1 // from Schorfheide (2000)
   2 
   3 var P C W R K D N L Y gA gM gp_obs gy_obs;
   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 gp_obs = (P/P(-1))*gM(-1)/gA;
  29 gy_obs = (Y/Y(-1))*gA;
  30 end;
  31 
  32 steady;
  33 check;
  34 
  35 estimated_params;
  36 alp, beta_pdf, 0.356, 0.02; 
  37 bet, beta_pdf, 0.993, 0.002;
  38 gam, normal_pdf, 0.0085, 0.003;
  39 gMstar, normal_pdf, 1.0002, 0.007;
  40 rho, beta_pdf, 0.129, 0.223;
  41 psi, beta_pdf, 0.65, 0.05;
  42 del, beta_pdf, 0.01, 0.005;
  43 stderr e_a, inv_gamma_pdf, 0.035449, inf;
  44 stderr e_m, inv_gamma_pdf, 0.008862, inf;
  45 end;
  46 
  47 varobs gp_obs gy_obs;
  48 
  49 estimation(datafile=fsdat,nobs=192,mh_replic=500000,mh_jscale=0.8,loglinear);
  50 //estimation(datafile=fsdat,nobs=192,mh_replic=10000,mh_jscale=0.8,loglinear,mode_compute=0,mode_file=fs2000B_mode);
  51 //estimation(datafile=fsdat,nobs=192,mh_replic=5000,mh_jscale=0.8,loglinear,mode_compute=0,mode_file=fs2000B_mode,load_mh_file);
  52