MODEL SUMMARY Number of variables: 6 Number of stochastic shocks: 2 Number of state variables: 3 Number of jumpers: 3 Number of static variables: 1 MATRIX OF COVARIANCE OF EXOGENOUS SHOCKS Variables e u e 0.000081 0.000008 u 0.000008 0.000081 POLICY AND TRANSITION FUNCTIONS h a k b c y Constant 0.291870 0 11.083988 0 0.803479 1.080953 (correction) 0.000114 0 0.000383 0 -0.000113 0.000270 a(-1) 0.341715 0.950000 1.419062 0.025000 0.424583 1.836717 k(-1) -0.012547 0 0.941817 0 0.038542 0.005358 b(-1) 0.341715 0.025000 1.419062 0.950000 -0.318740 0.837086 e 0.350477 1.000000 1.455448 0 0.456074 1.911522 u 0.350477 0 1.455448 1.000000 -0.347518 0.830840 a(-1),a(-1) 0.113185 0 1.191788 0 0.198361 1.354759 k(-1),a(-1) -0.005457 0 0.018973 0 0.011204 0.031006 k(-1),k(-1) 0.000640 0 -0.000073 0 -0.000620 -0.000693 b(-1),a(-1) 0.226387 0 2.383633 0 0.003965 1.010594 b(-1),k(-1) -0.005455 0 0.018979 0 -0.024449 0.026054 b(-1),b(-1) 0.113200 0 1.191840 0 0.149393 0.118161 e,e 0.119063 0 1.253687 0 0.220094 1.473781 u,e 0.238145 0 2.507438 0 -0.015905 1.036085 u,u 0.119080 0 1.253745 0 0.165799 0.102641 a(-1),e 0.232174 0 2.444691 0 0.417781 2.826086 a(-1),u 0.232192 0 2.444754 0 -0.006820 0.989413 k(-1),e -0.005597 0 0.019459 0 0.012479 0.031939 k(-1),u -0.005595 0 0.019466 0 -0.026064 0.026585 b(-1),e 0.232191 0 2.444751 0 -0.004105 1.057970 b(-1),u 0.232206 0 2.444802 0 0.314620 0.220920 THEORETICAL MOMENTS VARIABLE MEAN STD. DEV. VARIANCE a 0.0000 0.0340 0.0012 b -0.0000 0.0340 0.0012 c 0.8025 0.0529 0.0028 h 0.2930 0.0119 0.0001 k 11.0896 1.2603 1.5883 y 1.0842 0.0897 0.0080 VARIANCE DECOMPOSITION (in percent) e u a 88.20 11.80 b 17.43 82.57 c 65.16 34.84 h 55.00 45.00 k 55.00 45.00 y 70.30 29.70 MATRIX OF CORRELATIONS Variables a b c h k y a 1.0000 0.5627 0.8396 0.5906 0.7504 0.9563 b 0.5627 1.0000 0.6138 0.5906 0.7504 0.7773 c 0.8396 0.6138 1.0000 0.1656 0.9704 0.8742 h 0.5906 0.5906 0.1656 1.0000 0.1739 0.6237 k 0.7504 0.7504 0.9704 0.1739 1.0000 0.8548 y 0.9563 0.7773 0.8742 0.6237 0.8548 1.0000 COEFFICIENTS OF AUTOCORRELATION Order 1 2 3 4 5 a 0.9641 0.9299 0.8973 0.8662 0.8365 b 0.9641 0.9299 0.8973 0.8662 0.8365 c 0.9949 0.9889 0.9819 0.9741 0.9656 h 0.9195 0.8442 0.7739 0.7082 0.6468 k 0.9992 0.9971 0.9937 0.9891 0.9834 y 0.9762 0.9530 0.9303 0.9081 0.8864