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dynare/tests/ecb/panel_var/panel_var_diff.mod

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Modula-2
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// --+ options: json=compute +--
/* REMARK
** ------
**
** You need to have the first line on top of the mod file. The options defined on this line are passed
** to the dynare command (you can add other options, separated by spaces or commas). The option defined
** here is mandatory for the decomposition. It forces Dynare to output another representation of the
** model in JSON file (additionaly to the matlab files) which is used here to manipulate the equations.
*/
var
U2_Q_YED
U2_G_YER
U2_STN
U2_ESTN
U2_EHIC
DE_Q_YED
DE_G_YER
DE_EHIC
FR_Q_YED
FR_G_YER
FR_EHIC
IT_Q_YED
IT_G_YER
IT_EHIC
ES_Q_YED
ES_G_YER
ES_EHIC
NL_Q_YED
NL_G_YER
NL_EHIC
;
varexo
res_U2_Q_YED
res_U2_G_YER
res_U2_STN
res_U2_ESTN
res_U2_EHIC
res_DE_Q_YED
res_DE_G_YER
res_DE_EHIC
res_FR_Q_YED
res_FR_G_YER
res_FR_EHIC
res_IT_Q_YED
res_IT_G_YER
res_IT_EHIC
res_ES_Q_YED
res_ES_G_YER
res_ES_EHIC
res_NL_Q_YED
res_NL_G_YER
res_NL_EHIC
;
parameters
u2_q_yed_ecm_u2_q_yed_L1
u2_q_yed_ecm_u2_stn_L1
u2_q_yed_u2_g_yer_L1
u2_q_yed_u2_stn_L1
u2_g_yer_ecm_u2_q_yed_L1
u2_g_yer_ecm_u2_stn_L1
u2_g_yer_u2_q_yed_L1
u2_g_yer_u2_g_yer_L1
u2_g_yer_u2_stn_L1
u2_stn_ecm_u2_q_yed_L1
u2_stn_ecm_u2_stn_L1
u2_stn_u2_q_yed_L1
u2_stn_u2_g_yer_L1
u2_estn_u2_estn_L1
u2_ehic_u2_ehic_L1
de_q_yed_ecm_de_q_yed_L1
de_q_yed_ecm_u2_stn_L1
de_q_yed_de_g_yer_L1
de_q_yed_u2_stn_L1
de_g_yer_ecm_de_q_yed_L1
de_g_yer_ecm_u2_stn_L1
de_g_yer_de_q_yed_L1
de_g_yer_de_g_yer_L1
de_g_yer_u2_stn_L1
de_ehic_de_ehic_L1
fr_q_yed_ecm_fr_q_yed_L1
fr_q_yed_ecm_u2_stn_L1
fr_q_yed_fr_g_yer_L1
fr_q_yed_u2_stn_L1
fr_g_yer_ecm_fr_q_yed_L1
fr_g_yer_ecm_u2_stn_L1
fr_g_yer_fr_q_yed_L1
fr_g_yer_fr_g_yer_L1
fr_g_yer_u2_stn_L1
fr_ehic_fr_ehic_L1
it_q_yed_ecm_it_q_yed_L1
it_q_yed_ecm_u2_stn_L1
it_q_yed_it_g_yer_L1
it_q_yed_u2_stn_L1
it_g_yer_ecm_it_q_yed_L1
it_g_yer_ecm_u2_stn_L1
it_g_yer_it_q_yed_L1
it_g_yer_it_g_yer_L1
it_g_yer_u2_stn_L1
it_ehic_it_ehic_L1
es_q_yed_ecm_es_q_yed_L1
es_q_yed_ecm_u2_stn_L1
es_q_yed_es_g_yer_L1
es_q_yed_u2_stn_L1
es_g_yer_ecm_es_q_yed_L1
es_g_yer_ecm_u2_stn_L1
es_g_yer_es_q_yed_L1
es_g_yer_es_g_yer_L1
es_g_yer_u2_stn_L1
es_ehic_es_ehic_L1
nl_q_yed_ecm_nl_q_yed_L1
nl_q_yed_ecm_u2_stn_L1
nl_q_yed_nl_g_yer_L1
nl_q_yed_u2_stn_L1
nl_g_yer_ecm_nl_q_yed_L1
nl_g_yer_ecm_u2_stn_L1
