I'm going back to a discussion we had last month to ask you guys youropinion: would it be wortwhile to add a paragraph to the GUG chapter on systems with an example on how to simulate from such a system?
I prepared a little example script (see below), that doesn't make much sense from an economic point of view, but illustrates the main techniques.
What do you think? <hansl> set verbose off open AWM18.gdt --quiet Con = log(PCR) Inv = log(GCR) Inc = log(YER) list EXO = const time ### estimate the system via FIML system method=fiml equation Con EXO Con(-1) Inc(0 to -1) equation Inv EXO Inv(-1) Inc(-1) equation Inc EXO Inc(-1 to -2) Inv(-1) end system ### compute the reduced form VAR representation matrix A = $sysGamma\$sysA matrix b = $sysGamma\$sysB ### produce the simulation scalar horizon = 12 # future values of the exogenous variable matrix SimExo = 1 ~ seq($nobs + 1, $nobs + horizon)' matrix X = SimExo * b' # simulated disturbances E = mnormal(horizon, 3) * cholesky($sigma)' # inital values list ENDO = Con Inv Inc matrix init = {ENDO}[$nobs-1:,] # perform simulation Sim = varsimul(A, X + E, init) </hansl> ------------------------------------------------------- Riccardo (Jack) Lucchetti Dipartimento di Scienze Economiche e Sociali (DiSES) Università Politecnica delle Marche (formerly known as Università di Ancona) r.lucche...@univpm.it http://www2.econ.univpm.it/servizi/hpp/lucchetti -------------------------------------------------------
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