Starting preprocessing of the model file ...
Found 71 equation(s).
Evaluating expressions...done
Computing static model derivatives (order 1).
Computing dynamic model derivatives (order 2).
Processing outputs ...
done
Preprocessing completed.
===============================================
Change in the posterior covariance matrix = 1.3923.
Change in the posterior mean = 6.3191.
Mode improvement = 1797.5206
New value of jscale = 1.5825e-17
==========================================================
{Error using chol
Matrix must be positive definite.
Error in gmhmaxlik_core (line 194)
dd = transpose(chol(CovJump));
Error in gmhmaxlik (line 100)
[PostMode, PostVariance, Scale, PostMean] = gmhmaxlik_core(fun, OldPostMode, bounds, gmhmaxlikOptions,
Scale, flag, MeanPar, OldPostVariance, varargin{:});
Error in dynare_minimize_objective (line 271)
[opt_par_values, hessian_mat, Scale, fval] = gmhmaxlik(objective_function, start_par_value, ...
Error in dynare_estimation_1 (line 219)
[xparam1, fval, exitflag, hh, options_, Scale, new_rat_hess_info] =
dynare_minimize_objective(objective_function,xparam1,options_.mode_compute,options_,[bounds.lb
bounds.ub],bayestopt_.name,bayestopt_,hh,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,bounds,oo_);
Error in dynare_estimation (line 105)
dynare_estimation_1(var_list,dname);
Error in Final.driver (line 940)
oo_recursive_=dynare_estimation(var_list_);
Error in dynare (line 293)
evalin('base',[fname '.driver']) ;
}
dynare Final
Using 64-bit preprocessor
Starting Dynare (version 4.6.2).
Calling Dynare with arguments: none
Starting preprocessing of the model file ...
Found 71 equation(s).
Evaluating expressions...done
Computing static model derivatives (order 1).
Computing dynamic model derivatives (order 2).
Processing outputs ...
done
Preprocessing completed.
STEADY-STATE RESULTS:
APhat 0
ANhat 0
AThat 0
Bstarihat 0
Chat 0
Cihat 0
Cjhat 0
Ctildeihat 0
Dhat 0
D_GDPhat 0
Deltaehat 0
GDPhat 0
Hhat 0
GIhat 0
GWhat 0
Ihat 0
ihat 0
INhat 0
IThat 0
istarhat 0
KPhat 0
KNhat 0
KThat 0
lambdaihat 0
LPhat 0
LNhat 0
LThat 0
Mhat 0
omegaNhat 0
omegaThat 0
pChat 0
pihat 0
PiNhat 0
pistarhat 0
PiThat 0
pMhat 0
pNhat 0
pThat 0
GPhat 0
rNhat 0
rThat 0
GShat 0
TBhat 0
TB_GDPhat 0
Ghat 0
GThat 0
GTjhat 0
thetaIhat 0
thetaPhat 0
thetaThat 0
thetaWhat 0
ToThat 0
TRhat 0
GVAhat 0
wPhat 0
wNhat 0
wThat 0
Xhat 0
Yhat 0
YChat 0
YPhat 0
YNhat 0
YThat 0
monhat 0
shat 0
DeltaGDP 0
DeltaC 0
DeltaI 0
DeltaGI 0
DeltaG 0
DeltaGVA 0
Residuals of the static equations:
Equation number 1 : 0 : Ctildeihat
Equation number 2 : 0 : 2
Equation number 3 : 0 : 3
Equation number 4 : 0 : 4
Equation number 5 : 0 : 5
Equation number 6 : 0 : 6
Equation number 7 : 0 : 7
Equation number 8 : 0 : 8
Equation number 9 : 0 : 9
Equation number 10 : 0 : KThat
Equation number 11 : 0 : KNhat
Equation number 12 : 0 : 12
Equation number 13 : 0 : YThat
Equation number 14 : 0 : AThat
Equation number 15 : 0 : 15
Equation number 16 : 0 : 16
Equation number 17 : 0 : 17
Equation number 18 : 0 : 18
Equation number 19 : 0 : YNhat
Equation number 20 : 0 : ANhat
Equation number 21 : 0 : 21
Equation number 22 : 0 : 22
Equation number 23 : 0 : 23
Equation number 24 : 0 : 24
Equation number 25 : 0 : 25
Equation number 26 : 0 : YChat
Equation number 27 : 0 : Hhat