nl_g_yer_nl_q_yed_L1
nl_g_yer_nl_g_yer_L1
nl_g_yer_u2_stn_L1
nl_ehic_nl_ehic_L1
;
u2_q_yed_ecm_u2_q_yed_L1 = -0.82237516589315 ;
u2_q_yed_ecm_u2_stn_L1 = -0.323715338568976 ;
u2_q_yed_u2_g_yer_L1 = 0.0401361895021084 ;
u2_q_yed_u2_stn_L1 = 0.058397703958446 ;
u2_g_yer_ecm_u2_q_yed_L1 = 0.0189896046977421 ;
u2_g_yer_ecm_u2_stn_L1 = -0.109597659887432 ;
u2_g_yer_u2_q_yed_L1 = 0.0037667967632025 ;
u2_g_yer_u2_g_yer_L1 = 0.480506381923644 ;
u2_g_yer_u2_stn_L1 = -0.0722359286123494 ;
u2_stn_ecm_u2_q_yed_L1 = -0.0438500662608356 ;
u2_stn_ecm_u2_stn_L1 = -0.153283917138772 ;
u2_stn_u2_q_yed_L1 = 0.0328744983772825 ;
u2_stn_u2_g_yer_L1 = 0.292121949736756 ;
u2_estn_u2_estn_L1 = 1 ;
u2_ehic_u2_ehic_L1 = 1 ;
de_q_yed_ecm_de_q_yed_L1 = -0.822375165893149 ;
de_q_yed_ecm_u2_stn_L1 = -0.323715338568977 ;
de_q_yed_de_g_yer_L1 = 0.0401361895021082 ;
de_q_yed_u2_stn_L1 = 0.0583977039584461 ;
de_g_yer_ecm_de_q_yed_L1 = 0.0189896046977422 ;
de_g_yer_ecm_u2_stn_L1 = -0.109597659887433 ;
de_g_yer_de_q_yed_L1 = 0.00376679676320256;
de_g_yer_de_g_yer_L1 = 0.480506381923643 ;
de_g_yer_u2_stn_L1 = -0.0722359286123494 ;
de_ehic_de_ehic_L1 = 1 ;
fr_q_yed_ecm_fr_q_yed_L1 = -0.822375165893149 ;
fr_q_yed_ecm_u2_stn_L1 = -0.323715338568977 ;
fr_q_yed_fr_g_yer_L1 = 0.0401361895021082 ;
fr_q_yed_u2_stn_L1 = 0.0583977039584461 ;
fr_g_yer_ecm_fr_q_yed_L1 = 0.0189896046977422 ;
fr_g_yer_ecm_u2_stn_L1 = -0.109597659887433 ;
fr_g_yer_fr_q_yed_L1 = 0.00376679676320256;
fr_g_yer_fr_g_yer_L1 = 0.480506381923643 ;
fr_g_yer_u2_stn_L1 = -0.0722359286123494 ;
fr_ehic_fr_ehic_L1 = 1 ;
it_q_yed_ecm_it_q_yed_L1 = -0.822375165893149 ;
it_q_yed_ecm_u2_stn_L1 = -0.323715338568977 ;
it_q_yed_it_g_yer_L1 = 0.0401361895021082 ;
it_q_yed_u2_stn_L1 = 0.0583977039584461 ;
it_g_yer_ecm_it_q_yed_L1 = 0.0189896046977422 ;
it_g_yer_ecm_u2_stn_L1 = -0.109597659887433 ;
it_g_yer_it_q_yed_L1 = 0.00376679676320256;
it_g_yer_it_g_yer_L1 = 0.480506381923643 ;
it_g_yer_u2_stn_L1 = -0.0722359286123494 ;
it_ehic_it_ehic_L1 = 1 ;
es_q_yed_ecm_es_q_yed_L1 = -0.822375165893149 ;
es_q_yed_ecm_u2_stn_L1 = -0.323715338568977 ;
es_q_yed_es_g_yer_L1 = 0.0401361895021082 ;
es_q_yed_u2_stn_L1 = 0.0583977039584461 ;
es_g_yer_ecm_es_q_yed_L1 = 0.0189896046977422 ;
es_g_yer_ecm_u2_stn_L1 = -0.109597659887433 ;
es_g_yer_es_q_yed_L1 = 0.00376679676320256;
es_g_yer_es_g_yer_L1 = 0.480506381923643 ;
es_g_yer_u2_stn_L1 = -0.0722359286123494 ;
es_ehic_es_ehic_L1 = 1 ;
nl_q_yed_ecm_nl_q_yed_L1 = -0.822375165893149 ;
