heteroskedastic_shocks;
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var e_b;
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periods 100:120;
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values 0.01;
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var e_a;
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periods 100:120;
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scales 0;
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end;
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estimation(order=1,datafile='../fsdat_simul',first_obs=10,nobs=182,silent_optimizer,mode_compute=5,loglinear,mh_replic=0,smoother,filtered_vars,forecast=8,filter_step_ahead=[1:8],consider_all_endogenous,heteroskedastic_filter);
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if M_.heteroskedastic_shocks.Qscale(strmatch('e_a',M_.exo_names,'exact'),91)~=0 && M_.heteroskedastic_shocks.Qscale(strmatch('e_b',M_.exo_names,'exact'),91)~=0.01
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error('first_obs is incorrectly handled.')
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end |