61 lines
961 B
Modula-2
61 lines
961 B
Modula-2
var x y;
|
|
varexo u v;
|
|
|
|
parameters c, r;
|
|
|
|
c = .500;
|
|
r = .975;
|
|
|
|
model;
|
|
y = x + u;
|
|
x = r*x(-1) + 0.0000001*x(1) + v;
|
|
end;
|
|
|
|
shocks;
|
|
var u; stderr sqrt(0.02);
|
|
var v; stderr sqrt(0.02);
|
|
end;
|
|
|
|
steady;
|
|
|
|
check;
|
|
|
|
stoch_simul(irf=0, periods=10000);
|
|
|
|
datatomfile('noisy_ar1_data');
|
|
|
|
estimated_params;
|
|
c, .500;
|
|
r, .975;
|
|
stderr u, sqrt(.2);
|
|
stderr v, sqrt(.02);
|
|
end;
|
|
|
|
varobs y;
|
|
|
|
|
|
particle = 1;
|
|
|
|
if particle;
|
|
options_.particle.status = 1;
|
|
options_.particle.initialization = 1;
|
|
options_.particle.pruning = 0;
|
|
options_.particle.number_of_particles = 20000;
|
|
options_.particle.resampling.status = 'systematic';
|
|
options_.particle.resampling.neff_threshold = .1;
|
|
|
|
options_.gstep(1) = 1e-4;
|
|
options_.gstep(2) = .1;
|
|
|
|
options_.mode_check_neighbourhood_size = 0.05;
|
|
|
|
set_dynare_threads('local_state_space_iteration_2',3);
|
|
|
|
estimation(order=2,nobs=100,datafile=linear_model_data,mh_replic=0,filter_algorithm=sis);
|
|
|
|
else;
|
|
|
|
estimation(nobs=100,datafile=noisy_ar1_data,mh_replic=0);
|
|
|
|
end;
|