%========================================================================== %GST(2008):JMCB %STAGGERED NASH BARGAINING %Install intensive margin %15.07.04 Value function revised(w_o¨w_o*h) %15.07.05 ƒ~ƒXC³ %15.07.12 change to loglinear version %========================================================================== //DEFINE ENDOGENOUS VARIABLES# ___________________________________________ //ENDOGENOUS STRUCTURAL VARIABLES#39 var lambda_c c mu_z sdf pi pi_o r_n r_k q_k delta delta_prime u_k k i n y u q m v s p_w a w w_o eta H Htil Hbar J Jtil Jbar x k_p f_p lambda_p rho kkappa; %var S S_prime; var h l;%šIntensive margin //AR(1)SHOCK PROCESS VARIABLES# var z_z z_eta z_p z_b z_eps z_r z_i z_g z_m z_rho z_kappa z_l; //OBS_VAR var dy_obs dc_obs di_obs dw_obs unemp_obs pi_obs rn_obs l_obs v_obs; %var chi_obs phi_b_obs; //DEFINE EXOGENOUS VARIABLES(INCLUDING i.i.d SHOCKS)#8_____________________ varexo eps_z eps_eta eps_p eps_b eps_eps eps_r eps_i eps_g eps_m eps_rho eps_kappa eps_l; //DEFINE PARAMETERS# _____________________________________________________ //STRUCTURAL PARAMETERS# parameters hab beta mu_zss piss mu_k deltass gyss nss sigma_m sigma alpha xi_w gamma_w bbar rhoss phi_r phi_pi phi_y xi_p lambda_pss zeta etass gamma_p zeta_k b_k delta_k; %parameters kkappa; parameters gamma_l omega;%šIntensive margin //STEADY STATE VALUES# parameters lambda_css css sdfss pi_oss r_nss r_kss q_kss delta_primess u_kss kss iss yss uss qss mss vss sss p_wss ass wss w_oss Hss Jss xss k_pss f_pss Sss S_primess lss; //AR(1)SHOCK PROCESS INERTIA COEFFICIENTS#8 parameters rho_z rho_eta rho_p rho_b rho_eps rho_r rho_i rho_g rho_m rho_rho rho_kappa rho_l; //OBSERVATION params parameters lbar; //INSTALL VALUE OF PARAMETERS# ___________________________________________ %FIXED PARAMETERS#5 beta = 0.99; deltass = 0.1/4; lambda_pss = 0.2; alpha = 0.4; gyss = 0.29 ; %data mean between 1980Q2-2000Q4 %ESTIMATED PARAMETERS %hab=0; hab = 0.7; mu_zss = 1.005; piss = 1.002; zeta_k = 0.1; %-free param------------------------------------------------------------ mu_k = beta*deltass/(mu_zss-beta*(1-deltass)); b_k = deltass/mu_k; delta_k = deltass-b_k/(1+zeta_k); %-arbitrary param------------------------------------------------------- nss = 0.97; %----------------------------------------------------------------------- sigma_m = 1.3;%cited from GT(2009) sigma = 0.5; xi_w = 0.5; xi_p = 0.5; gamma_w = 0.5; gamma_p = 0.5; bbar = 0.05; rhoss = 0.96; phi_r = 0.8; phi_pi = 1.7; phi_y = 0.1; zeta = 1/4; etass = 0.5; omega = 1;% lbar = 1.1; %-free parameter----------------------------------------------------------- %kappa = ((1-alpha)*(1/(1+lambda_pss))^(1/(1-alpha))* % (alpha*beta/(mu_zss-beta*(1-deltass)))^(alpha/(1-alpha)) % -bbar*mu_zss*(alpha*beta/(mu_zss-beta*(1-deltass))/(1+lambda_pss))^ % (1/(1-alpha))*nss)/ % (1/2*beta*rhoss^2-beta/2-rhoss+1+(1-beta*(rhoss-nss)/(1-nss))*etass/ % (1-etass)*(1-beta*xi_w)/(1-beta*rhoss*xi_w)*(1-rhoss)); %kappa=(1/(1+lambda_pss)*(alpha*beta/(mu_zss-beta*(1-deltass))/(1+lambda_pss))^(alpha/(1-alpha))*((1-alpha)-alpha*beta*mu_zss*bbar*nss/(mu_zss-beta*(1-deltass))))/ % (0.5*beta*rhoss^2-beta/2+1-rhoss+(1-beta*(rhoss-nss)/(1-nss))*etass/(1-etass)*(1-beta*xi_w)/(1-beta*xi_w*rhoss)*(1-rhoss)); paraset = ... [hab, beta, mu_zss, piss, mu_k, deltass, gyss, nss, sigma_m, sigma, alpha,... xi_w, gamma_w, bbar, rhoss, phi_r, phi_pi, phi_y, xi_p, lambda_pss, zeta,... etass gamma_p rhoss]; f_gst = @(x) f_gst(x, paraset); options = optimset('TolFun',1e-20, 'TolX',1e-20); [ans FVEC INFO OUTPUT FJAC] = fsolve(f_gst, [0.5], options); INFO ans kappa = ans(1); %-------------------------------------------------------------------------- rho_eps = 0.5; rho_z = 0.8; rho_eta = 0.5; rho_p = 0.5; rho_b = 0.8; rho_r = 0.5; rho_i = 0.5; rho_g = 0.8; rho_m = 0.5; rho_rho = 0.5; rho_kappa = 0.5; rho_l = 0.5; %STEADY STATE VALUES OF ENDOGENOUS VARIABLES pi_oss=piss; sdfss=beta/mu_zss; r_nss=piss*mu_zss/beta; r_kss=deltass/mu_k; u_kss=1; q_kss=1; uss=1-nss; xss=1-rhoss; sss=nss/(1-nss)*(1-rhoss); mss=nss*(1-rhoss); vss=((1-rhoss)/sigma_m*nss/(1-nss)^sigma)^(1/(1-sigma)); qss=nss*(1-rhoss)/vss; p_wss=1/(1+lambda_pss); yss=(alpha*beta/(mu_zss-beta*(1-deltass))/(1+lambda_pss))^(alpha/(1-alpha))*nss; %ass=(1-alpha)*yss/nss; ass=(1-alpha)*(alpha*beta/(mu_zss-beta*(1-deltass))/(1+lambda_pss))^(alpha/(1-alpha)); %kss=alpha*beta*mu_zss/(mu_zss-beta*(1-deltass))*yss/(1+lambda_pss); kss=mu_zss*(alpha*beta/(mu_zss-beta*(1-deltass))/(1+lambda_pss))^(1/(1-alpha))*nss; iss=(mu_zss-1+deltass)/mu_zss*kss; css=(1-gyss)*yss-iss; delta_primess=deltass/mu_k; k_pss=1/(1+lambda_pss)/(1-beta*xi_p) *(alpha*beta/(mu_zss-beta*(1-deltass))/(1+lambda_pss))^(alpha/(1-alpha)) *nss; f_pss=(1+lambda_pss)*k_pss; Sss=0; S_primess=0; lambda_css = (mu_zss-beta*hab)/(mu_zss-hab)/css; Jss=kappa*(1-rhoss); Hss=etass/(1-etass)*(1-beta*xi_w)/(1-beta*rhoss*xi_w)*kappa*(1-rhoss); %wss=(1-beta*(rhoss-sss))*Hss+bbar*kss; wss=(1-beta*(rhoss-nss)/(1-nss))*etass/(1-etass)*(1-beta*xi_w)/(1-beta*rhoss*xi_w)*kappa*(1-rhoss) +bbar*mu_zss*(alpha*beta/(mu_zss-beta*(1-deltass))/(1+lambda_pss))^(1/(1-alpha))*nss; w_oss=wss; %2type gamma_l-------------------- %gamma_l=(1-alpha)*lambda_css*p_wss*(kss/mu_zss)^alpha*nss^(1-alpha); gamma_l=p_wss*(1-alpha)*yss*lambda_css;%ššnŽc‚³‚¸ %gamma_l=p_wss*(1-alpha)*yss*lambda_css/nss;%ššnŽc‚· %--------------------------------- hss=1; lss=nss*hss; //MODEL STRUCTURE# _______________________________________________________ model; #Kappa=(1/(1+lambda_pss)*(alpha*beta/(mu_zss-beta*(1-deltass))/(1+lambda_pss))^(alpha/(1-alpha))*((1-alpha)-alpha*beta*mu_zss*bbar*nss/(mu_zss-beta*(1-deltass))))/ (0.5*beta*rhoss^2-beta/2+1-rhoss+(1-beta*(rhoss-nss)/(1-nss))*etass/(1-etass)*(1-beta*xi_w)/(1-beta*xi_w*rhoss)*(1-rhoss)); #R_nss=piss*mu_zss/beta; #Wss=(1-beta*(rhoss-nss)/(1-nss))*etass/(1-etass)*(1-beta*xi_w)/(1-beta*rhoss*xi_w)*Kappa*(1-rhoss) +bbar*mu_zss*(alpha*beta/(mu_zss-beta*(1-deltass))/(1+lambda_pss))^(1/(1-alpha))*nss; #Yss=(alpha*beta/(mu_zss-beta*(1-deltass))/(1+lambda_pss))^(alpha/(1-alpha))*nss; #JSS=Kappa*(1-rhoss); #HSS=etass/(1-etass)*(1-beta*xi_w)/(1-beta*rhoss*xi_w)*Kappa*(1-rhoss); #Kss=mu_zss*(alpha*beta/(mu_zss-beta*(1-deltass))/(1+lambda_pss))^(1/(1-alpha))*nss; #Iss=(mu_zss-1+deltass)/mu_zss*Kss; #Css=(1-gyss)*Yss-Iss; #Gamma_l=1/(1+lambda_pss)*(1-alpha)*(alpha*beta/(mu_zss-beta*(1-deltass))/(1+lambda_pss))^(alpha/(1-alpha))*nss *((mu_zss-beta*hab)/(mu_zss-hab)/Css); #EPS = 1/(1-beta*rhoss*xi_w); #MU = 1/(beta*xi_w*(rhoss+JSS/Kappa)-1); //[1]MARGINAL UTILITY OF CONSUMPTION lambda_c = z_b*mu_z/(c*mu_z-hab*c(-1)) -beta*hab*z_b(+1)/(c(+1)*mu_z(+1)-hab*c); //[2]STOCHASTIC DISCOUNT FACTOR sdf = beta*lambda_c(+1)/lambda_c/mu_z(+1); //[3]EULER EQUATION sdf = pi(+1)/r_n; //[4]CAPITAL SUPPLY r_k = q_k*delta_prime; //[5]TOBIN'S Q %1 = exp(z_i)*q_k*(1-S_prime*exp(z_z)*i/i(-1)-S) % +mu_z*sdf*exp(z_i(+1)+2*z_z(+1))*q_k(+1)*S(+1)*(i(+1)/i)^2; 