68 lines
1.1 KiB
Modula-2
68 lines
1.1 KiB
Modula-2
// --+ options: json=compute, stochastic +--
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var y x z x1 z1 ;
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varexo ey ex ez;
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parameters alpha beta;
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alpha = 1.0/3.0;
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beta = 0.77;
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model;
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[name='eq4x1']
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x1 = .5*x1(-1) + ex;
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[name='eq4z1']
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z1 = .8*z1(-1) + ez;
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[name='eq4x']
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x = x1^2/(1+x1^2);
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[name='eq4z']
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z = z1^2/(1+z1^2);
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[name='eq4y']
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y = alpha*x + (1-alpha)*z + beta*((1-alpha)*y(-1)+alpha*y(-2))+ey;
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end;
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/*
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** Artificial dataset
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*/
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shocks;
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var ex = .1;
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var ez = .1;
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var ey = .1;
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end;
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histval;
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x1(0) = 0;
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z1(0) = 0;
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x(0) = 0;
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z(0) = 0;
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y(0) = 0;
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y(-1) = 0;
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end;
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simulations = simul_backward_model([], 102);
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/*
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** Estimation by NLS
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*/
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eparams.alpha = .7;
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eparams.beta = 1;
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simulations.ey = dseries(NaN); // Reset residuals of the equation to NaN.
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if ~isoctave
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% Under Octave, estimate.nls (provided by matlab/+estimate/nls.m) is not
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% accessible because there is a function which has the same name as the
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% +estimate package, namely matlab/cli/estimate.m. This is a known Octave
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% bug (https://savannah.gnu.org/bugs/?func=detailitem&item_id=46889).
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estimate.nls('eq4y', eparams, simulations, dates('3Y'):simulations.dates(end));
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end
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