%=========================================================================%
% Schmitt-Grohe and Uribe (2003, JIE)
% Ambrogio Cesa-Bianchi, July 2012
%=========================================================================%
% If you find any bugs when using this file or want to give me comments 
% and suggestions you can email me at ambrogio.cesabianchi@gmail.com


var  d c h y inv k a lambdaa  tb ca riskpremium r 
       y_obs;  

varexo e;                                    
                                             
parameters  gammaa, omegaa, rhoo, sigmae, deltaa, psii, alphaa, phii, betaa, r_w, d_bar;

		alphaa  = 0.32;
		rhoo    = 0.42;
		phii    = 0.028;
		r_w    = 0.04;		
        gammaa  = 2;
		omegaa  = 1.455;
		psii    = 0.000742;
		deltaa  = 0.1;
		sigmae = 0.0129;
		betaa   = 1/(1+r_w);
		h_ss   = ((1-alphaa)*(alphaa/(r_w+deltaa))^(alphaa/(1-alphaa)))^(1/(omegaa-1)); 
		k_ss   = h_ss/(((r_w+deltaa)/alphaa)^(1/(1-alphaa)));
		inv_ss   = deltaa*k_ss;                                                     
		y_ss   = (k_ss^alphaa)*(h_ss^(1-alphaa));                                   
		d_bar  = 0.7442;
		d_ss   = d_bar;                                                        
		c_ss   = y_ss-inv_ss-r_w*d_ss;
		tb_ss  = y_ss-c_ss-inv_ss;

model;
    d = (1+exp(r(-1)))*d(-1)- exp(y)+exp(c)+exp(inv)+(phii/2)*(exp(k)-exp(k(-1)))^2;
    exp(y) = exp(a)*(exp(k(-1))^alphaa)*(exp(h)^(1-alphaa));
    exp(k) = exp(inv)+(1-deltaa)*exp(k(-1)); 
    exp(lambdaa)= betaa*(1+exp(r))*exp(lambdaa(+1)); 
    (exp(c)-((exp(h)^omegaa)/omegaa))^(-gammaa)   = exp(lambdaa);  
    ((exp(c)-((exp(h)^omegaa)/omegaa))^(-gammaa))*(exp(h)^omegaa)  = exp(lambdaa)*(1-alphaa)*exp(y); 
    exp(lambdaa)*(1+phii*(exp(k)-exp(k(-1)))) = betaa*exp(lambdaa(+1))*(alphaa*exp(y(+1))/exp(k)+1-deltaa+phii*(exp(inv(+1))-deltaa*exp(k))); 
    a = rhoo*a(-1)+e; 
    tb = 1-((exp(c)+exp(inv))/exp(y));
    ca = (1/exp(y))*(d-d(-1));                                   
    riskpremium = psii*(exp(d-d_bar)-1);
    exp(r) = r_w+riskpremium;

    y_obs = 0.012+ y-y(-1); //yoy ss growth 4.8%
end;


//initval;
 //   r     = log((1-betaa)/betaa);
//    d     = d_ss;
//    h     = log(h_ss);
//    k     = log(k_ss);
//    y     = log(y_ss);
//    c     = log(c_ss);
//    inv     = log(inv_ss);
//    tb    = 1-((exp(c)+exp(inv))/exp(y));
//    lambdaa= log((exp(c)-((exp(h)^omegaa)/omegaa))^(-gammaa));
//end;


shocks;
    var e; stderr sigmae;
end;

resid(1);

steady; 

check;


estimated_params;
alphaa, beta_pdf,  0.3, .005;
rhoo, beta_pdf,  0.42, .002;
phii, beta_pdf, 0.028, .001;
r_w, beta_pdf,   0.02, .005;		
gammaa, normal_pdf,  2, .01;
omegaa, normal_pdf, 1.455, .01;
psii, beta_pdf, 0.000742, .0000001;
deltaa, beta_pdf, 0.1, .001;
d_bar, beta_pdf,  0.7442, .001;

//stderr sigmae, inv_gamma_pdf, 0.0129, inf;
end;

varobs y_obs;

estimation(order=1, datafile=grohe_uribe03data, mh_replic=2000, mh_nblocks=2, mh_jscale=0.02, 
 mode_compute=6, forecast=40) y_obs;
// loglinear


// model_diagnostics(M_,options_,oo_)

//stoch_simul(order=1,irf=40);