var y lamd u e z g_obs pi r;
varexo e_u e_e e_z;
parameters bet rho_u rho_e rho_z rho_r rho_g rho_pi gam psi m g;
bet = 0.994;
rho_u = 0.89;
rho_e = 0.20;
rho_z = 0.75;
rho_r = 0.78;
rho_g = 0.19;
rho_pi = 0.13;
gam = 0.81;
psi = 0.1898;
m=1.02;
g=1.02;
model;
(m-bet*gam)*(m-gam)*lamd=gam*m*y(-1)-(m^2)+bet*(gam^2)*y+bet*gam*m*y(+1)+(m-bet*gam*rho_u)*(m-gam)*u-gam*m*z;
lamd=r+lamd(+1)-pi(+1);
pi= bet*pi(+1)-psi*lamd(+1)-psi*u+e;
r = rho_r*r(-1)+rho_pi*pi+rho_g*g;
g_obs = y-y(-1)-z;
u = rho_u*u(-1)+e_u;
e = rho_e*e(-1)+e_e;
z = rho_z*z(-1)+e_z;
end;
steady;
check;
shocks;
var e_u; stderr 0.01;
var e_e; stderr 0.01;
var e_z; stderr 0.01;
end;
simul_seed = 12345;
stoch_simul(irf=40,hp_filter=1600,order=1,periods =300);
estimated_params;
bet, normal_pdf, 0.994, 0.002;
g, normal_pdf, 0.89, 0.20;
rho_u, normal_pdf, 0.89, 0.20;
rho_e, normal_pdf, 0.20, 0.006;
rho_z, normal_pdf, 0.75, 0.12;
rho_r, normal_pdf, 0.78, 0.004;
rho_g, normal_pdf, 0.19, 0.007;
rho_pi, normal_pdf, 0.13, 0.02;
gam, beta_pdf, 0.81, 0.02;
psi, beta_pdf, 0.1898, 0.05;
stderr e_u, inv_gamma_pdf, 0.05, inf;
stderr e_e, inv_gamma_pdf, 0.05, inf;
stderr e_z, inv_gamma_pdf, 0.05, inf;
end;
varobs g_obs;
estimation(datafile=fsdat,nobs=62,loglinear,mh_replic=20000,conf_sig =0.9,mh_nblocks= 2,mh_drop =0.5,mh_jscale=0.3);