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var dx dy x y;
varexo e_x e_y;
parameters rho_x rho_y b a1 a2;
rho_x = 0.5;
rho_y = -0.3;
b = 1;
a1 = -0.1;
a2 = 0.2;
model;
dx = rho_x*dx(-1)+a1*(x(-1)-b*y(-1))+e_x;
dy = rho_y*dy(-1)+a2*(x(-1)-b*y(-1))+e_y;
x = x(-1)+dx;
y = y(-1)+dy;
end;
steady_state_model;
dx=0;
x=0;
dy=0;
y=0;
end;
estimated_params;
rho_x,NORMAL_PDF,0.5,0.1;
rho_y,NORMAL_PDF,-0.3,0.1;
b,NORMAL_PDF,1,0.1;
a1,NORMAL_PDF,-0.1,0.1;
a2,NORMAL_PDF,0.2,0.1;
stderr e_x,INV_GAMMA_PDF,0.01,inf;
stderr e_y,INV_GAMMA_PDF,0.01,inf;
end;
varobs x y;
estimation(datafile=data2,silent_optimizer,nobs=100,mh_replic=0,diffuse_filter);
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