Basic system prior analysis

This tutorial illustrates the definition and use of system priors in estimating a simple gap model.

Software requirements

• Matlab R2019b or newer

• Iris Toolbox Release 20210824 or newer

Model source files

The model source files are located in the model-source/ subfolder.

The subfolder contains two model files:

• model-source/simple.model with a simple closed-economy gap model;

• model-source/hp.model with a state space model for the Hodrick-Prescott filter (used for frequency domain illustrations).

Matlab scripts

Read and run the Matlab scripts in the following order:

• run01_createModel
• run02_simulateDisinflation
• run03_readDataFromFred.m
• run04_experimentWithHP
• run05_filterData
• run06_estimateParameters