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How to simulate a transition with noise using the stoch_simul command (Dynare)?
var y;
varexo e;
parameters rho, sigma, ybar;
ybar = 2;
rho = .99;
sigma = .01;
model;
y = (1-rho)*ybar + rho*y(-1) + sigma*e;
end;
shocks;
var e; stderr 1;
end;
histval;
y(0) = 0;
end;
stoch_simul(order=1,periods=500,drop=0);
plot(y);
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