var c l aa k i gc gi kg y or f bb y_obs or_obs; varexo e_or e_a e_gc e_gi; parameters d dg a q ro ra w b s tc tl h gf rf rgc agc bgc rgi agi af; d= 0.042; dg=0.03; a=0.412; q=0.18; ro=0.71; ra=0.55; gf=0.01; rf=0.005; rgc=0.6; rgi=0.5; agc=0.5; bgc=0.37; agi=0.13; af=0.2; w=3.17; b=0.96; s=1.57; tc=0.09; tl=0.1; h=1.04; model; k=(1-d)*k(-1)/h+i; y=aa*(h^(-a))*(h^(-q))*(k(-1)^a)*(kg(-1)^q)*(l^(1-a-q)); ln(aa)=ra*ln(aa(-1))+e_a; ln(or)=ro*ln(or(-1))+e_or; kg=(1-dg)*kg(-1)/h+gi; ln(gc)=rgc*ln(gc(-1))+agc*ln(or(-1))+bgc*ln(gi)+e_gc; ln(gi)=rgi*ln(gi(-1))+agi*ln(or(-1))+e_gi; f=(1-gf)*f(-1)/h+af*or; l^w=((1-tl)/(1+tc))*((1-a)/w)*y; (c-(l^w))^(-s)=b*(h^(-s))*((c(+1)-(l(+1)^w))^(-s))*(1-d+a*(y(+1)/k)); bb=gc+gi+f-(tc*c+tl*(1-a)*y+or+(1+rf)*f(-1)/h); y+or+rf*f(-1)/h=c+i+gc+gi+(f-f(-1)/h); y_obs=ln(y)-ln(y(-1)); or_obs=or; end; initval; k=11.025; kg=14.8571; aa=1; i=0.869275; gi=1; gc=1; f=4.16; y=4.00925; l=0.857404; c=1.99998; or=1; bb=0.724258; or_obs=or; y_obs=0; e_or=0; e_a=0; end; resid; steady; check; shocks; var e_or; stderr 1; var e_a; stderr 1; var e_gc; stderr 1; var e_gi; stderr 1; end; stoch_simul(order=1,hp_filter=10,periods=2100); varobs y_obs or_obs gc gi; estimated_params; gf,beta_pdf,0.01,0.001; rf,beta_pdf,0.005,0.001; af,beta_pdf,0.2,0.1; ro,beta_pdf,0.71,0.1,-1,1; ra,beta_pdf,0.55,0.1,-1,1; rgc,beta_pdf,0.6,0.1,-1,1; agc,beta_pdf,0.5,0.1,-1,1; bgc,beta_pdf,0.37,0.1,-1,1; rgi,beta_pdf,0.5,0.1,-1,1; agi,beta_pdf,0.13,0.1,-1,1; stderr e_a,inv_gamma_pdf,1,inf; stderr e_or,inv_gamma_pdf,1,inf; stderr e_gc,inv_gamma_pdf,1,inf; stderr e_gi,inv_gamma_pdf,1,inf; end; estimated_params_init(use_calibration); end; identification(parameter_set=prior_mean,advanced=1); estimation(mode_compute=6,datafile='book1.xlsx',xls_sheet=sheet1, mh_replic=30000 , mh_drop=0.2, mh_jscale=0.2) y_obs or_obs gc gi;