//****************************************************************************************
//*              Estimation of parameters of Tovonony-Joets(2014)                        *
//****************************************************************************************

estimated_params;
// PARAM NAME, INITIAL VALUE, Lower Bound, Upper Bound, PRIOR_SHAPE, PRIOR_P1, PRIOR_P2, PRIOR_P3, PRIOR_P4, JSCALE
// PRIOR_SHAPE: BETA_PDF, GAMMA_PDF, NORMAL_PDF, INV_GAMMA_PDF

// 1-Behavioral parameters
h,,0.30,0.90,BETA_PDF,0.7,0.10;
psii,,0.5,5,NORMAL_PDF,2,0.75;

neta_c,GAMMA_PDF,0.40,0.25;   // from Bodenstein et al. (2011)
neta_i,GAMMA_PDF,0.40,0.25;   // from Bodenstein et al. (2011)
kappa_i,GAMMA_PDF,5.00,0.50;  // from Christoffel et al. (2008)
gamma_ac,GAMMA_PDF,2.50,1.00; // from Christoffel et al. (2008)
gamma_ai,GAMMA_PDF,2.50,1.00; // from Christoffel et al. (2008)


// 2-Price and wage setting parameters
theta_W,,0.3,0.95,BETA_PDF,0.50,0.10;
gamma_W,,0.1,0.99,BETA_PDF,0.50,0.15;
theta_H,,0.3,0.95,BETA_PDF,0.50,0.10;
gamma_H,,0.1,0.99,BETA_PDF,0.50,0.15;
theta_O,,0.3,0.95,BETA_PDF,0.50,0.10;
gamma_O,,0.1,0.99,BETA_PDF,0.50,0.15;

// 3-Monetary policy parameters
rho_r,,0.5,0.975,BETA_PDF,0.75,0.10; // SW(2007)
r_pi,,1.0,3.0,NORMAL_PDF,1.5,0.25; // SW(2007)
r_y,,0.001,0.5,NORMAL_PDF,0.125,0.05; // SW(2007)
r_dy,,0.001,0.5,NORMAL_PDF,0.125,0.05; // SW(2007)

// 4-Autoregressive parameters SW(2007)
rho_b,,0.01,0.9999,BETA_PDF,0.5,0.20;
rho_l,,0.01,0.9999,BETA_PDF,0.5,0.20;
rho_g,,0.01,0.9999,BETA_PDF,0.5,0.20;
rho_q,,0.01,0.9999,BETA_PDF,0.5,0.20;
rho_i,,0.01,0.9999,BETA_PDF,0.5,0.20;
rho_a,,0.01,0.9999,BETA_PDF,0.5,0.20;
rho_pibar,,0.01,.9999,BETA_PDF,0.5,0.20;
rho_od,,0.01,0.9999,BETA_PDF,0.5,0.20;
rho_o,,0.01,0.9999,BETA_PDF,0.5,0.20;
rho_postar,,0.01,0.9999,BETA_PDF,0.5,0.20;

// 5- Oil parameters shock (physical vs. speculative, supply vs. demand)
oil_d,,0.01,0.9999,BETA_PDF,0.5,0.20;
oil_phy,,0.01,0.9999,BETA_PDF,0.5,0.20;

// 6- technology and preferences innovations    
stderr E_G,,0.01,3,INV_GAMMA_PDF,0.10,2; // SW(2007)
stderr E_B,,0.01,3,INV_GAMMA_PDF,0.10,2; // SW(2003)
stderr E_Q,,0.01,3,INV_GAMMA_PDF,0.10,2; // SW(2007)
stderr E_I,,0.01,3,INV_GAMMA_PDF,0.10,2; // SW(2007)
stderr E_L,,0.01,5,INV_GAMMA_PDF,0.10,2; // SW(2003)
stderr E_A,,0.01,3,INV_GAMMA_PDF,0.10,2; // SW(2007)

// 7- cost-push innovations     
//stderr E_W,,0.01,3,INV_GAMMA_PDF,0.10,2; // SW(2007)
//stderr E_H,,0.01,3,INV_GAMMA_PDF,0.10,2; // SW(2007)
//stderr E_O,,0.01,3,INV_GAMMA_PDF,0.10,2; // moi

// 8- Oil shocks          
stderr E_POS,,0.01,3,INV_GAMMA_PDF,0.10,2; // moi, Bodenstein et al. (2011), Table 5, 15.68
stderr E_OD,,0.00001,3,INV_GAMMA_PDF,0.10,2; // from Bodenstein et al. (2011)
stderr E_OS,,0.01,3,INV_GAMMA_PDF,0.10,2; // from Bodenstein et al. (2011)

// 9- monetary policy innovations   
stderr E_R,,0.01,3,INV_GAMMA_PDF,0.10,2; // SW(2007)
stderr E_PIBAR,,0.01,3,INV_GAMMA_PDF,0.10,2; // SW(2003)

end;

varobs Y_OBS C_OBS I_OBS O_OBS W_OBS PO_OBS9 R_OBS9 PI_OBS9;
//identification;
identification(advanced=1,max_dim_cova_group=3,prior_mc=250);