diff --git a/doc/manual.xml b/doc/manual.xml index ada528efcd4a5e0765500a36448354e90eff106c..68c5a051ca80dbe621d287b2f1963761a9b23a6b 100644 --- a/doc/manual.xml +++ b/doc/manual.xml @@ -4408,6 +4408,10 @@ plot_conditional_forecast(periods = 10) e u; <term><filename>fs2000.mod</filename></term> <listitem><para>A cash in advance model, estimated by <xref linkend="schorfheide_2000"/>.</para></listitem> </varlistentry> + <varlistentry> + <term><filename>fs2000_nonstationary.mod</filename></term> + <listitem><para>The same model than <filename>fs2000.mod</filename>, but written in non-stationary form. Detrending of the equations is done by Dynare.</para></listitem> + </varlistentry> <varlistentry> <term><filename>bkk.mod</filename></term> <listitem><para>Multi-country RBC model with time to build, presented in <xref linkend="backus-kehoe-kydland_1992"/>.</para></listitem> diff --git a/examples/fs2000_nonstationary.mod b/examples/fs2000_nonstationary.mod new file mode 100644 index 0000000000000000000000000000000000000000..575e0bb2e1abff6a927ddbdb06bf4fcaf337fc34 --- /dev/null +++ b/examples/fs2000_nonstationary.mod @@ -0,0 +1,85 @@ +/* + * This file is a modified version of 'fs2000.mod'. + * + * The difference is that, here, the equations are written in non-stationary form, + * and Dynare automatically does the detrending. + * + * Also note that "m" and "dA" in 'fs2000.mod' are here called "gM" and "gA" + */ + +/* + * Copyright (C) 2004-2010 Dynare Team + * + * This file is part of Dynare. + * + * Dynare is free software: you can redistribute it and/or modify + * it under the terms of the GNU General Public License as published by + * the Free Software Foundation, either version 3 of the License, or + * (at your option) any later version. + * + * Dynare is distributed in the hope that it will be useful, + * but WITHOUT ANY WARRANTY; without even the implied warranty of + * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the + * GNU General Public License for more details. + * + * You should have received a copy of the GNU General Public License + * along with Dynare. If not, see <http://www.gnu.org/licenses/>. + */ + +var gM gA; +trend_var(growth_factor=gA) A; +trend_var(growth_factor=gM) M; +var(deflator=A) k c y; +var(deflator=M(-1)/A) P; +var(deflator=M(-1)) W l d; +var R n; +varexo e_a e_m; + +parameters alp bet gam mst rho psi del; + +alp = 0.33; +bet = 0.99; +gam = 0.003; +mst = 1.011; +rho = 0.7; +psi = 0.787; +del = 0.02; + +model; +gA = exp(gam+e_a); +log(gM) = (1-rho)*log(mst) + rho*log(gM(-1))+e_m; +c+k = k(-1)^alp*(A*n)^(1-alp)+(1-del)*k(-1); +P*c = M; +P/(c(+1)*P(+1))=bet*P(+1)*(alp*k^(alp-1)*(A(+1)*n(+1))^(1-alp)+(1-del))/(c(+2)*P(+2)); +(psi/(1-psi))*(c*P/(1-n))=W; +R = P*(1-alp)*k(-1)^alp*A^(1-alp)*n^(-alp)/W; +W = l/n; +M-M(-1)+d = l; +1/(c*P)=bet*R/(c(+1)*P(+1)); +y = k(-1)^alp*(A*n)^(1-alp); +end; + +initval; +k = 6; +gM = mst; +P = 2.25; +c = 0.45; +W = 4; +R = 1.02; +d = 0.85; +n = 0.19; +l = 0.86; +y = 0.6; +gA = exp(gam); +end; + +shocks; +var e_a; stderr 0.014; +var e_m; stderr 0.005; +end; + +steady; + +check; + +stoch_simul;