63 lines
1.5 KiB
Modula-2
63 lines
1.5 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,uniform_pdf, .9499999999, 0.0288675134306;
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deltah,uniform_pdf, 0.45, 0.202072594216;
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lambda,uniform_pdf, 25.05, 14.4048892163;
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alpha1,uniform_pdf, 0.8, 0.115470053809;
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alpha2,uniform_pdf, 0.25, 0.144337567297;
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phi1,uniform_pdf, 0.8, 0.115470053809;
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phi2,uniform_pdf, 0.5, 0.288675134595;
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mud,uniform_pdf, 24.5, 14.1450815951;
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cdhat,uniform_pdf, 0.175, 0.0721687836487;
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cdbar,uniform_pdf, 0.175, 0.0721687836487;
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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,MH_jscale=2);
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estimation(datafile=dataHST,first_obs=1,nobs=500,mode_compute=4,mode_check,mh_replic=5000,mh_nblocks=1,mh_jscale=0.3);
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