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var x y z;
varexo u v;
parameters a d e f g;
a = 0.98;
g = 0.25;
d = 0.80;
e = 0.90;
f = 0.50;
model;
z = a*z(-1) + u + g*u(-1);
y = d*y(1) + z;
x = e*x(-1) + f*y + v;
end;
steady;
check;
shocks;
var u = 0.01;
var v = 0.01;
end;
stoch_simul(order=1,irf=0,periods=10000);
save('mydata.mat','x','y','z');
estimated_params;
e, beta_pdf, 0.90, 0.05;
d, beta_pdf, 0.80, 0.05;
g, beta_pdf, 0.25, 0.05;
end;
varobs x, y;
//estimation(datafile=mydata,order=1,first_obs=5001,nobs=100,mh_replic=0);
options_.particle.status = 1;
options_.particle.initialization = 1;
options_.particle.number_of_particles = 1000;
options_.mode_check_neighbourhood_size = 0.05;
set_dynare_threads('local_state_space_iteration2',2);
estimated_params_init;
e, 0.9009;
d, 0.7912;
g, 0.2448;
end;
estimation(datafile=mydata,order=2,first_obs=5001,nobs=100,mh_replic=0,mode_compute=8,silent_optimizer,filter_algorithm=sis);
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