Created
November 27, 2013 16:05
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How to simulate a transition with noise using the stoch_simul command (Dynare)?
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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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