%%% dynare usmodel_alice.mod

var   labobs robs pinfobs dy dc dinve dw  ewma epinfma  zcapf rkf kf pkf    cf invef yf labf wf rrf mc zcap rk k pk    c inve y lab pinf w r a  b g qs  ms  spinf sw kpf kp ;    
 
varexo ea eb eg  eqs  em  epinf ew  ;  
 
parameters curvw cgy curvp constelab constepinf constebeta cmaw cmap calfa czcap cbeta csadjcost ctou csigma chabb cfc 
cindw cprobw cindp cprobp csigl clandaw  crpi crdy cry crr crhoa crhoas crhob crhog crhols crhoqs crhoms crhopinf crhow  
ctrend conster cg cgamma clandap cbetabar cr cpie crk cw cikbar cik clk cky ciy ccy crkky cwhlc cwly ;

// fixed parameters
ctou=.025;
clandaw=1.5;
cg=0.18;
curvp=10;
curvw=10;

// estimated parameters initialisation
calfa=.24;
cgamma=1.004;
cbeta=.9995;
csigma=1.5;
cpie=1.005;
cfc=1.5;
cgy=0.51;

csadjcost= 6.0144;
chabb=    0.6361;    
cprobw=   0.8087;
csigl=    1.9423;
cprobp=   0.6;
cindw=    0.3243;
cindp=    0.47;
czcap=    0.2696;
crpi=     1.488;
crr=      0.8762;
cry=      0.0593;
crdy=     0.2347;

crhoa=    0.9977;
crhob=    0.5799;
crhog=    0.9957;
crhols=   0.9928;
crhoqs=   0.7165;
crhoas=1; 
crhoms=0;
crhopinf=0;
crhow=0;
cmap = 0;
cmaw  = 0;

// derived from steady state
clandap=cfc;
cbetabar=cbeta*cgamma^(-csigma);
cr=cpie/(cbeta*cgamma^(-csigma));
crk=(cbeta^(-1))*(cgamma^csigma) - (1-ctou);
cw = (calfa^calfa*(1-calfa)^(1-calfa)/(clandap*crk^calfa))^(1/(1-calfa));
cikbar=(1-(1-ctou)/cgamma);
cik=(1-(1-ctou)/cgamma)*cgamma;
clk=((1-calfa)/calfa)*(crk/cw);
cky=cfc*(clk)^(calfa-1);
ciy=cik*cky;
ccy=1-cg-cik*cky;
crkky=crk*cky;
cwhlc=(1/clandaw)*(1-calfa)/calfa*crk*cky/ccy;
cwly=1-crk*cky;

constebeta=100*(1/cbeta-1);
ctrend=(cgamma-1)*100;
conster=(cr-1)*100;
constepinf=(cpie-1)*100;
constelab=0;

model(linear); 

// flexible economy

	      0*(1-calfa)*a + 1*a =  calfa*rkf+(1-calfa)*(wf)  ;
	      zcapf =  (1/(czcap/(1-czcap)))* rkf  ;
	      rkf =  (wf)+labf-kf ;
	      kf =  kpf(-1)+zcapf ;
	      invef = (1/(1+cbetabar*cgamma))* (  invef(-1) + cbetabar*cgamma*invef(1)+(1/(cgamma^2*csadjcost))*pkf ) +qs ;
          pkf = -rrf-0*b+(1/((1-chabb/cgamma)/(csigma*(1+chabb/cgamma))))*b +(crk/(crk+(1-ctou)))*rkf(1) +  ((1-ctou)/(crk+(1-ctou)))*pkf(1) ;
	      cf = (chabb/cgamma)/(1+chabb/cgamma)*cf(-1) + (1/(1+chabb/cgamma))*cf(+1) +((csigma-1)*cwhlc/(csigma*(1+chabb/cgamma)))*(labf-labf(+1)) - (1-chabb/cgamma)/(csigma*(1+chabb/cgamma))*(rrf+0*b) + b ;
	      yf = ccy*cf+ciy*invef+g  +  crkky*zcapf ;
	      yf = cfc*( calfa*kf+(1-calfa)*labf +a );
	      wf = csigl*labf 	+(1/(1-chabb/cgamma))*cf - (chabb/cgamma)/(1-chabb/cgamma)*cf(-1) ;
	      kpf =  (1-cikbar)*kpf(-1)+(cikbar)*invef + (cikbar)*(cgamma^2*csadjcost)*qs ;