nl_q_yed_ecm_u2_stn_L1 = -0.323715338568977 ;
nl_q_yed_nl_g_yer_L1 = 0.0401361895021082 ;
nl_q_yed_u2_stn_L1 = 0.0583977039584461 ;
nl_g_yer_ecm_nl_q_yed_L1 = 0.0189896046977422 ;
nl_g_yer_ecm_u2_stn_L1 = -0.109597659887433 ;
nl_g_yer_nl_q_yed_L1 = 0.00376679676320256;
nl_g_yer_nl_g_yer_L1 = 0.480506381923643 ;
nl_g_yer_u2_stn_L1 = -0.0722359286123494 ;
nl_ehic_nl_ehic_L1 = 1 ;
model;
diff(U2_Q_YED) = u2_q_yed_ecm_u2_q_yed_L1 * (U2_Q_YED(-1) - U2_EHIC(-1))
+ u2_q_yed_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
+ u2_q_yed_u2_g_yer_L1 * diff(U2_G_YER(-1))
+ u2_q_yed_u2_stn_L1 * diff(U2_STN(-1))
+ res_U2_Q_YED ;
diff(U2_G_YER) = u2_g_yer_ecm_u2_q_yed_L1 * (U2_Q_YED(-1) - U2_EHIC(-1))
+ u2_g_yer_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
+ u2_g_yer_u2_q_yed_L1 * diff(U2_Q_YED(-1))
+ u2_g_yer_u2_g_yer_L1 * diff(U2_G_YER(-1))
+ u2_g_yer_u2_stn_L1 * diff(U2_STN(-1))
+ res_U2_G_YER ;
diff(U2_STN) = u2_stn_ecm_u2_q_yed_L1 * (U2_Q_YED(-1) - U2_EHIC(-1))
+ u2_stn_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
+ u2_stn_u2_q_yed_L1 * diff(U2_Q_YED(-1))
+ u2_stn_u2_g_yer_L1 * diff(U2_G_YER(-1))
+ res_U2_STN ;
U2_ESTN = u2_estn_u2_estn_L1 * U2_ESTN
+ res_U2_ESTN ;
U2_EHIC = u2_ehic_u2_ehic_L1 * U2_EHIC
+ res_U2_EHIC ;
diff(DE_Q_YED) = de_q_yed_ecm_de_q_yed_L1 * (DE_Q_YED(-1) - DE_EHIC(-1))
+ de_q_yed_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
+ de_q_yed_de_g_yer_L1 * diff(DE_G_YER(-1))
+ de_q_yed_u2_stn_L1 * diff(U2_STN(-1))
+ res_DE_Q_YED ;
diff(DE_G_YER) = de_g_yer_ecm_de_q_yed_L1 * (DE_Q_YED(-1) - DE_EHIC(-1))
+ de_g_yer_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
+ de_g_yer_de_q_yed_L1 * diff(DE_Q_YED(-1))
+ de_g_yer_de_g_yer_L1 * diff(DE_G_YER(-1))
+ de_g_yer_u2_stn_L1 * diff(U2_STN(-1))
+ res_DE_G_YER ;
DE_EHIC = de_ehic_de_ehic_L1 * DE_EHIC
+ res_DE_EHIC ;
diff(FR_Q_YED) = fr_q_yed_ecm_fr_q_yed_L1 * (FR_Q_YED(-1) - FR_EHIC(-1))
+ fr_q_yed_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
+ fr_q_yed_fr_g_yer_L1 * diff(FR_G_YER(-1))
+ fr_q_yed_u2_stn_L1 * diff(U2_STN(-1))
+ res_FR_Q_YED ;
diff(FR_G_YER) = fr_g_yer_ecm_fr_q_yed_L1 * (FR_Q_YED(-1) - FR_EHIC(-1))
+ fr_g_yer_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
+ fr_g_yer_fr_q_yed_L1 * diff(FR_Q_YED(-1))
+ fr_g_yer_fr_g_yer_L1 * diff(FR_G_YER(-1))
+ fr_g_yer_u2_stn_L1 * diff(U2_STN(-1))
+ res_FR_G_YER ;
FR_EHIC = fr_ehic_fr_ehic_L1 * FR_EHIC
+ res_FR_EHIC ;
