58 lines
1.6 KiB
Modula-2
58 lines
1.6 KiB
Modula-2
% =========================================================================
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% Stochastic growth model of Brock and Mirman (1972) with technology shock
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% Willi Mutschler, January 2018
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% willi@mutschler.eu
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% =========================================================================
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var
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C ${C}$ (long_name='consumption')
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K ${K}$ (long_name='capital')
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A ${Z}$ (long_name='total factor productivity')
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;
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varobs C;
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varexo
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eps_A ${\varepsilon_A}$ (long_name='TFP shock')
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;
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parameters
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alph ${\alpha}$ (long_name='capital share')
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betta ${\beta}$ (long_name='discount factor')
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rhoA ${\rho_A}$ (long_name='persistence TFP')
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sigA ${\sigma_A}$ (long_name='standard deviation TFP shock')
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;
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alph = 0.35;
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betta = 0.99;
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rhoA = 0.9;
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sigA = 0.6;
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model;
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[name='Euler equation']
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C^(-1)=alph*betta*C(+1)^(-1)*A(+1)*K^(alph-1);
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[name='capital law of motion']
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K=A*K(-1)^alph-C;
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[name='exogenous TFP process']
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log(A)=rhoA*log(A(-1))+sigA*eps_A;
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end;
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shocks;
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var eps_A = 1;
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end;
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steady_state_model;
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A = 1; % technology level
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K = (alph*betta*A)^(1/(1-alph)); % capital level
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C = A*K^alph-K; % consumption level
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end;
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steady; % compute steady state given the starting values
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resid; % check the starting values for the steady state
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check; % check Blanchard & Khan rank condition
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@#ifdef kronflag
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identification(ar=3, useautocorr=1, nodisplay, nograph, parameter_set=calibration, analytic_derivation_mode=@{kronflag});
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@#else
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identification(ar=3, useautocorr=1, nodisplay, nograph, parameter_set=calibration, analytic_derivation_mode=0);
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@#endif
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