// from Schorfheide (2000)

var P C W R K D N L Y gA gM;
varexo e_a e_m;

parameters alp bet gam gMstar rho psi del;

alp = 0.33;
bet = 0.99;
gam = 0.003;
gMstar = 1.011;
rho = 0.7;
psi = 0.787;
del = 0.02;

model;
P/(C(+1)*P(+1)*gM) = bet*P(+1)*(alp*gA(+1)^(-alp)*K^(alp-1)*N(+1)^(1-alp)+(1-del)/gA(+1))/(C(+2)*P(+2)*gM(+1));
W = L/N;
(psi/(1-psi))*(C*P/(1-N)) = W ;
R = P*(1-alp)*gA^(-alp)*K(-1)^alp*N^(-alp)/W;
1/(C*P) = bet*R/(gM*C(+1)*P(+1));
C+K = Y+(1-del)*K(-1)/gA;
P*C = gM;
gM-1+D = L;
Y = K(-1)^alp*N^(1-alp)*gA^(-alp);
log(gA) = gam + e_a;
log(gM) = (1-rho)*log(gMstar) + rho*log(gM(-1))+e_m;
end;

initval;
K = 6;
P = 2.25;
C = 0.45;
W = 4;
R = 1.02;
D = 0.85;
N = 0.19;
L = 0.86;
Y = 0.6;
gA = exp(gam);
gM = gMstar;
end;

shocks;
var e_a; stderr 0.014;
var e_m; stderr 0.005;
end;

steady;
check;

stoch_simul(order=2);