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@#include "ls2003_model.inc"
estimated_params;
psi1 , gamma_pdf,1.5,0.5;
psi2 , gamma_pdf,0.25,0.125;
psi3 , gamma_pdf,0.25,0.125;
rho_R ,beta_pdf,0.5,0.2;
alpha ,beta_pdf,0.3,0.1;
rr ,gamma_pdf,2.5,1;
k , gamma_pdf,0.5,0.25;
tau ,gamma_pdf,0.5,0.2;
rho_q ,beta_pdf,0.4,0.2;
rho_A ,beta_pdf,0.5,0.2;
rho_ys ,beta_pdf,0.8,0.1;
rho_pies,beta_pdf,0.7,0.15;
/*
stderr e_R,inv_gamma_pdf,(1.2533),(0.6551);
stderr e_q,inv_gamma_pdf,(2.5066),(1.3103);
stderr e_A,inv_gamma_pdf,(1.2533),(0.6551);
stderr e_ys,inv_gamma_pdf,(1.2533),(0.6551);
stderr e_pies,inv_gamma_pdf,(1.88),(0.9827);
*/
stderr e_R,inv_gamma_pdf,(1.2533/3),(0.6551/10);
stderr e_q,inv_gamma_pdf,(2.5066/3),(1.3103/10);
stderr e_A,inv_gamma_pdf,(1.2533/3),(0.6551/10);
stderr e_ys,inv_gamma_pdf,(1.2533/3),(0.6551/10);
stderr e_pies,inv_gamma_pdf,(1.88/3),(0.9827/10);
end;
// endogenous prior restrictions
irf_calibration(relative_irf);
y(1:4), e_ys, [ -50, 50]; //[first year response]
//y(1:4), e_ys, [-inf -50]; //[first year response]
@#for ilag in 21:40
R_obs(@{ilag}), e_ys, [0, 6]; //[response after 4th year to 10th year]
@#endfor
end;
/*
irf_calibration;
y(1:4), e_ys, [-inf, -0.4]; //[first year response]
@#for ilag in 21:40
R_obs(@{ilag}), e_ys, [0, 0.25]; //[response after 4th year to 10th year]
@#endfor
end;
*/
moment_calibration;
//y_obs,y_obs, [0.8, 1.1]; //[unconditional variance]
y_obs,y_obs(1:4), +; //[first year acf]
//y_obs,pie_obs(-4:4), -; //[ccf]
@#for ilag in -2:2
y_obs,R_obs(@{ilag}), -; //[ccf]
@#endfor
@#for ilag in -4:4
y_obs,pie_obs(@{ilag}), -; //[ccf]
@#endfor
end;
options_.prior_mc=5000;
prior simulate;
prior moments(distribution);
if isoctave()
sensitivity(prior_range=0, nodisplay, graph_format=(eps),Nsam=512);
else
sensitivity(prior_range=0, nodisplay, graph_format=(fig),Nsam=512);
end
/*
estimation(datafile='data_ca1.m',first_obs=8,nobs=79,mh_nblocks=2, mode_file = ls2003a_mode,
prefilter=1,mh_jscale=0.5,mh_replic=5000, mode_compute=0, mh_drop=0.6, bayesian_irf);
//stoch_simul(irf=40, order=1, relative_irf) y_obs R_obs pie_obs dq de;
stoch_simul(irf=40, order=1) y_obs R_obs pie_obs dq de;
*/
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