Equation number 28 : 0 : pChat
Equation number 29 : 0 : Yhat
Equation number 30 : 0 : 30
Equation number 31 : 0 : 31
Equation number 32 : 0 : YPhat
Equation number 33 : 0 : APhat
Equation number 34 : 0 : KPhat
Equation number 35 : 0 : ihat
Equation number 36 : 0 : monhat
Equation number 37 : 0 : 37
Equation number 38 : 0 : 38
Equation number 39 : 0 : GShat
Equation number 40 : 0 : GWhat
Equation number 41 : 0 : thetaIhat
Equation number 42 : 0 : thetaPhat
Equation number 43 : 0 : thetaThat
Equation number 44 : 0 : thetaWhat
Equation number 45 : 0 : 45
Equation number 46 : 0 : 46
Equation number 47 : 0 : 47
Equation number 48 : 0 : 48
Equation number 49 : 0 : pistarhat
Equation number 50 : 0 : 50
Equation number 51 : 0 : shat
Equation number 52 : 0 : ToThat
Equation number 53 : 0 : Xhat
Equation number 54 : 0 : 54
Equation number 55 : 0 : 55
Equation number 56 : 0 : GThat
Equation number 57 : 0 : 57
Equation number 58 : 0 : 58
Equation number 59 : 0 : 59
Equation number 60 : 0 : 60
Equation number 61 : 0 : 61
Equation number 62 : 0 : 62
Equation number 63 : 0 : TB_GDPhat
Equation number 64 : 0 : GVAhat
Equation number 65 : 0 : D_GDPhat
Equation number 66 : 0 : DeltaGDP
Equation number 67 : 0 : DeltaC
Equation number 68 : 0 : DeltaG
Equation number 69 : 0 : DeltaI
Equation number 70 : 0 : DeltaGI
Equation number 71 : 0 : DeltaGVA
You did not declare endogenous variables after the estimation/calib_smoother command.
Smoothed variables will be computed for the 71 endogenous variables
of your model, this can take a long time ....
Choose one of the following options:
[1] Consider all the endogenous variables.
[2] Consider all the observed endogenous variables.
[3] Stop Dynare and change the mod file.
options [default is 1] = 2
Initial value of the log posterior (or likelihood): -985909933.6663
==========================================================
Change in the posterior covariance matrix = 10.
Change in the posterior mean = 9.1155.
Mode improvement = 985909283.1606
New value of jscale = 0.0016148
==========================================================
==========================================================
Change in the posterior covariance matrix = 0.11975.
Change in the posterior mean = 4.4084.
Mode improvement = 104.6615
New value of jscale = 0.074316
==========================================================
==========================================================
Change in the posterior covariance matrix = 0.23283.
Change in the posterior mean = 1.9316.
Mode improvement = 447.0836
New value of jscale = 0.39332
==========================================================
Optimal value of the scale parameter = 0.39332
Final value of minus the log posterior (or likelihood):308.083623
MODE CHECK
Fval obtained by the minimization routine (minus the posterior/likelihood)): 308.083623
RESULTS FROM POSTERIOR ESTIMATION
parameters
prior mean mode s.d. prior pstdev
aleph 0.800 0.7168 0.0067 beta 0.1000
gammaN 0.043 0.0429 0.0028 gamm 0.0100
gammaT 0.043 0.0222 0.0016 gamm 0.0100
mu 0.500 0.1121 0.0151 beta 0.2500
nu 0.500 0.2975 0.0095 invg Inf
phiN 4.000 3.6450 0.1013 gamm 1.0000
phistar 0.050 0.0264 0.0008 gamm 0.0100
phiT 4.000 2.2615 0.0974 gamm 1.0000
propto 0.500 0.9922 0.0383 invg Inf
psi 0.500 2.5939 0.2661 invg Inf
