42 lines
660 B
Modula-2
42 lines
660 B
Modula-2
var x y;
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varexo e_x e_u;
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parameters rho sig_x sig_u mu_y;
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rho = .98;
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mu_y=.015;
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sig_x=0.00025;
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sig_u=.0078;
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model(linear);
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x=rho*x(-1) + sig_x*e_x;
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y=mu_y + x(-1) + sig_u*e_u;
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end;
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initval;
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x=0;
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y=mu_y;
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end;
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steady;
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shocks;
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var e_x;
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stderr 1;
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var e_u;
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stderr 1;
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end;
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estimated_params;
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rho, beta_pdf, .98, .01;
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mu_y, uniform_pdf, .005, .0025;
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sig_u, inv_gamma_pdf, .003, inf;
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sig_x, inv_gamma_pdf, .003, inf;
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// The syntax for to input the priors is the following:
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// variable name, prior distribution, parameters of distribution.
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end;
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varobs y;
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estimation(datafile=data_consRicardoypg,first_obs=1,nobs=227,mh_replic=5000,mh_nblocks=1,mh_jscale=1); |