66 lines
1.3 KiB
Modula-2
66 lines
1.3 KiB
Modula-2
var pie y R g z YGR INFL INT;
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varexo e_R e_g e_z;
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parameters tau kap 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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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;
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identification(advanced=1,max_dim_cova_group=3,prior_mc=250);
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