rho 0.800 0.5078 0.0145 beta 0.1000
rhostar 0.800 0.8827 0.0062 beta 0.1000
rhoi 0.800 0.8873 0.0117 beta 0.1000
rhoP 0.800 0.9779 0.0092 beta 0.1000
rhoN 0.800 0.8265 0.0072 beta 0.1000
rhoS 0.800 0.7539 0.0104 beta 0.1000
rhoT 0.800 0.9995 0.0121 beta 0.1000
tauL 0.150 0.3212 0.0041 beta 0.0500
upsilon 1.000 1.7489 0.2443 invg Inf
varphiGDP 0.500 0.4162 0.0501 norm 0.5000
varphie -0.600 -0.5744 0.0050 norm 0.0500
varphipi 1.000 1.2628 0.0102 norm 0.1500
varrhoP 0.800 0.8696 0.0064 beta 0.1000
varrhoT 0.800 0.9449 0.0090 beta 0.1000
varrhoW 0.800 0.6141 0.0104 beta 0.1000
varsigma 0.800 0.8283 0.0086 beta 0.1000
vartheta 0.010 0.0026 0.0012 invg Inf
standard deviation of shocks
prior mean mode s.d. prior pstdev
epsilonWhat 0.005 0.8956 0.1074 invg Inf
epsilonPhat 0.005 3.3220 0.5528 invg Inf
epsilonThat 0.005 1.9493 0.1489 invg Inf
estarhat 0.005 0.0432 0.0036 invg Inf
uhat 0.010 0.9090 0.0510 invg Inf
varepsilonhat 0.005 0.0453 0.0091 invg Inf
varepsilonNhat 0.010 0.7803 0.1162 invg Inf
varepsilonstarhat 0.010 0.0467 0.0053 invg Inf
varepsilonThat 0.010 1.4921 0.0674 invg Inf
varepsilonPhat 0.010 1.7838 0.1318 invg Inf
Log data density [Laplace approximation] is -473.710195.
Estimation::mcmc: Multiple chains mode.
Estimation::mcmc: Old mh-files successfully erased!
Estimation::mcmc: Old metropolis.log file successfully erased!
Estimation::mcmc: Creation of a new metropolis.log file.
Estimation::mcmc: Searching for initial values...
Estimation::mcmc: Initial values found!
Estimation::mcmc: Write details about the MCMC... Ok!
Estimation::mcmc: Details about the MCMC are available in Final/metropolis\Final_mh_history_0.mat
Estimation::mcmc: Number of mh files: 1 per block.
Estimation::mcmc: Total number of generated files: 2.
Estimation::mcmc: Total number of iterations: 25000.
Estimation::mcmc: Current acceptance ratio per chain:
Chain 1: 1.428%
Chain 2: 1.684%
Estimation::mcmc: Total number of MH draws per chain: 25000.
Estimation::mcmc: Total number of generated MH files: 1.
Estimation::mcmc: I'll use mh-files 1 to 1.
Estimation::mcmc: In MH-file number 1 I'll start at line 12501.
Estimation::mcmc: Finally I keep 12500 draws per chain.
MCMC Inefficiency factors per block
Parameter Block 1 Block 2
SE_epsilonWhat 489.415 580.192
SE_epsilonPhat 551.301 538.450
SE_epsilonThat 647.796 428.139
SE_estarhat 562.461 579.841
SE_uhat 584.736 572.585
SE_varepsilonhat 584.761 575.814
SE_varepsilonNhat 426.441 518.472
SE_varepsilonstarhat 530.404 451.348
SE_varepsilonThat 667.467 635.528
SE_varepsilonPhat 620.899 624.805
aleph 654.773 648.911
gammaN 530.851 592.885
gammaT 624.978 620.392
mu 528.772 540.885
nu 458.318 578.287
phiN 542.288 424.923
phistar 608.564 621.957
phiT 629.101 587.122
propto 401.172 620.436
psi 571.896 603.165
rho 654.261 552.058
rhostar 606.248 566.236
rhoi 519.039 546.235
rhoP 316.216 453.383
rhoN 597.386 484.641
rhoS 629.591 616.297
rhoT 136.170 168.802
tauL 620.313 594.021
upsilon 452.151 544.375
varphiGDP 440.838 613.776
varphie 530.540 537.673
varphipi 542.222 631.189
varrhoP 608.964 584.862
varrhoT 474.238 514.399
varrhoW 650.729 601.445
varsigma 621.840 557.516
vartheta 370.950 486.763
Estimation::mcmc::diagnostics: Univariate convergence diagnostic, Brooks and Gelman (1998):
Parameter 1... Done!