// sticky price - wage economy

	      mc =  calfa*rk+(1-calfa)*(w) - 1*a - 0*(1-calfa)*a ;
	      zcap =  (1/(czcap/(1-czcap)))* rk ;
	      rk =  w+lab-k ;
	      k =  kp(-1)+zcap ;
	      inve = (1/(1+cbetabar*cgamma))* (  inve(-1) + cbetabar*cgamma*inve(1)+(1/(cgamma^2*csadjcost))*pk ) +qs ;
          pk = -r+pinf(1)-0*b +(1/((1-chabb/cgamma)/(csigma*(1+chabb/cgamma))))*b + (crk/(crk+(1-ctou)))*rk(1) +  ((1-ctou)/(crk+(1-ctou)))*pk(1) ;
	      c = (chabb/cgamma)/(1+chabb/cgamma)*c(-1) + (1/(1+chabb/cgamma))*c(+1) +((csigma-1)*cwhlc/(csigma*(1+chabb/cgamma)))*(lab-lab(+1)) - (1-chabb/cgamma)/(csigma*(1+chabb/cgamma))*(r-pinf(+1) + 0*b) +b ;
	      y = ccy*c+ciy*inve+g  +  1*crkky*zcap ;
	      y = cfc*( calfa*k+(1-calfa)*lab +a );
	      pinf =  (1/(1+cbetabar*cgamma*cindp)) * ( cbetabar*cgamma*pinf(1) +cindp*pinf(-1) 
               +((1-cprobp)*(1-cbetabar*cgamma*cprobp)/cprobp)/((cfc-1)*curvp+1)*(mc)  )  + spinf ; 
	      w =  (1/(1+cbetabar*cgamma))*w(-1)
               +(cbetabar*cgamma/(1+cbetabar*cgamma))*w(1)
               +(cindw/(1+cbetabar*cgamma))*pinf(-1)
               -(1+cbetabar*cgamma*cindw)/(1+cbetabar*cgamma)*pinf
               +(cbetabar*cgamma)/(1+cbetabar*cgamma)*pinf(1)
               +(1-cprobw)*(1-cbetabar*cgamma*cprobw)/((1+cbetabar*cgamma)*cprobw)*(1/((clandaw-1)*curvw+1))*
               (csigl*lab + (1/(1-chabb/cgamma))*c - ((chabb/cgamma)/(1-chabb/cgamma))*c(-1) -w) 
               + 1*sw ;
	      r =  crpi*(1-crr)*pinf
               +cry*(1-crr)*(y-yf)     
               +crdy*(y-yf-y(-1)+yf(-1))
               +crr*r(-1)
               +ms  ;
	      a = crhoa*a(-1)  + ea;
	      b = crhob*b(-1) + eb;
	      g = crhog*(g(-1)) + eg + cgy*ea;
	      qs = crhoqs*qs(-1) + eqs;
	      ms = crhoms*ms(-1) + em;
	      spinf = crhopinf*spinf(-1) + epinfma - cmap*epinfma(-1);
	          epinfma=epinf;
	      sw = crhow*sw(-1) + ewma - cmaw*ewma(-1) ;
	          ewma=ew; 
	      kp =  (1-cikbar)*kp(-1)+cikbar*inve + cikbar*cgamma^2*csadjcost*qs ;

// measurment equations

dy=y-y(-1)+ctrend;
dc=c-c(-1)+ctrend;
dinve=inve-inve(-1)+ctrend;
dw=w-w(-1)+ctrend;
pinfobs = 1*(pinf) + constepinf;
robs =    1*(r) + conster;
labobs = lab + constelab;

end; 

steady_state_model;

cpie=1+constepinf/100;
cgamma=1+ctrend/100 ;
cbeta=1/(1+constebeta/100);

clandap=cfc;
cbetabar=cbeta*cgamma^(-csigma);
cr=cpie/(cbeta*cgamma^(-csigma));
crk=(cbeta^(-1))*(cgamma^csigma) - (1-ctou);
cw = (calfa^calfa*(1-calfa)^(1-calfa)/(clandap*crk^calfa))^(1/(1-calfa));
cikbar=(1-(1-ctou)/cgamma);
cik=(1-(1-ctou)/cgamma)*cgamma;
clk=((1-calfa)/calfa)*(crk/cw);
cky=cfc*(clk)^(calfa-1);
ciy=cik*cky;
ccy=1-cg-cik*cky;
crkky=crk*cky;
cwhlc=(1/clandaw)*(1-calfa)/calfa*crk*cky/ccy;
cwly=1-crk*cky;

