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example.mod
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example.mod
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/* © Stéphane Adjemian 2017 <stephane.adjemian@univ-lemans.fr>
*
* This code is free software: you can redistribute it and/or modify
* it under the terms of the GNU General Public License as published by
* the Free Software Foundation, either version 3 of the License, or
* (at your option) any later version.
*
* This code is distributed in the hope that it will be useful,
* but WITHOUT ANY WARRANTY; without even the implied warranty of
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
* GNU General Public License for more details.
*
* You should have received a copy of the GNU General Public License
* along with the code. If not, see <http://www.gnu.org/licenses/>.
*/
var y;
varexo e;
parameters t1 t2 t3 t4 t5 t6 t7 t8 t9 ;
model;
y = e + t1*e(-1) + t2*e(-2) + t3*e(-3) + t4*e(-4) + t5*e(-5) + t6*e(-6) + t7*e(-7) + t8*e(-8) + t9*e(-9) ;
end;
z = dseries(0, 1950Q1, 'y');
u = dseries(randn(2050Q4-1950Q1+1,1), 1950Q1, 'u');
rho = .50; sig = .01;
from $1950Q2 to $2050Q4 do z(t) = rho*z(t-1) + sig*u(t)
data(series=z, first_obs=1970Q1, last_obs=2050Q1);
estimated_params;
t1, rho;
t2, rho^2;
t3, rho^3;
t4, rho^4;
t5, rho^5;
t6, rho^6;
t7, rho^7;
t8, rho^8;
t9, rho^9;
stderr e, 0.02;
end;
varobs y;
estimation(mode_check);