//Endogenous Variables
var y , c, i, k, h, w, r, a;
//Exogenous Variables
varexo e;
//Parameters
parameters alpha, beta, delta, gamma, rho;
alpha = 0.35;
beta = 0.97;
delta = 0.06;
gamma = 0.2;
rho = 0.95;
//Dynamic equations
model;
y = c + i;
k = i + (1 - delta)*k(-1);
c(+1)/c = beta*(r(+1) + 1 - delta);
y = a*(k(-1)^alpha)*(h^(1-alpha));
h = (w - gamma*c)/w;
r = alpha*(y/k(-1));
w = (1 - alpha)*(y/h);
log(a) = rho*log(a(-1)) + e;
end;
//Initial Values
initval;
y = 1;
c = 0.8;
i = 0.2;
k = 3.5;
h = 0.2;
w = 1;
r = 0.05;
a = 1;
end;
//Steady State
steady;
//Verify that Blanchard-Khan conditions are satisfied
check;
//Observable Variables
varobs y;
//Value to estimate and priors
estimated_params;
stderr e, normal_pdf, 1, 0.05;
end;
//Estimation command
estimation(datafile=vars, filtered_vars, mh_replic=2000, bayesian_irf, forecast=10, mh_conf_sig=0.95, mh_nblocks = 0.2, mh_jscale = 3.5);
//Shocks
shocks;
var e; stderr 0.01;
end;
//Stochastic Simulation (IRF, correlation...)
stoch_simul;
It needs to be mh_nblocks = 2.