44 lines
820 B
Modula-2
44 lines
820 B
Modula-2
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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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// ML estimation setup
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// parameter name, initial value, boundaries_low, ..._up;
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rho, 0, -0.99, 0.999; // use this for unconstrained max likelihood
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// rho, .98, .975, .999 ; // use this for long run risk model
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// sig_x, .0004,.0001,.05 ; // use this for the long run risk model
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sig_x, .0005, .00000000001, .01; // use this for unconstrained max likelihood
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sig_u, .007,.001, .1;
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mu_y, .014, .0001, .04;
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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=0,mode_compute=4,mode_check); |