35 lines
640 B
Modula-2
35 lines
640 B
Modula-2
var y yp z mu;
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varexo ez eyp emu;
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parameters alpha;
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alpha = .889;
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model(linear);
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y = yp + z;
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yp = mu + yp(-1) + eyp;
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mu = mu(-1) + emu;
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z = alpha*z(-1) + ez;
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end;
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initval;
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y=8.655680;
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z=0;
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yp=8.655680;
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mu=0;
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end;
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steady(nocheck);
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estimated_params;
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stderr emu , inv_gamma_pdf, 0.002 , inf;
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stderr eyp , inv_gamma_pdf, 0.002 , inf;
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stderr ez , inv_gamma_pdf, 0.06 , inf;
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alpha, normal_pdf, 0.9, 0.1;
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end;
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varobs y;
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estimation(datafile=trend_cycle_decomposition_data,nobs=82, silent_optimizer,mh_replic=2000, mode_compute=4, mh_nblocks=1, mh_jscale=0.3, filtered_vars, smoother, diffuse_filter) yp z;
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