Parameter 2... Done!
Parameter 3... Done!
Parameter 4... Done!
Parameter 5... Done!
Parameter 6... Done!
Parameter 7... Done!
Parameter 8... Done!
Parameter 9... Done!
Parameter 10... Done!
Parameter 11... Done!
Parameter 12... Done!
Parameter 13... Done!
Parameter 14... Done!
Parameter 15... Done!
Parameter 16... Done!
Parameter 17... Done!
Parameter 18... Done!
Parameter 19... Done!
Parameter 20... Done!
Parameter 21... Done!
Parameter 22... Done!
Parameter 23... Done!
Parameter 24... Done!
Parameter 25... Done!
Parameter 26... Done!
Parameter 27... Done!
Parameter 28... Done!
Parameter 29... Done!
Parameter 30... Done!
Parameter 31... Done!
Parameter 32... Done!
Parameter 33... Done!
Parameter 34... Done!
Parameter 35... Done!
Parameter 36... Done!
Parameter 37... Done!
Estimation::marginal density: I'm computing the posterior mean and covariance... Done!
Estimation::marginal density: I'm computing the posterior log marginal density (modified harmonic mean)... Done!
ESTIMATION RESULTS
Log data density is -477.734478.
parameters
prior mean post. mean 90% HPD interval prior pstdev
aleph 0.800 0.7164 0.7077 0.7281 beta 0.1000
gammaN 0.043 0.0415 0.0391 0.0438 gamm 0.0100
gammaT 0.043 0.0226 0.0213 0.0239 gamm 0.0100
mu 0.500 0.1156 0.0973 0.1342 beta 0.2500
nu 0.500 0.2974 0.2799 0.3124 invg Inf
phiN 4.000 3.6121 3.4030 3.8102 gamm 1.0000
phistar 0.050 0.0259 0.0250 0.0276 gamm 0.0100
phiT 4.000 2.2824 2.1489 2.4192 gamm 1.0000
propto 0.500 0.9695 0.9004 1.0282 invg Inf
psi 0.500 2.7277 2.1244 3.3821 invg Inf
rho 0.800 0.4997 0.4866 0.5091 beta 0.1000
rhostar 0.800 0.9055 0.8962 0.9123 beta 0.1000
rhoi 0.800 0.8916 0.8794 0.9039 beta 0.1000
rhoP 0.800 0.9785 0.9760 0.9818 beta 0.1000
rhoN 0.800 0.8423 0.8245 0.8567 beta 0.1000
rhoS 0.800 0.7634 0.7430 0.7838 beta 0.1000
rhoT 0.800 0.9993 0.9986 0.9998 beta 0.1000
tauL 0.150 0.3294 0.3239 0.3361 beta 0.0500
upsilon 1.000 1.7641 1.6101 1.9822 invg Inf
varphiGDP 0.500 0.4507 0.3454 0.5648 norm 0.5000
varphie -0.600 -0.5758 -0.5904 -0.5630 norm 0.0500
varphipi 1.000 1.2743 1.2630 1.2884 norm 0.1500
varrhoP 0.800 0.8766 0.8710 0.8827 beta 0.1000
varrhoT 0.800 0.9373 0.9255 0.9488 beta 0.1000
varrhoW 0.800 0.5936 0.5829 0.6012 beta 0.1000
varsigma 0.800 0.8211 0.7994 0.8398 beta 0.1000
vartheta 0.010 0.0030 0.0020 0.0041 invg Inf
standard deviation of shocks
prior mean post. mean 90% HPD interval prior pstdev
epsilonWhat 0.005 0.9926 0.8614 1.1226 invg Inf
epsilonPhat 0.005 3.4931 3.1117 3.8975 invg Inf
epsilonThat 0.005 2.0101 1.7577 2.2856 invg Inf
estarhat 0.005 0.0441 0.0387 0.0513 invg Inf
uhat 0.010 0.8846 0.8079 0.9660 invg Inf
varepsilonhat 0.005 0.0466 0.0383 0.0543 invg Inf
varepsilonNhat 0.010 0.8368 0.7116 0.9648 invg Inf
varepsilonstarhat 0.010 0.0460 0.0388 0.0508 invg Inf
varepsilonThat 0.010 1.4927 1.3268 1.6667 invg Inf
varepsilonPhat 0.010 1.8551 1.5726 2.0997 invg Inf
Estimation::mcmc: Smoothed variables
Estimation::mcmc: Smoothed variables, done!