conster=(cr-1)*100;

end;


steady;
check;

shocks;
var ea;
stderr 0.4618;
var eb;
stderr 1.8513;
var eg;
stderr 0.6090;
var eqs;
stderr 0.6017;
var em;
stderr 0.2397;
var epinf;
stderr 0.1455;
var ew;
stderr 0.2089;
end;



estimated_params;
// PARAM NAME, INITVAL, LB, UB, PRIOR_SHAPE, PRIOR_P1, PRIOR_P2, PRIOR_P3, PRIOR_P4, JSCALE
// PRIOR_SHAPE: BETA_PDF, GAMMA_PDF, NORMAL_PDF, INV_GAMMA_PDF
stderr ea,0.4618,0.01,3,INV_GAMMA_PDF,0.1,2;
stderr eb,0.1818513,0.025,5,INV_GAMMA_PDF,0.1,2;
stderr eg,0.6090,0.01,3,INV_GAMMA_PDF,0.1,2;
stderr eqs,0.46017,0.01,3,INV_GAMMA_PDF,0.1,2;
stderr em,0.2397,0.01,3,INV_GAMMA_PDF,0.1,2;
stderr epinf,0.1455,0.01,3,INV_GAMMA_PDF,0.1,2;
stderr ew,0.2089,0.01,3,INV_GAMMA_PDF,0.1,2;
crhoa,.9676 ,.01,.9999,BETA_PDF,0.5,0.20;
crhob,.2703,.01,.9999,BETA_PDF,0.5,0.20;
crhog,.9930,.01,.9999,BETA_PDF,0.5,0.20;
crhoqs,.5724,.01,.9999,BETA_PDF,0.5,0.20;
crhoms,.3,.01,.9999,BETA_PDF,0.5,0.20;
crhopinf,.8692,.01,.9999,BETA_PDF,0.5,0.20;
crhow,.9546,.001,.9999,BETA_PDF,0.5,0.20;
cmap,.7652,0.01,.9999,BETA_PDF,0.5,0.2;
cmaw,.8936,0.01,.9999,BETA_PDF,0.5,0.2;
csadjcost,6.3325,2,15,NORMAL_PDF,4,1.5;
csigma,1.2312,0.25,3,NORMAL_PDF,1.50,0.375;
chabb,0.7205,0.001,0.99,BETA_PDF,0.7,0.1;
cprobw,0.7937,0.3,0.95,BETA_PDF,0.5,0.1;
csigl,2.8401,0.25,10,NORMAL_PDF,2,0.75;
cprobp,0.7813,0.5,0.95,BETA_PDF,0.5,0.10;
cindw,0.4425,0.01,0.99,BETA_PDF,0.5,0.15;
cindp,0.3291,0.01,0.99,BETA_PDF,0.5,0.15;
czcap,0.2648,0.01,1,BETA_PDF,0.5,0.15;
cfc,1.4672,1.0,3,NORMAL_PDF,1.25,0.125;
crpi,1.7985,1.0,3,NORMAL_PDF,1.5,0.25;
crr,0.8258,0.5,0.975,BETA_PDF,0.75,0.10;
cry,0.0893,0.001,0.5,NORMAL_PDF,0.125,0.05;
crdy,0.2239,0.001,0.5,NORMAL_PDF,0.125,0.05;
constepinf,0.7,0.1,2.0,GAMMA_PDF,0.625,0.1;//20;
constebeta,0.7420,0.01,2.0,GAMMA_PDF,0.25,0.1;//0.20;
constelab,1.2918,-10.0,10.0,NORMAL_PDF,0.0,2.0;
ctrend,0.3982,0.1,0.8,NORMAL_PDF,0.4,0.10;
cgy,0.05,0.01,2.0,NORMAL_PDF,0.5,0.25;
calfa,0.24,0.01,1.0,NORMAL_PDF,0.3,0.05;
end;

varobs dy dc dinve labobs pinfobs dw robs;

estimation(optim=('MaxIter',200),datafile=usmodel_data_alice,mode_compute=4,first_obs=71,presample=4,lik_init=2,prefilter=0,mh_replic=2000,mh_nblocks=2,mh_jscale=0.20,mh_drop=0.2);