106 lines
2.7 KiB
Modula-2
106 lines
2.7 KiB
Modula-2
% Model of An and Schorfheide (2007)
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% Created by Marco Ratto (@rattoma, marco.ratto@ec.europa.eu)
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% =========================================================================
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% Copyright © 2010-2020 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
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% =========================================================================
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var pie $\pi$ y R g z YGR INFL INT;
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varexo e_R $\varepsilon_R$ e_g e_z;
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parameters tau $\tau$ kap $\kappa$ psi1 psi2 rhoR rhog rhoz rr_steady pi_steady gam_steady std_R std_g std_z;
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tau = 2;
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kap = 0.15;
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psi1 = 1.5;
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psi2 = 1;
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rhoR = 0.96;
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rhog = 0.95;
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rhoz = 0.65;
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rr_steady = 0.4;
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pi_steady = 4.0;
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gam_steady = 0.5;
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std_R = 0.2;
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std_g = 0.8;
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std_z = 0.45;
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model;
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y = y(+1) + g - g(+1) - 1/tau*(R-pie(+1)-z(+1));
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pie = 1/(1+rr_steady/400)*pie(+1)+kap*(y-g);
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R = rhoR*R(-1)+(1-rhoR)*psi1*pie+(1-rhoR)*psi2*(y-y(-1)+z)+e_R*std_R;
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g = rhog*g(-1)+e_g*std_g;
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z = rhoz*z(-1)+e_z*std_z;
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YGR = gam_steady+100*(y-y(-1)+z);
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INFL = pi_steady+400*pie;
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INT = pi_steady+rr_steady+4*gam_steady+400*R;
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end;
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steady_state_model;
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pie=0;
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y=0;
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R=0;
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g=0;
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z=0;
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YGR=gam_steady;
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INFL = pi_steady;
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INT = pi_steady+rr_steady+4*gam_steady;
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end;
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estimated_params;
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tau, gamma_pdf, 2, 0.5;
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kap, beta_pdf, 0.2, 0.1;
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psi1, gamma_pdf, 1.5, 0.25;
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psi2, gamma_pdf, 0.5, 0.25;
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rhoR, beta_pdf, 0.5, 0.2;
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rhog, beta_pdf, 0.8, 0.1;
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rhoz, beta_pdf, 0.66, 0.15;
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rr_steady, gamma_pdf, 0.8, 0.5;
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pi_steady, gamma_pdf, 0.8, 0.5;
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gam_steady, gamma_pdf, 0.8, 0.5;
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std_R, inv_gamma_pdf, 0.05, inf;
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std_g, inv_gamma_pdf, 0.05, inf;
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std_z, inv_gamma_pdf, 0.05, inf;
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end;
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steady;
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check;
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varobs YGR INFL INT;
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shocks;
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var e_g;
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stderr 1;
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var e_R;
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stderr 1;
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var e_z;
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stderr 1;
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end;
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identification(tex);
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identification(tex,advanced=1,max_dim_cova_group=3,prior_mc=250,no_identification_spectrum, no_identification_minimal);
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collect_latex_files;
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[status, cmdout]=system(['pdflatex -halt-on-error -interaction=nonstopmode ' M_.fname '_TeX_binder.tex']);
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if status
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cmdout
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error('TeX-File did not compile.')
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end
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close all;
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identification(tex,advanced=0,max_dim_cova_group=3,prior_mc=50,grid_nbr=100);
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