Estimation::mcmc: Smoothed shocks
Estimation::mcmc: Smoothed shocks, done!
Estimation::mcmc: Trend_coefficients
Estimation::mcmc: Trend_coefficients, done!
Estimation::mcmc: Smoothed constant
Estimation::mcmc: Smoothed constant, done!
Estimation::mcmc: Smoothed trend
Estimation::mcmc: Smoothed trend, done!
Estimation::mcmc: Updated Variables
Estimation::mcmc: Updated Variables, done!
MODEL SUMMARY
Number of variables: 71
Number of stochastic shocks: 10
Number of state variables: 26
Number of jumpers: 10
Number of static variables: 40
MATRIX OF COVARIANCE OF EXOGENOUS SHOCKS
Variables epsilonPhat epsilonThat epsilonWhat estarhat uhat varepsilonhat varepsilonPhat varepsilonNhat varepsilonstarhat varepsilonThat
epsilonPhat 12.201728 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000
epsilonThat 0.000000 4.040542 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000
epsilonWhat 0.000000 0.000000 0.985180 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000
estarhat 0.000000 0.000000 0.000000 0.001943 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000
uhat 0.000000 0.000000 0.000000 0.000000 0.782604 0.000000 0.000000 0.000000 0.000000 0.000000
varepsilonhat 0.000000 0.000000 0.000000 0.000000 0.000000 0.002172 0.000000 0.000000 0.000000 0.000000
varepsilonPhat 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 3.441574 0.000000 0.000000 0.000000
varepsilonNhat 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.700245 0.000000 0.000000
varepsilonstarhat 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.002114 0.000000
varepsilonThat 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 2.228108
POLICY AND TRANSITION FUNCTIONS
DeltaGDP DeltaC DeltaI DeltaG DeltaGI DeltaGVA TB_GDPhat pihat pistarhat ihat istarhat
APhat(-1) 0.602599 0.801094 1.524022 0 0 0.710171 -0.247824 2.061749 0 0.164905 -0.001127
ANhat(-1) 0.480749 0.307843 1.778568 0 0 0.365325 -0.097370 0.543158 0 0.039181 -0.000948
AThat(-1) 0.602604 0.863256 2.369764 0 0 0.751470 -0.466188 2.719707 0 0.218894 -0.001109
Bstarihat(-1) -0.038110 -0.020203 -0.228898 0 0 0.013082 0.023388 0.084679 0 -0.002668 0.000098
Chat(-1) 0 -1.000000 0 0 0 0 0 0 0 0 0
Dhat(-1) -0.183509 -0.224825 -0.514358 0 0 -0.144981 0.073397 -0.701060 0 -0.058843 0.001735
GDPhat(-1) -0.817723 0.223324 0.507617 0 0 0.154494 -0.072220 0.663358 0 0.005536 -0.000346
GIhat(-1) 0 0 0 0 -1.000000 0 0 0 0 0 0
Ihat(-1) 0 0 -1.000000 0 0 0 0 0 0 0 0
ihat(-1) -3.418367 -4.197973 -9.475976 0 0 -2.908132 1.351710 -12.542449 0 -0.133853 0.007284
istarhat(-1) -0.130411 -0.123444 -0.532963 0 0 -0.043794 0.063331 -0.182384 0 -0.028716 0.000873