1 = z_i*q_k*(1-(1/zeta*(z_z*i/i(-1)-1))*exp(z_z)*i/i(-1)-1/2/zeta*z_z*(i/i(-1)-1)^2) +mu_z*sdf*z_i(+1)*z_z(+1)^2*q_k(+1)*(1/2/zeta*z_z(+1)*(i(+1)/i-1)^2)*(i(+1)/i)^2; //[6]FOC OF CAPITAL HOLDING q_k = sdf*(r_k(+1)*u_k(+1)+q_k(+1)*(1-delta)); //[7]CAPITAL STOCK TRANSITION %k = (1-delta)*k(-1)/mu_z+exp(z_i)*(1-S)*i; k = (1-delta)*k(-1)/mu_z+z_i*(1-1/2/zeta*z_z*(i/i(-1)-1)^2)*i; //[8]šPRODUCT FUNCTION %y=exp(z_eps)*(u_k*k(-1)/mu_z)^alpha*l^(1-alpha); y=z_eps*(u_k*k(-1)/mu_z)^alpha*l^(1-alpha); //[9]šTOTAL LABOR SUPPLY l=n*h; //[10]šMPL=MRS ‰E•Ó‚Én‚ðŽc‚·ê‡‘ã•\“I‰ÆŒv‚Å‚Ì—§Ž®A‰E•Ó‚É‚Ž‚ðŽc‚³‚È‚¢ê‡ŒÂ•Ê‰ÆŒv‚ÌÅ“K‰» p_w*(1-alpha)*y/h=z_l*Gamma_l*h^omega/lambda_c; //[11]MARKET CLEARING CONDITION %y=c+i+gyss*Yss*exp(z_g); y=c+i+gyss*Yss*z_g; //[12]UNEMPLOYMENT RATE %u=1-n; u=1-n(-1); //[13]MATCHING FUNCTION %m=sigma_m*exp(z_m)*u^sigma*v^(1-sigma); m=sigma_m*z_m*u^sigma*v^(1-sigma); //[14]MATCHING PER VACANCY q=m/v; //[15]MATCHING PER UNEMPLOYMENT s=m/u; //[16]HIRING RATE x=q*v/n(-1); //[17]CAPITAL DEMAND r_k=alpha*p_w*mu_z*y/u_k/k(-1); //[18]MARGINAL PRODUCTIVITY OF LABOR %a=(1-alpha)*y/n; %a=(1-alpha)*exp(z_eps)*(u_k*k(-1)/n/mu_z)^alpha; a=(1-alpha)*y/n; //[19]ACTURAL WAGE w=xi_w*(pi(-1)^gamma_w*piss^(1-gamma_w)/pi)*w(-1)+(1-xi_w)*w_o; %w=xi_w*(pi(-1)^gamma_w*piss^(1-gamma_w)/pi)*w(-1)/exp(z_z)+(1-xi_w)*w_o; //[20]FOC OF NASH BARGAINING %eta*EPS*J+(1-eta)*MU*H=0; etass*z_eta*EPS*J+(1-etass*z_eta)*MU*H=0; //š[21]HOUSEHOLD'S VALUE FUNCTION TARGET WAGE H =( w_o*h - bbar*k + sdf*mu_z(+1)*(rho(+1)*(xi_w*Htil(+1)+(1-xi_w)*H(+1))-s(+1)*Hbar(+1))); //[22]APPROXIMATED HOUSEHOLD'S VALUE FUNCTION INDEXATION WAGE %Htil(+1) = HSS + EPS*(pi^gamma_w*piss^(1-gamma_w)/pi(+1)*w_o-Wss); Htil = (HSS + EPS*(pi(-1)^gamma_w*piss^(1-gamma_w)/pi*w_o(-1)-Wss)); //š[23]HOUSEHOLD'S VALUE FUNCTION AVERAGE WAGE Hbar = (w*h - bbar*k +sdf*mu_z(+1)*(rho(+1)-s(+1))*Hbar(+1)); //š[24]FIRM'S VALUE FUNCTION TARGET WAGE J = (p_w*a-w_o*h +sdf*mu_z(+1)*( xi_w*(rho*Jtil(+1)+Jtil(+1)^2/2/kkappa) +(1-xi_w)*(rho*J(+1)+J(+1)^2/2/kkappa))); //[25]APPROXIMATED FIRM'S VALUE FUNCTION INDEXATION WAGE %Jtil(+1)= JSS + MU*(pi^gamma_w*piss^(1-gamma_w)/pi(+1)*w_o - Wss); Jtil= (JSS + MU*(pi(-1)^gamma_w*piss^(1-gamma_w)/pi*w_o(-1) - Wss)); //š[26]FIRM'S VALUE FUNCTION AVERAGE WAGE