AD-AS Market Model

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# AD-AS Policy Model Model

# Cut-and-Paste Code into Window Above an Run (Cmd-Enter)

#

require(dse)

require(matlab)

#

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

f <- matrix( c(  0.9, -.05, -0.009619083,

                       0.05, .9,  0.104790628,

                      0.0000000, 0.0000000,  1.0000000

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

h <- eye(2,3)

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

AD_AS <- SS(F=f,H=h,K=k,z0=c( 0, 0,  1.0000000),

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

stability(AD_AS)

shockDecomposition(toSSChol(AD_AS))

#tfplot(simulate(AD_AS,sampleT=50,start=1))

AD_AS.data <- simulate(AD_AS,sampleT=50,noise=matrix(0,50,2),start=1)

m <- l(AD_AS,AD_AS.data)

#tfplot(m)

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

tfplot(AD_AS.f)

AIC(m)