KPhat(-1) 0.241945 0.311251 0.641268 0 0 0.261749 -0.098813 0.853318 0 0.068696 -0.000451
GShat(-1) 0.003250 0.039927 -0.639251 0.763353 0.763353 0.011166 0.014355 -0.692914 0 -0.047708 0.000478
Ghat(-1) 0 0 0 -1.000000 0 0 0 0 0 0 0
thetaPhat(-1) 0.008018 0.023691 -0.137613 0.198732 -0.533041 0.031251 -0.003931 0.002921 0 0.000180 -0.000017
thetaThat(-1) -0.079396 0.000466 -0.532418 0 -1.409910 -0.071697 0.032323 -0.287325 0 -0.023218 0.000147
thetaWhat(-1) 0.070317 0.097966 -0.227012 0.459069 -1.231316 0.048989 -0.005078 0.041560 0 0.005890 -0.000160
GVAhat(-1) 0 0 0 0 0 -1.000000 0 0 0 0 0
Xhat(-1) 0.443270 0.291551 0.140957 0 0 0.235829 0.219540 0.227576 0 0.058534 -0.000932
monhat(-1) -3.594933 -4.399081 -10.028445 0 0 -3.042907 1.424379 -13.511261 0 -0.605985 0.006741
shat(-1) -2.145794 -1.832261 -9.573625 0 0 -0.743402 1.079620 -1.883231 0 -0.395019 0.902179
KNhat(-1) -0.142729 -0.172835 -0.579563 0 0 -0.177105 0.093401 -0.577105 0 -0.047714 0.000268
KThat(-1) -0.600722 -0.573874 -1.813515 0 0 -0.450025 0.160629 -1.660796 0 -0.139275 0.001149
pMhat(-1) -0.208188 -0.272208 -0.500338 0 0 -0.205821 0.077123 -0.902187 0 -0.005346 0.000379
pNhat(-1) -0.264146 -0.296589 -0.700938 0 0 -0.193928 0.079561 -0.103901 0 -0.013694 0.000659
pThat(-1) -0.041920 -0.080940 -0.140117 0 0 -0.068277 0.041012 -0.036328 0 -0.003361 0.000126
epsilonPhat 0.009146 0.027025 -0.156978 0.226698 -0.608051 0.035649 -0.004484 0.003332 0 0.000205 -0.000019
epsilonThat -0.084708 0.000497 -0.568038 0 -1.504237 -0.076494 0.034485 -0.306548 0 -0.024772 0.000157
epsilonWhat 0.118450 0.165024 -0.382402 0.773302 -2.074153 0.082522 -0.008554 0.070008 0 0.009922 -0.000269
estarhat -0.170077 -0.252005 -0.271440 0 0 -0.218902 0.053735 -0.986866 1.000000 -0.002678 0.000282
uhat 0.004257 0.052305 -0.837424 1.000000 1.000000 0.014627 0.018805 -0.907724 0 -0.062498 0.000626
varepsilonhat -7.194671 -8.804041 -20.070292 0 0 -6.089880 2.850663 -27.040578 0 -1.212780 0.013491
varepsilonPhat 0.615843 0.818701 1.557519 0 0 0.725780 -0.253271 2.107064 0 0.168529 -0.001152
varepsilonNhat 0.570747 0.365472 2.111519 0 0 0.433714 -0.115598 0.644838 0 0.046515 -0.001125
varepsilonstarhat -2.369811 -2.023545 -10.573095 0 0 -0.821011 1.192330 -2.079837 0 -0.436259 0.996365
varepsilonThat 0.603043 0.863885 2.371491 0 0 0.752018 -0.466527 2.721689 0 0.219053 -0.001109
THEORETICAL MOMENTS
VARIABLE MEAN STD. DEV. VARIANCE
DeltaGDP 0.0000 2.0980 4.4018
DeltaC 0.0000 2.6600 7.0754
DeltaI 0.0000 7.0763 50.0744
DeltaG 0.0000 1.5150 2.2953
DeltaGI 0.0000 4.5225 20.4531
DeltaGVA 0.0000 2.1225 4.5052
TB_GDPhat 0.0000 0.9728 0.9463
