121 lines
3.2 KiB
Modula-2
121 lines
3.2 KiB
Modula-2
// This file deals with the resolution and estimation of a basic DSGE model with
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//employment for comparison with the benchmark in Gauss which solves with
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//the same particular filter but global methodology.
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//
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// January 2010
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var k A c l i y;
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varexo e_a;
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parameters alp bet tet tau delt rho ;
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alp = 0.4;
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bet = 0.99;
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tet = 0.357 ;
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tau = 50 ;
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delt = 0.02;
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rho = 0.95;
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model;
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c = ((1 - alp)*tet/(1-tet))*A*(1-l)*((k(-1)/l)^alp) ;
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y = A*(k(-1)^alp)*(l^(1-alp)) ;
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i = y-c ;
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k = (1-delt)*k(-1) + i ;
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log(A) = rho*log(A(-1)) + e_a ;
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(((c^(tet))*((1-l)^(1-tet)))^(1-tau))/c - bet*((((c(+1)^(tet))*((1-l(+1))^(1-tet)))^(1-tau))/c(+1))*(1 -delt+alp*(A(1)*(k^alp)*(l(1)^(1-alp)))/k)=0 ;
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end;
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shocks;
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var e_a; stderr 0.035;
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end;
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steady;
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//stoch_simul(order=2,drop=0,periods=250,noprint,nograph) y l i ;
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//disp([y l i ]) ;
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//disp(oo_.mean) ;
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estimated_params;
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alp, uniform_pdf,,, 0.0001, 0.99;
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bet, uniform_pdf,,, 0.0001, 0.99;
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tet, uniform_pdf,,, 0.0001, 1;
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tau, uniform_pdf,,, 0.0001, 100;
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delt, uniform_pdf,,, 0.0001, 0.05;
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rho, uniform_pdf,,, 0.0001, 0.99;
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stderr e_a, uniform_pdf,,, 0.00001, 0.1;
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stderr y, uniform_pdf,,, 0.00001, 0.1;
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stderr l, uniform_pdf,,, 0.00001, 0.1;
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stderr i, uniform_pdf,,, 0.00001, 0.1;
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end;
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//estimated_params_init;
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//alp, 0.4;
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//bet, 0.99;
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//tet, 0.357 ;
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//tau, 50;
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//delt, 0.02;
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//rho, 0.95 ;
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//stderr e_a, .035;
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//stderr y, .0175;//.00158;
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//stderr l, .00312;//.0011;
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//stderr i, .00465;//.000866;
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//end;
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estimated_params_init;
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alp, 0.4;
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bet, 0.98;
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tet, 0.3;
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tau, 30;
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delt, 0.01;
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rho, 0.85;
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stderr e_a, .03;
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stderr y, .0175;//.00158;
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stderr l, .00312;//.0011;
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stderr i, .00465;//.000866;
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end;
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varobs y l i ;
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//options_.gstep(1) = 1e-4;
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//options_.gstep(2) = .1;
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options_.particle.status = 1;
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options_.particle.initialization = 1;
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options_.particle.pruning = 0;
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options_.particle.number_of_particles = 5000 ;
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options_.particle.resampling.status = 'systematic';
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options_.particle.resampling.method1 = 'traditional' ;
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//options_.particle.resampling.method1 = 'residual' ;
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//options_.particle.resampling.method1 = 'smooth' ;
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options_.particle.reampling.method2 = 'kitagawa' ;//'stratified' ;
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options_.particle.resampling.neff_threshold = .5;
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options_.mode_check.neighbourhood_size = .2 ;
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options_.mode_check.number_of_points = 250;
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//set_dynare_threads('local_state_space_iteration_2',3);
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options_.particle.algorithm = 'sequential_importance_particle_filter';
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//options_.particle.algorithm = 'auxiliary_particle_filter';
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//options_.particle.algorithm = 'gaussian_mixture_filter';
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//options_.particle.algorithm = 'conditional_particle_filter';
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//options_.particle.algorithm = 'gaussian_filter';
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//options_.particle.IS_approximation_method = 'quadrature' ;
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options_.particle.IS_approximation_method = 'cubature' ;
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//options_.particle.IS_approximation_method = 'unscented' ;
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//options_.particle.approximation_method = 'quadrature' ;
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//options_.particle.approximation_method = 'cubature' ;
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//options_.particle.approximation_method = 'unscented' ;
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//options_.particle.approximation_method = 'MonteCarlo' ;
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options_.mh_posterior_mode_estimation=0 ;
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// online
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options_.particle.liu_west_delta = 0.99 ;
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options_.mode_check_node_number = 250 ;
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estimation(datafile=data_risky_perturb3,order=1,nograph,nobs=100,mh_replic=0,mode_compute=11);
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