Jbar = (p_w*a-w_o*h+sdf*mu_z(+1)*(rho*Jbar(+1)+Jbar(+1)^2/2/kkappa)); //[27]AVERAGE FIRM'S VALUE FUNCTION AND HIRING RAGE Jbar = (kkappa*x); //[28]EMPLOYMENT TRANSITION n=(rho+x)*n(-1); //[29]POLICY INTEREST RATE ln(r_n)=phi_r*ln(r_n(-1))+(1-phi_r)*(ln(r_nss) +phi_pi*ln(pi/piss) +phi_y*ln(y/Yss)) +log(z_r); //[30]NKPC1 k_p = p_w*y+xi_p*sdf*(pi^gamma_p*piss^(1-gamma_p)/pi(+1)) ^(-(1+lambda_p(+1))/lambda_p(+1))*mu_z(+1)*k_p(+1); //[31]NKPC2 f_p = y+xi_p*sdf*(pi^gamma_p*piss^(1-gamma_p)/pi(+1)) ^(-(1+lambda_p(+1))/lambda_p(+1))*mu_z(+1)*f_p(+1); //[32]NKPC3 pi_o/pi = (1+lambda_p)*k_p/f_p; //[33]NKPC4 1= xi_p*(pi(-1)^gamma_p*piss^(1-gamma_p)/pi)^(-1/lambda_p) +(1-xi_p)*(pi_o/pi)^(-1/lambda_p); //[32]CAPITAL ADJUSTMENT COST FUNCTION %S=1/2/zeta*(exp(z_z)*i/i(-1)-1)^2; %S=1/2/zeta*z_z*(i/i(-1)-1)^2; //[33]DIFFERENTIATED CAPITAL ADJUSTIMENT COST FUNCTION %S_prime=1/zeta*(exp(z_z)*i/i(-1)-1); %S_prime=(1/zeta*(z_z*i/i(-1)-1)); //[34]CAPITAL DEPRECIATION FUNCTION %delta=deltass*exp((u_k-1)/mu_k); delta= delta_k+b_k/(1+zeta_k)*u_k^(1+zeta_k); //[35]DIFFERENTIATED CAPITAL DEPRECIATION FUNCTION delta_prime = b_k*u_k^zeta_k; //[36]BARGAINING POWER %eta=etass*exp(z_eta); eta=etass*z_eta; //[37]PRICE MARKUP %lambda_p=lambda_pss*exp(z_p); lambda_p=lambda_pss*z_p; //[38]UNIT ROOT TECHNOLOGY %mu_z=mu_zss*exp(z_z); mu_z=mu_zss*z_z; //[39]JOB SEPARATION RATE %rho = rhoss*exp(z_rho); rho = rhoss*z_rho; //[40]EMPLOYMENT ADJUSTMENT COST %kkappa=kappa1/kappa2*exp(z_kappa); kkappa=Kappa*z_kappa; %AR(1)SHOCK PROCESS-------------------------------------------------------- //[41]UNIT ROOT TECHNOLOGY SHOCK %z_z = rho_z*z_z(-1) + eps_z; z_z = rho_z*z_z(-1)+(1-rho_z)*1 + eps_z; //[42]BARGAINING POWER SHOCK %z_eta = rho_eta*z_eta(-1) + eps_eta; z_eta = rho_eta*z_eta(-1)+(1-rho_eta)*1 + eps_eta; //[43]PRICE MARKUP SHOCK %z_p = rho_p*z_p(-1) + eps_p; z_p = rho_p*z_p(-1)+(1-rho_p)*1 + eps_p; //[44]PREFERENCE SHOCK %z_b = rho_b*z_b(-1) + eps_b; z_b = rho_b*z_b(-1)+(1-rho_b)*1 + eps_b; //[45]NEUTRAL TECHNOLOGY SHOCK %z_eps = rho_eps*z_eps(-1) + eps_eps; z_eps = rho_eps*z_eps(-1)+(1-rho_eps)*1 + eps_eps; //[46]MONETARY POLICY SHOCK %z_r = rho_r *z_r(-1) + eps_r; z_r = rho_r*z_eta(-1)+(1-rho_r)*1 + eps_r; //[47]TEMPORARY INVESTMENT TECHNOLOGY SHOCK %z_i = rho_i *z_i(-1) + eps_i; z_i = rho_i*z_i(-1)+(1-rho_i)*1 + eps_i; //[48]EXOGENOUS SPENDING SHOCK %z_g = rho_g *z_g(-1) + eps_g; z_g = rho_g*z_g(-1)+(1-rho_g)*1 + eps_g; //[49]MATCHING EFFICIENCY SHOCK %z_m = rho_m *z_m(-1) + eps_m; z_m = rho_m*z_m(-1)+(1-rho_m)*1 + eps_m; //[50]JOB SEPARATION SHOCK %z_rho = rho_rho*z_rho(-1) + eps_rho; z_rho = rho_rho*z_rho(-1)+(1-rho_rho)*1 + eps_rho; //[51]EMPLOYMENT ADJUSTMENT COST SHOCK %z_kappa = rho_kappa*z_kappa(-1) + eps_kappa; z_kappa = rho_kappa*z_kappa(-1)+(1-rho_kappa)*1 + eps_kappa; //[52]LABOR DISUTILITY SHOCK %z_l = rho_l*z_l(-1)+eps_l; z_l = rho_l*z_l(-1)+(1-rho_l)*1 + eps_l; %OBSERVATION EQUATIONS----------------------------------------------------- //[55]GDP GROWTH RATE[NET] %dy_obs = log(mu_z*y/y(-1))*100; %exp(dy_obs) = log(mu_z*y/y(-1))*100; dy_obs = (mu_z*y/y(-1)); //[56]CONSUMPTION GROWTH RATE[NET] %dc_obs = log(mu_z*c/c(-1))*100; %exp(dc_obs) = log(mu_z*c/c(-1))*100; dc_obs = (mu_z*c/c(-1)); //[57]INVESTMENT GROWTH RATE[NET] %di_obs = log(mu_z*i/i(-1))*100; %exp(di_obs) = log(mu_z*i/i(-1))*100; di_obs = (mu_z*i/i(-1)); //[58]NOMINAL INTEREST RATE %rn_obs = log(r_n)*100; %exp(rn_obs) = log(r_n)*100; rn_obs = r_n; //[59]INFLATION RATE %pi_obs = log(pi)*100; %exp(pi_obs) = log(pi)*100; pi_obs = pi; //[60]NET GROWTH RATE OF REAL WAGE INDEX %dw_obs = 100*log(mu_z*w/w(-1)); %exp(dw_obs) = 100*log(mu_z*w/w(-1)); dw_obs = (mu_z*w/w(-1)); //[61]UNEMPLOYMENT RATE %unemp_obs = (1-n(-1))*100; %exp(unemp_obs) = (1-n(-1))*100; unemp_obs = (1-n(-1)); //[62]JOB SEPARATION RATE[NET] %chi_obs = (1-rho)*100; %(chi_obs) = (1-rho); //[63]BARGAINING POWER OF HOUSEHOLDS %phi_b_obs = eta/etass; %(phi_b_obs) = eta/etass; //[64]VACANCY RATE %v_obs = v*100; (v_obs) = v; //[65]TOTAL LABOR SUPPLY %l_obs = lbar*l; (l_obs) = lbar*l; end; //INITIAL VALUES___________________________________________________________ initval; lambda_c = lambda_css; c = css; mu_z = mu_zss; sdf = sdfss; u_k = 1; pi = piss; pi_o = pi_oss; r_n = r_nss; r_k = r_kss; q_k = q_kss; delta = deltass; delta_prime = delta_primess; u_k = u_kss; k = kss; i = iss; n = nss; y = yss; u = uss; q = qss; m = mss; v = vss; s = sss; p_w = p_wss; a = ass; w = wss; w_o = w_oss; eta = etass; H = Hss; Htil = Hss; Hbar = Hss; J = Jss; Jtil = Jss; Jbar = Jss; x = xss; k_p = k_pss; f_p = f_pss; lambda_p = lambda_pss; %S = Sss; %S_prime = S_primess; rho=rhoss; kkappa=kappa; l=lss; h=hss; z_z=1; z_eta=1; z_p =1; z_b =1; z_eps =1; z_r =1; z_i=1; z_g =1; z_m =1; z_rho =1; z_kappa =1; z_l=1; dy_obs=mu_zss; dc_obs=mu_zss; di_obs=mu_zss; dw_obs=mu_zss; unemp_obs=1-nss; v_obs=vss; l_obs=lbar*lss; rn_obs=r_nss; pi_obs=piss; end; //MODEL CHECK______________________________________________________________ check; resid(1); steady; model_diagnostics; //SHOCKS___________________________________________________________________ shocks; var eps_eps; stderr 1; var eps_eta; stderr 1; %var eps_eps; periods 1; values 0.01; %var eps_z ; periods 1; values 0.01; %var eps_b ; periods 1; values 0.01; %var eps_i ; periods 1; values 0.01; %var eps_eta; periods 1; values 0.01; %var eps_p ; periods 1; values 0.01; %var eps_g ; periods 1; values 0.01; %var eps_r ; periods 1; values 0.01; %var eps_m ; periods 1; values 0.05; %var eps_rho; periods 1; values 0.1; %var eps_kappa; periods 1; values 0.01; %var eps_l; periods 1; values 0.01; end; stoch_simul(irf=40,order=1,nograph,loglinear,graph_format = fig)y c i u l h w pi r_n; //ESTIMATION_______________________________________________________________ //DEFINE PRIOR DISTRIBUTION#----------------------------------------- estimated_params; //STRUCTURAL PARAMETERS# nss , , , ,beta_pdf, 0.97, 0.01; rhoss , , , ,beta_pdf ,0.96, 0.01 ;%Lin-Miyamoto(2014) hab , , , ,beta_pdf ,0.7000,0.15;%Kaihatsu&Kurozumi(2014) gamma_p , , , ,beta_pdf ,0.5000,0.25;%Kaihatsu-Kurozumi(2014) gamma_w , , , ,beta_pdf ,0.5000,0.25;%Kaihatsu-Kurozumi(2014) bbar , , , ,gamma_pdf,0.05 ,0.01; zeta , , , ,gamma_pdf,0.25 ,0.05; zeta_k , , , ,gamma_pdf,0.1 ,0.05; omega , , , ,gamma_pdf,1 ,0.5; lbar , , , ,gamma_pdf,1.1 ,0.01; piss , ,1.0 ,1.1 ,gamma_pdf,1.002,0.001 ;%init=data mean of 1980Q2-2001Q1,Hasumi(2014) mu_zss , ,1.0 ,1.1 ,gamma_pdf,1.005,0.001;%init=data mean of 1980Q2-2001Q1,Hasumi(2014) sigma_m , , , ,gamma_pdf,1.30,0.1 ;% sigma , , , ,beta_pdf ,0.5000,0.2 ;% etass , , , ,beta_pdf ,0.5000,0.2 ;% xi_p , , , ,beta_pdf ,0.5,0.2 ;%Kaihatsu-Kurozumi(2014) xi_w , , , ,beta_pdf ,0.5,0.2 ;%Kaihatsu-Kurozumi(2014) phi_r , , , ,beta_pdf ,0.800 ,0.2 ;%Iiboshi et al.(2006) phi_pi , , , ,gamma_pdf,1.700 ,0.05 ;%Iiboshi et al.