63 lines
1.2 KiB
Modula-2
63 lines
1.2 KiB
Modula-2
// Estimates the Hansen Sargent and Tallarini model by maximum likelihood.
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var s c h k i d dhat dbar mus muc muh gamma R;
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varexo e_dhat e_dbar;
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parameters lambda deltah deltak mud b bet phi1 phi2 cdbar alpha1 alpha2 cdhat;
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bet=0.9971;
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deltah=0.682;
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lambda=2.443;
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alpha1=0.813;
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alpha2=0.189;
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phi1=0.998;
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phi2=0.704;
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mud=13.710;
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cdhat=0.155;
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cdbar=0.108;
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b=32;
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deltak=0.975;
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model(linear);
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R=deltak+gamma;
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R*bet=1;
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s=(1+lambda)*c-lambda*h(-1);
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h=deltah*h(-1)+(1-deltah)*c;
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k=deltak*k(-1)+i;
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c+i=gamma*k(-1)+d;
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mus=b-s;
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muc=(1+lambda)*mus+(1-deltah)*muh;
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muh=bet*(deltah*muh(+1)-lambda*mus(+1));
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muc=bet*R*muc(+1);
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d=mud+dbar+dhat;
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dbar=(phi1+phi2)*dbar(-1) - phi1*phi2*dbar(-2) + cdbar*e_dbar;
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dhat=(alpha1+alpha2)*dhat(-1) - alpha1*alpha2*dhat(-2) + cdhat*e_dhat;
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end;
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shocks;
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var e_dhat;
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stderr 1;
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var e_dbar;
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stderr 1;
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end;
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// stoch_simul(irf=0, periods=500);
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// save dataHST c i;
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estimated_params;
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bet, .91, .9, .99999;
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deltah, 0.4, 0.1, 0.8;
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lambda, 2, 0.1, 50;
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alpha1, 0.8, 0.6, 0.99999;
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alpha2, 0.2, 0.01, 0.5;
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phi1, 0.8, 0.6, 0.99999;
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phi2, 0.5, 0.3, 0.9;
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mud, 10, 1, 50;
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cdhat, 0.1, 0.05, 0.2;
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cdbar, 0.1, 0.05, 0.2;
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end;
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varobs c i;
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estimation(datafile=dataHST,first_obs=1,nobs=500,mode_compute=4,mode_check);
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