46 lines
664 B
Modula-2
46 lines
664 B
Modula-2
//Tests Identification command with ML and unit roots/diffuse filter option;
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//Should not work because of observed unit root variable
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var y delta_y x z;
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varexo eps_x eps_z;
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parameters rho sigma_z sigma_x;
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// set parameter values
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sigma_z=0.001;
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sigma_x=0.01;
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rho=0.9;
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model;
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z=rho*z(-1)+sigma_z*eps_z;
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x=x(-1)+sigma_x*eps_x;
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y=x+z;
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delta_y=y-y(-1);
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end;
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steady_state_model;
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x=0;
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z=0;
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y=0;
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delta_y=0;
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end;
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//set shock variances
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shocks;
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var eps_z=1;
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var eps_x=1;
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end;
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steady;
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check;
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varobs y delta_y;
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stoch_simul(order=1,irf=0);
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estimated_params;
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rho, 0.9;
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sigma_z, 0.01;
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sigma_x, 0.01;
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end;
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identification(diffuse_filter,advanced=1,prior_trunc=0); |