1 // from Schorfheide (2000)
   2 
   3 var P C W R K D N L Y gA gM;
   4 varexo e_a e_m;
   5 
   6 parameters alp bet gam gMstar rho psi del;
   7 
   8 alp = 0.33;
   9 bet = 0.99;
  10 gam = 0.003;
  11 gMstar = 1.011;
  12 rho = 0.7;
  13 psi = 0.787;
  14 del = 0.02;
  15 
  16 model;
  17 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));
  18 W = L/N;
  19 (psi/(1-psi))*(C*P/(1-N)) = W ;
  20 R = P*(1-alp)*gA^(-alp)*K(-1)^alp*N^(-alp)/W;
  21 1/(C*P) = bet*R/(gM*C(+1)*P(+1));
  22 C+K = Y+(1-del)*K(-1)/gA;
  23 P*C = gM;
  24 gM-1+D = L;
  25 Y = K(-1)^alp*N^(1-alp)*gA^(-alp);
  26 log(gA) = gam + e_a;
  27 log(gM) = (1-rho)*log(gMstar) + rho*log(gM(-1))+e_m;
  28 end;
  29 
  30 initval;
  31 K = 6;
  32 P = 2.25;
  33 C = 0.45;
  34 W = 4;
  35 R = 1.02;
  36 D = 0.85;
  37 N = 0.19;
  38 L = 0.86;
  39 Y = 0.6;
  40 gA = exp(gam);
  41 gM = gMstar;
  42 end;
  43 
  44 shocks;
  45 var e_a; stderr 0.014;
  46 var e_m; stderr 0.005;
  47 end;
  48 
  49 steady;
  50 check;
  51 
  52 stoch_simul(order=2);