(2006) phi_y , , , ,gamma_pdf,0.08 ,0.125 ;%Iiboshi et al(2006) //SHOCK INERTIA COEFFICIENTS#11 rho_eps ,0.5, , ,beta_pdf,0.5,0.2 ;%original rho_z ,0.5, , ,beta_pdf,0.8,0.05 ;%Kaihatsu-Kurozumi(2014) rho_b ,0.5, , ,beta_pdf,0.5,0.2 ;%Kaihatsu-Kurozumi(2014) rho_l ,0.5, , ,beta_pdf,0.5,0.2 ;%original rho_i ,0.5, , ,beta_pdf,0.5,0.2 ;%Hirose(2012) rho_eta ,0.5, , ,beta_pdf,0.5,0.2 ;%original rho_g ,0.5, , ,beta_pdf,0.8,0.05 ;%Kaihatsu-Kurozumi(2014) rho_p ,0.5, , ,beta_pdf,0.5,0.2 ;%Hirose(2012) rho_r ,0.5, , ,beta_pdf,0.5,0.2 ;%Hirose(2012) rho_rho ,0.5, , ,beta_pdf,0.5,0.2 ;%original rho_kappa,0.5, , ,beta_pdf,0.5,0.2 ;%original //STANDARD ERRORS#12 stderr eps_eps ,0.1,,,inv_gamma_pdf,0.5,inf;% stderr eps_z ,0.1,,,inv_gamma_pdf,0.5,inf;% stderr eps_b ,0.1,,,inv_gamma_pdf,0.5,inf;% stderr eps_l ,0.1,,,inv_gamma_pdf,0.5,inf;% stderr eps_i ,0.1,,,inv_gamma_pdf,0.5,inf;% stderr eps_p ,0.1,,,inv_gamma_pdf,0.5,inf;%Kaihatsu-Kurozumi(2014) stderr eps_g ,0.1,,,inv_gamma_pdf,0.5,inf;%Kaihatsu-Kurozumi(2014) stderr eps_r ,0.1,,,inv_gamma_pdf,0.5,inf;%Kaihatsu-Kurozumi(2014) stderr eps_rho ,0.1,,,inv_gamma_pdf,0.5,inf;%original stderr eps_eta ,0.1,,,inv_gamma_pdf,0.5,inf;%original stderr eps_kappa,0.1,,,inv_gamma_pdf,0.5,inf;%original end; //REDEFINE OBSERBED VARIABLES#8---------------------------------------- varobs dy_obs;% dc_obs di_obs dw_obs unemp_obs pi_obs rn_obs %v_obs l_obs;% phi_b_obs chi_obs; //ESTIMATION----------------------------------------------------------- estimation( %optim=('MaxIter',20000), %optim=('NumberOfMh',10,'ncov-mh',40000,'nscale-mh',600000,'nclimb',90000), loglinear, prior_trunc=0, datafile='dataset_x13_log.csv', xls_sheet=Sheet5, xls_range = B1:M60, mode_file = 'gst_int_log_est_mode.mat', mode_compute=4, %load_mh_file, mode_check, plot_priors=0, smoother, graph_format = fig, first_obs=1, presample=0, %lik_init=2, %prefilter=0, mh_replic=50000, %mh_replic=0, mh_nblocks=2, mh_jscale=0.3, %mh_drop=0.5, bayesian_irf, %forecast=100, irf=40 ); //SIMULATION_______________________________________________________________ stoch_simul(irf=40,order=1,nodisplay,loglinear,graph_format = fig) y c i w n r_n u pi pi_o; //HISTORICAL DECOMPOSITION_________________________________________________ shock_decomposition(parameter_set=posterior_mean) dy_obs dc_obs di_obs dw_obs unemp_obs rn_obs pi_obs y c i w;