i need some help.
i'm trying to write a code for the paper call "Short-Term Variations and Long-Term Dynamics in Commodity Prices" by Schwartz and Smith (2000). The error is in the signal equation.
Code: Select all
@mprior svec3
@vprior svar3
param k 1.49 mu 0.0125 mustar -0.0115 lqi 0.157 lqsi -0.10 ro 0.3 sqi 0.286 sqsi 0.145 sv1 0.042 sv24 0.030 sv48 0.020
@state qi=qi(-1)*exp(-k*(1/12))+[ename=eqi]
@state qsi=qsi(-1)+mu*(1/12)+[ename=eqsi]
@signal log(f1)=qi*exp(-k*1/12)+qsi+mustar*1/12-(1-exp(-k*1/12))*(lqi/k)+(1/2)*((1-exp(-2*k*1/12))*((sqi^2)/2*k)+(sqsi^2)*1/12+2*(1-exp(-k*1/12))*(ro*sqi*sqsi)/k)+[ename=v1]
@signal log(f24)=qi*exp(-k*24/12)+qsi+mustar*24/12-(1-exp(-k*24/12))*(lqi/k)+(1/2)*((1-exp(-2*k*24/12))*((sqi^2)/2*k)+(sqsi^2)*24/12+2*(1-exp(-k*24/12))*(ro*sqi*sqsi)/k)+[ename=v24]
@signal log(f48)=qi*exp(-k*48/12)+qsi+mustar*48/12-(1-exp(-k*48/12))*(lqi/k)+(1/2)*((1-exp(-2*k*48/12))*((sqi^2)/2*k)+(sqsi^2)*48/12+2*(1-exp(-k*48/12))*(ro*sqi*sqsi)/k)+[ename=v48]
@evar var(eqi)=sqi^2
@evar var(eqsi)=sqsi^2
@evar cov(eqi,eqsi)=ro*sqi*sqsi
@evar var(v1)=sv1^2
@evar var(v24)=sv24^2
@evar var(v48)=sv48^2