Hi, anyone can point me to an example where the technology shock z follows a random walk or even a more general nonstationary ARIMA process? Many thanks!
Hi there,
how about the example from the UserGiude by Tommaso Mancini?
[code]var y c k i l y l w r z;
varexo e;
parameters beta psi delta alpha rho sigma epsilon;
alpha = 0.33;
beta = 0.99;
delta = 0.023;
psi = 1.75;
rho = 0.95;
sigma = (0.007(1-alpha));
epsilon = 10;
model;
(1/c) = beta*(1/c(+1))(1+r(+1)-delta);
psic/(1-l) = w;
c+i = y;
y = (k(-1)^alpha)(exp(z)l)^(1-alpha);
w = y((epsilon-1)/epsilon)(1-alpha)/l;
r = y*((epsilon-1)/epsilon)*alpha/k(-1);
i = k-(1-delta)k(-1);
y l = y/l;
z = rhoz(-1)+e;
end;
initval;
k = 9;
c = 0.7;
l = 0.3;
w = 2.0;
r = 0;
z = 0;
e = 0;
end;
steady;
check;
shocks;
var e = sigma b 2;
end;
stoch simul(periods=2100);[/code]