var x dy y;
varexo e;

parameters mu rho sig;
mu  = 0.4;
rho = 0.5;
sig = 0.01;

model;
    x = rho*x(-1) + e;
    dy = x + mu; 
    y = y(-1) + dy;
end;

check;

shocks;
    var e; stderr sig;
end;

varobs y;

unit_root_vars y;

observation_trends;
    y (mu);
end;

estimated_params;

    mu,         0.4, -5, 5;
    rho,        0.5, -1, 1;
    stderr e,   .01,  0, 5;

end;


%simulation
stoch_simul(order=1,periods=4000,nograph);

%estimation
//estimation(datafile=ar_data,mh_replic=0,first_obs=1,nobs=200,mode_compute=7,mode_check);