diff(IT_Q_YED) = it_q_yed_ecm_it_q_yed_L1 * (IT_Q_YED(-1) - IT_EHIC(-1))
+ it_q_yed_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
+ it_q_yed_it_g_yer_L1 * diff(IT_G_YER(-1))
+ it_q_yed_u2_stn_L1 * diff(U2_STN(-1))
+ res_IT_Q_YED ;
diff(IT_G_YER) = it_g_yer_ecm_it_q_yed_L1 * (IT_Q_YED(-1) - IT_EHIC(-1))
+ it_g_yer_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
+ it_g_yer_it_q_yed_L1 * diff(IT_Q_YED(-1))
+ it_g_yer_it_g_yer_L1 * diff(IT_G_YER(-1))
+ it_g_yer_u2_stn_L1 * diff(U2_STN(-1))
+ res_IT_G_YER ;
IT_EHIC = it_ehic_it_ehic_L1 * IT_EHIC
+ res_IT_EHIC ;
diff(ES_Q_YED) = es_q_yed_ecm_es_q_yed_L1 * (ES_Q_YED(-1) - ES_EHIC(-1))
+ es_q_yed_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
+ es_q_yed_es_g_yer_L1 * diff(ES_G_YER(-1))
+ es_q_yed_u2_stn_L1 * diff(U2_STN(-1))
+ res_ES_Q_YED ;
diff(ES_G_YER) = es_g_yer_ecm_es_q_yed_L1 * (ES_Q_YED(-1) - ES_EHIC(-1))
+ es_g_yer_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
+ es_g_yer_es_q_yed_L1 * diff(ES_Q_YED(-1))
+ es_g_yer_es_g_yer_L1 * diff(ES_G_YER(-1))
+ es_g_yer_u2_stn_L1 * diff(U2_STN(-1))
+ res_ES_G_YER ;
ES_EHIC = es_ehic_es_ehic_L1 * ES_EHIC
+ res_ES_EHIC ;
diff(NL_Q_YED) = nl_q_yed_ecm_nl_q_yed_L1 * (NL_Q_YED(-1) - NL_EHIC(-1))
+ nl_q_yed_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
+ nl_q_yed_nl_g_yer_L1 * diff(NL_G_YER(-1))
+ nl_q_yed_u2_stn_L1 * diff(U2_STN(-1))
+ res_NL_Q_YED ;
diff(NL_G_YER) = nl_g_yer_ecm_nl_q_yed_L1 * (NL_Q_YED(-1) - NL_EHIC(-1))
+ nl_g_yer_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
+ nl_g_yer_nl_q_yed_L1 * diff(NL_Q_YED(-1))
+ nl_g_yer_nl_g_yer_L1 * diff(NL_G_YER(-1))
+ nl_g_yer_u2_stn_L1 * diff(U2_STN(-1))
+ res_NL_G_YER ;
NL_EHIC = nl_ehic_nl_ehic_L1 * NL_EHIC
+ res_NL_EHIC ;
end;
mydseries = dseries(randn(40,20), 1, {'U2_Q_YED', ...
'U2_G_YER', ...
'U2_STN', ...
'U2_ESTN', ...
'U2_EHIC', ...
'DE_Q_YED', ...
'DE_G_YER', ...
'DE_EHIC', ...
'FR_Q_YED', ...
'FR_G_YER', ...
'FR_EHIC', ...
'IT_Q_YED', ...
'IT_G_YER', ...
'IT_EHIC', ...
'ES_Q_YED', ...
'ES_G_YER', ...
'ES_EHIC', ...
'NL_Q_YED', ...
'NL_G_YER', ...
'NL_EHIC'});
pooled_ols(mydseries, ...
{'de','u2','fr', 'it', 'es', 'nl'}, ...
{'*_q_yed_ecm_*_q_yed_L1', ...
'*_q_yed_ecm_u2_stn_L1', ...
'*_q_yed_*_g_yer_L1', ...
'*_q_yed_u2_stn_L1', ...
'*_g_yer_ecm_*_q_yed_L1', ...
'*_g_yer_ecm_u2_stn_L1', ...
'*_g_yer_*_q_yed_L1', ...
'*_g_yer_*_g_yer_L1', ...
'*_g_yer_u2_stn_L1', ...
'*_ehic_*_ehic_L1'});
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