宏观经济分析中一个重要模型FM-VAR

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最近看了一些文章使用混频向量自回归模型，但是都对程序代码进行保留，或者没有给出如此做的。自己在写文章发展了这个程序MATLAB代码，分享给各位同仁！

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关键词：宏观经济分析 经济分析 宏观经济 VaR matlab代码

var  y ch w l pi r  rk  k  ii mc  
     a    mu_r ;

varexo  eps_a      eps_r  ;  

parameters  alpha  gamma  sigmma  delta beta theta  GAMMA  
             kappa_r kappa_y kappa_pi  rho_a  rho_pi  rho_r chi
             l_ss a_ss  mu_pi_ss   mc_ss  r_ss    rk_ss
             w_ss  k_ss  ii_ss  y_ss  ch_ss ;

alpha = 1/3 ;
gamma = 1 ;
sigmma = 1 ;
delta = 0.025 ;
beta  = 0.99 ;
theta = 0.75 ;
GAMMA = 4.5 ;

rho_a  =  0.5 ;
rho_pi  = 0.5 ;
rho_r   = 0.5 ;
kappa_r   = 0.8 ;
kappa_y   = 0.5;
kappa_pi  = 1.5 ;


l_ss  = 1/3 ;
a_ss = 1 ;
mu_pi_ss = 1;
mu_r_ss =  1;
mc_ss =  (GAMMA - 1) / GAMMA   ;
r_ss = 1 / 0.99 ;
rk_ss = 1 / beta - ( 1 - delta )  ;
w_ss = (1 - alpha ) * (alpha^alpha * mc_ss / rk_ss^alpha)^(1/(1-alpha))  ;
k_ss = w_ss / rk_ss * (alpha /(1 - alpha)) * l_ss ;
ii_ss = delta * k_ss ;
y_ss = a_ss * k_ss^alpha * l_ss^(1 - alpha);
ch_ss = y_ss - ii_ss;
chi = ch_ss^(-sigmma) * w_ss / l_ss^gamma ;

%----------------------------------------------------------------
% 3. Model
%----------------------------------------------------------------

model(linear);

%%%%%%%%%% HOUSEHOLD PROBLEM %%%%%%%%%%%%%%%%%%%%%%%%%%%
//1. labor supply equation
w  = sigmma * ch + gamma * l ;

//2. Euler equation;
ch = ch(+1) - (1/sigmma)*( r - pi(+1) );

//3. Capital Euler equation;
- sigmma * ch = - sigmma * ch(+1) +  rk * rk_ss / ( 1 - delta + rk_ss ) - pi(+1);

%%%%%%%%%%    FIRM PROBLEM    %%%%%%%%%%%%%%%%%%%%%%%%%%%
//4. wages condition
w = mc + a + alpha * k(-1) - alpha * l;
//5. interest rate condition

//6. Actual marginal cost
rk = mc +a + (alpha-1)* k(-1) + (1-alpha)*l  ;
//7. Enterprise leverage

//8. Enterprise cost composition

//9. Interest rate composition

//10. Capital accumulation equation
k  = (1 - delta) * k(-1) + delta * ii ;
//11. philipus curve
pi = beta * pi(+1) + (1 - theta)*(1 - beta * theta) * mc / theta    ;

%%%%%%%%%%    BANK PROBLEM    %%%%%%%%%%%%%%%%%%%%%%%%%%%
//12. Financial sector leverage

//13. Equality of the financial sector

//14. Financial sector capital accumulation

//15. Financial sector consumption

//16. Financial sector equation


%%%%%%%%%%    EQUATION PROBLEM    %%%%%%%%%%%%%%%%%%%%%%%%%%%
//17. resource equation
y =ch_ss/ y_ss * ch + ii_ss/ y_ss *  ii ;
//18. production function
y = a + alpha * k(-1) + (1 - alpha) * l ;
//19. Inflation

//20. Taylor Rule
r =  kappa_r * r(-1)  + (1 - kappa_r) *(kappa_y * y +  kappa_pi * pi) + mu_r;


a  = rho_a * a(-1) + eps_a;

mu_r = rho_r * mu_r(-1) + eps_r;





end;


initval;

y=0.0;

ch=0.0;
w=0.0;
l=0.0;
pi=0.0;
r=0.0;
rk=0.0;
k=0.0;

ii=0.0;
mc=0.0;
a=0.0;


mu_r=0.0;




end;

resid(1);
steady;
check;
model_diagnostics;

shocks;
var eps_a      =0.01^2;

var eps_r      =0.01^2;
end;


estimated_params_init(use_calibration); end;
estimated_params;

rho_a,beta_pdf,0.5,0.2;
rho_r,beta_pdf,0.5,0.2;
stderr eps_a,inv_gamma_pdf,0.01,2;
stderr eps_r,inv_gamma_pdf,0.01,2;


end;
varobs y r ;
estimation(datafile=deleverage1,order=1,mode_check,smoother,mh_replic=250) r ;
stoch_simul(order=1,hp_filter=1600,periods=2100);


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Dynare?

楼主能说的稍微具体点吗，例如什么语言做的？你做的分析是一个宏观的问题嘛？基于哪一篇论文做的？是Schorfheide的那篇吗？

richardgu26 发表于 2018-5-3 12:40
楼主能说的稍微具体点吗，例如什么语言做的？你做的分析是一个宏观的问题嘛？基于哪一篇论文做的？是Schorf ...

This zip file contains eleven m-files for estimating Ghysels' (2012) mixed frequency vector autoregression
and implementing related analysis like impulse response functions, forecast error variance decomposition,
and Ghysels, Hill, and Motegi's (2013) mixed frequency Granger causality tests.
MFVAR_example.m is the main m-file illustrating all these tools via an artificial trivariate example.
Written by Kaiji Motegi, Waseda University.
September 9, 2014.

Yiqing_Lv 发表于 2018-5-3 22:51
This zip file contains eleven m-files for estimating Ghysels' (2012) mixed frequency vector autore ...

好的，感谢！

请问example里的A矩阵是怎么得出的呢？还有Data具体指的又是什么呢？谢谢

谢谢，不错哦！