pihat 0.0000 6.2019 38.4641
pistarhat 0.0000 0.0441 0.0019
ihat 0.0000 1.8566 3.4471
istarhat 0.0000 0.2355 0.0554
VARIANCE DECOMPOSITION (in percent)
epsilonPhat epsilonThat epsilonWhat estarhat uhat varepsilonhat varepsilonPhat varepsilonNhat varepsilonstarhat varepsilonThat
DeltaGDP 0.02 1.11 0.41 0.00 0.50 4.69 47.22 5.77 0.41 39.86
DeltaC 0.14 0.37 0.49 0.00 0.45 4.31 49.18 1.53 0.19 43.35
DeltaI 0.64 3.12 0.34 0.00 1.91 3.57 33.34 7.21 0.57 49.29
DeltaG 29.12 0.00 32.21 0.00 38.67 0.00 0.00 0.00 0.00 0.00
DeltaGI 23.51 46.15 26.01 0.00 4.34 0.00 0.00 0.00 0.00 0.00
DeltaGVA 0.37 0.81 0.20 0.00 0.32 3.14 51.80 3.28 0.08 40.01
TB_GDPhat 0.05 0.54 0.02 0.01 1.01 2.10 25.15 1.92 1.20 67.99
pihat 0.00 1.09 0.01 0.00 1.90 4.17 43.60 0.90 0.03 48.30
pistarhat 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00
ihat 0.00 1.05 0.02 0.00 2.05 0.13 41.07 1.16 0.06 54.47
istarhat 0.00 0.02 0.00 0.00 0.10 0.00 0.12 0.11 21.08 78.55
MATRIX OF CORRELATIONS
Variables DeltaGDP DeltaC DeltaI DeltaG DeltaGI DeltaGVA TB_GDPhat pihat pistarhat ihat istarhat
DeltaGDP 1.0000 0.9860 0.9620 0.0398 0.0154 0.9756 -0.5330 0.6064 -0.0036 0.0358 -0.0085
DeltaC 0.9860 1.0000 0.9360 0.0656 -0.0506 0.9838 -0.5738 0.6372 -0.0042 0.0360 -0.0091
DeltaI 0.9620 0.9360 1.0000 -0.1512 0.1559 0.9270 -0.5200 0.5791 -0.0017 0.0172 -0.0090
DeltaG 0.0398 0.0656 -0.1512 1.0000 -0.4215 0.0568 0.0146 -0.0632 0.0000 0.0005 -0.0012
DeltaGI 0.0154 -0.0506 0.1559 -0.4215 1.0000 -0.0018 -0.0260 0.0343 0.0000 0.0055 -0.0019
DeltaGVA 0.9756 0.9838 0.9270 0.0568 -0.0018 1.0000 -0.6665 0.7265 -0.0045 0.0734 -0.0119
TB_GDPhat -0.5330 -0.5738 -0.5200 0.0146 -0.0260 -0.6665 1.0000 -0.7971 0.0024 -0.1191 0.3451
pihat 0.6064 0.6372 0.5791 -0.0632 0.0343 0.7265 -0.7971 1.0000 -0.0070 0.5345 0.0175
pistarhat -0.0036 -0.0042 -0.0017 0.0000 0.0000 -0.0045 0.0024 -0.0070 1.0000 -0.0001 0.0001
ihat 0.0358 0.0360 0.0172 0.0005 0.0055 0.0734 -0.1191 0.5345 -0.0001 1.0000 0.0953
istarhat -0.0085 -0.0091 -0.0090 -0.0012 -0.0019 -0.0119 0.3451 0.0175 0.0001 0.0953 1.0000
COEFFICIENTS OF AUTOCORRELATION
Order 1 2 3 4 5
DeltaGDP -0.4404 -0.0477 -0.0027 0.0024 0.0021
DeltaC -0.4395 -0.0451 -0.0041 0.0007 0.0009
DeltaI -0.4069 -0.0565 -0.0158 -0.0077 -0.0045
DeltaG -0.1292 -0.0895 -0.0635 -0.0461 -0.0343
DeltaGI -0.0869 -0.0616 -0.0455 -0.0350 -0.0280
DeltaGVA -0.4046 -0.0336 0.0003 0.0020 0.0006
TB_GDPhat 0.3196 0.1680 0.0958 0.0580 0.0415
pihat 0.2060 0.1561 0.1465 0.1417 0.1375
pistarhat 0.0000 0.0000 0.0000 0.0000 0.0000
ihat 0.9680 0.9399 0.9118 0.8835 0.8554
istarhat 0.9800 0.9620 0.9457 0.9309 0.9174
Total computing time : 0h48m40s