AD-AS Model Germany 19th Century

#

# AD-AS BAU Model

#

require(dse)

require(matlab)

AIC <- function(model) {informationTestsCalculations(model)[3]}

f <- matrix( c(  1.03759641, 0.006884606,  0.104790628,

                     0.09487893, 0.925283604, -0.009619083,

                      0.0000000, 0.0000000,  1.0000000

),byrow=TRUE,nrow=3,ncol=3)

h <- eye(2,3)

k <- f[1:3,1:2,drop=FALSE]

DEL19_AS_AD <- SS(F=f,H=h,K=k,z0=c(0.104790628, -0.009619083,  1.0000000),

              output.names=c("Q","P"))

stability(DEL19_AS_AD)

# tfplot(simulate(DEL19_AS_AD,sampleT=50,start=1872))

shockDecomposition(toSSChol(DEL19_AS_AD))

DEL19_AS_AD.data <- simulate(DEL19_AS_AD,sampleT=50)

m <- l(DEL19_AS_AD,DEL19_AS_AD.data)

# tfplot(m)

DEL19_AS_AD.f <- forecast(m,horizon=50)

tfplot(DEL19_AS_AD.f)