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/*
* Example 1 from F. Collard (2001): "Stochastic simulations with DYNARE:
* A practical guide" (see "guide.pdf" in the documentation directory).
*/
/*
* Copyright © 2001-2022 Dynare Team
*
* This file is part of Dynare.
*
* Dynare 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.
*
* Dynare 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 Dynare. If not, see <https://www.gnu.org/licenses/>.
*/
var y, c, k, a, h, b;
varexo e, u;
parameters beta, rho, alpha, delta, theta, psi, tau;
alpha = 0.36;
rho = 0.95;
tau = 0.025;
beta = 0.99;
delta = 0.025;
psi = 0;
theta = 2.95;
phi = 0.1;
model;
exp(c)*theta*exp(h)^(1+psi)=(1-alpha)*exp(y);
exp(k) = beta*(((exp(b)*exp(c))/(exp(b(+1))*exp(c(+1))))
*(exp(b(+1))*alpha*exp(y(+1))+(1-delta)*exp(k)));
exp(y) = exp(a)*(exp(k(-1))^alpha)*(exp(h)^(1-alpha));
exp(k) = exp(b)*(exp(y)-exp(c))+(1-delta)*exp(k(-1));
a = rho*a(-1)+tau*b(-1) + e;
b = tau*a(-1)+rho*b(-1) + u;
end;
initval;
y = log(1.08068253095672);
c = log(0.80359242014163);
h = log(0.29175631001732);
k = log(11.08360443260358);
a = 0;
b = 0;
end;
resid;
shocks;
var e; stderr 0.009;
var u; stderr 0.009;
var e, u = phi*0.009*0.009;
end;
histval;
k(0) = log(11.08);
a(0) = log(1.2);
b(0) = log(1);
end;
stoch_simul(order=1,periods=1000);
forecast;
forecast;
conditional_forecast_paths;
var a;
periods 1 2 ;
values 0.01 -0.02;
var b;
periods 1 2;
values 0.05 0;
end;
conditional_forecast(parameter_set=calibration, controlled_varexo=(u,e));
oo_exp=oo_;
conditional_forecasts_exp=oo_.conditional_forecast;
oo_exp=oo_;
save results_exp_histval.mat oo_exp conditional_forecasts_exp
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