93 lines
2.1 KiB
Modula-2
93 lines
2.1 KiB
Modula-2
//uses a prior mean for bet that does not allow solving the model. Then uses the calibrated value to initialize.
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var m P c e W R k d n l gy_obs gp_obs y dA;
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varexo e_a e_m e_f;
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parameters alp bet gam mst rho psi del;
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alp = 0.33;
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bet = 0.99;
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gam = 0.003;
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mst = 1.011;
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rho = 0.7;
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psi = 0.787;
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del = 0.02;
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model;
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dA = exp(gam+e_a);
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log(m) = (1-rho)*log(mst) + rho*log(m(-1))+e_m;
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-P/(c(+1)*P(+1)*m)+bet*P(+1)*(alp*exp(-alp*(gam+log(e(+1))))*k^(alp-1)*n(+1)^(1-alp)+(1-del)*exp(-(gam+log(e(+1)))))/(c(+2)*P(+2)*m(+1))=0;
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W = l/n;
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-(psi/(1-psi))*(c*P/(1-n))+l/n = 0;
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R = P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(-alp)/W;
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1/(c*P)-bet*P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)/(m*l*c(+1)*P(+1)) = 0;
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c+k = exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)+(1-del)*exp(-(gam+e_a))*k(-1);
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P*c = m;
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m-1+d = l;
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e = exp(e_a);
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y = k(-1)^alp*n^(1-alp)*exp(-alp*(gam+e_a));
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gy_obs = dA*y/y(-1);
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gp_obs = (P/P(-1))*m(-1)/dA;
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end;
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initval;
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k = 6;
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m = mst;
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P = 2.25;
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c = 0.45;
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e = 1;
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W = 4;
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R = 1.02;
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d = 0.85;
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n = 0.19;
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l = 0.86;
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y = 0.6;
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gy_obs = exp(gam);
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gp_obs = exp(-gam);
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dA = exp(gam);
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end;
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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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corr gy_obs, gp_obs = 0.1;
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var gy_obs; stderr 0.005;
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end;
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steady;
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//check;
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estimated_params;
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alp, beta_pdf, 0.356, 0.02;
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bet, normal_pdf, 2, 1;
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gam, normal_pdf, 0.0085, 0.003;
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mst, normal_pdf, 1.0002, 0.007;
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rho, normal_pdf, 0.129, 0.223;
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psi, beta_pdf, 0.65, 0.05;
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del, beta_pdf, 0.01, 0.005;
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stderr e_a, inv_gamma_pdf, 0.035449, inf;
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stderr e_m, inv_gamma_pdf, 0.008862, inf;
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corr e_a, e_m, normal_pdf, 0, 0.007;
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stderr gp_obs, inv_gamma_pdf, 0.008862, inf;
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corr gp_obs, gy_obs, normal_pdf, 0, 0.007;
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end;
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varobs gp_obs gy_obs;
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estimated_params_init(use_calibration);
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//stderr e_a, 0.014000;
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//stderr e_m, 0.005000;
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//stderr gp_obs, 0.1;
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corr e_m, e_a, 0.1;
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//corr gy_obs, gp_obs, 0.000000;
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//alp, 0.330000;
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//bet, 0.990000;
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gam, 0.003000;
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mst, 1.011000;
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//rho, 0.900000;
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psi, 0.787000;
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del, 0.020000;
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end;
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options_.plot_priors=0;
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estimation(order=1, datafile=fsdat_simul, nobs=192, loglinear, mh_replic=2000, mh_nblocks=1, mh_jscale=0.8,prior_trunc=0);
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