25 lines
502 B
Modula-2
25 lines
502 B
Modula-2
var dx dy x y;
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varexo e_x e_y;
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parameters rho_x rho_y;
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rho_x = 0.5;
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rho_y = -0.3;
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model;
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dx = rho_x*dx(-1)+e_x;
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dy = rho_y*dy(-1)+e_y;
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x = x(-1)+dx;
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y = y(-1)+dy;
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end;
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estimated_params;
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rho_x,NORMAL_PDF,0.5,0.1;
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rho_y,NORMAL_PDF,-0.3,0.1;
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stderr e_x,INV_GAMMA_PDF,0.01,inf;
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stderr e_y,INV_GAMMA_PDF,0.01,inf;
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end;
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varobs x y;
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options_.unit_root_vars = {'x'; 'y'};
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estimation(datafile=data1,nobs=1000,mh_replic=0,load_mh_file,mode_compute=0,mode_file=mod1b_mode,lik_init=2); |