101 lines
2.2 KiB
Modula-2
101 lines
2.2 KiB
Modula-2
// --+ options: json=compute, stochastic +--
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var y x z v u w z1 z2 z3;
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varexo ex ey ez eu ew;
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parameters a_y_1 a_y_2 b_y_1 b_y_2 a_u_1 a_u_2 b_u_1 b_u_2 b_x_1 b_x_2 d_y;
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parameters beta e_c_m c_z_1 c_z_2; // PAC equation parameters
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a_y_1 = .2;
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a_y_2 = .3;
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b_y_1 = .1;
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b_y_2 = .4;
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a_u_1 = .2;
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a_u_2 = .3;
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b_u_1 = .1;
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b_u_2 = .4;
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b_x_1 = -.1;
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b_x_2 = -.2;
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d_y = .5;
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beta = .9;
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e_c_m = .1;
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c_z_1 = .7;
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c_z_2 = -.3;
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var_model(model_name=toto, structural, eqtags=['eq:x', 'eq:y']);
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pac_model(auxiliary_model_name=toto, discount=beta, model_name=pacman);
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pac_target_info(pacman);
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target v;
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auxname_target_nonstationary vns;
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component y;
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auxname pv_y_;
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kind ll;
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component x;
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auxname pv_dx_;
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growth diff(x(-1));
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kind dl;
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end;
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model;
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[name='eq:u']
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u = a_u_1*u(-1) + a_u_2*diff(x(-1)) + b_u_1*y(-2) + b_u_2*diff(x(-2)) + eu ;
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[name='eq:y']
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y = a_y_1*y(-1) + a_y_2*diff(x(-1)) + b_y_1*y(-2) + b_y_2*diff(x(-2)) + ey ;
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[name='eq:x']
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diff(x) = b_x_1*y(-2) + b_x_2*diff(x(-1)) + ex ;
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[name='eq:v']
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v = x + d_y*y ;
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[name='eq:pac']
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diff(z) = e_c_m*(pac_target_nonstationary(pacman)-z(-1)) + c_z_1*diff(z(-1)) + c_z_2*diff(z(-2)) + pac_expectation(pacman) + ez;
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[name='eq:w']
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diff(w) = -.1*w + ew ;
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[name='eq:z1']
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z1 = z+y-x+u;
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[name='eq:z2']
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z2 = z-y+x-u;
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[name='eq:z3']
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z3 = u-diff(v);
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end;
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shocks;
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var ex = 1.0;
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var ey = 1.0;
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var ez = 1.0;
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var ew = 1.0;
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var eu = 1.0;
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end;
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// Initialize the PAC model (build the Companion VAR representation for the auxiliary model).
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pac.initialize('pacman');
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// Update the parameters of the PAC expectation model (h0 and h1 vectors).
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pac.update.expectation('pacman');
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// Select a subset of the equations and print the equations, the list of parameters, endogenous
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// variables and exogenous variables in .inc files under ./simulation-files folder. Note that
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// innovations ex1bar and ex2bar will not appear in the equations.
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verbatim;
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cherrypick('test2', 'simulation-files-2-a', {'eq:z1', 'eq:z2', 'eq:z3'}, true);
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cherrypick('test2', 'simulation-files-2-b', {'eq:pac', 'eq:x', 'eq:y'}, true);
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aggregate('toto2.mod', {}, '', 'simulation-files-2-a', 'simulation-files-2-b');
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end;
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