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var x
y
z;
varexo u
v;
parameters a1 a2 a3 a4
b1 b2 b3
c1;
a1 = .50;
a2 = .00;
a3 = .70;
a4 = .40;
b1 = .90;
b2 = .00;
b3 = .80;
c1 = .95;
model;
y = a1*x(-1) + a2*x(1) + a3*z + a4*y(-1);
z = b1*z(-1) + b2*z(1) + b3*x + u;
x = c1*x(-1) + v;
end;
shocks;
var u; stderr .05;
var v; stderr .05;
end;
steady;
check;
stoch_simul(irf=0, periods=10000);
datatomfile('linear_model_data');
estimated_params;
a1, .50;
a2, .00;
a3, .70;
a4, .40;
b1, .90;
b2, .00;
b3, .80;
c1, .95;
stderr u, .05;
stderr v, .05;
end;
varobs y, z;
options_.particle.status = 1;
options_.particle.initialization = 1;
options_.particle.pruning = false;
options_.particle.number_of_particles = 20000;
options_.particle.resampling.status = 'systematic';
options_.particle.resampling.neff_threshold = .1;
options_.gstep(1) = 1e-4;
options_.gstep(2) = .1;
options_.mode_check_neighbourhood_size = 0.05;
set_dynare_threads('local_state_space_iteration_2',3);
estimation(order=2,nobs=100,datafile=linear_model_data,mh_replic=0,filter_algorithm=sis);
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