#+BEGIN_SRC jupyter-python :session woodford :results drawer
     from dsge.symbols import Variable, Equation
     both_terminal = DSGE.read('models/woodford.yaml')
     fix_parameters(both_terminal, gammatilde='gamma', alpha=0.33)
     v_epsxi = Variable('v_epsxi')
     v_epsi = Variable('v_epsi')
     v_epsy = Variable('v_epsy')
     both_terminal['var_ordering'] = both_terminal['var_ordering'] + [v_epsxi, v_epsi, v_epsy]
     both_terminal['perturb_eq'] = (both_terminal['perturb_eq'] +
                                    [Equation(v_epsxi, both_terminal.shocks[0]),
                                     Equation(v_epsi, both_terminal.shocks[1]),
                                     Equation(v_epsy, both_terminal.shocks[2])])

     woodford_both_terminal = both_terminal.compile_model()

     p0 = results.xs(r'Woodford-$\bar\phi$',axis=1).mean()
     p0 = p0[[str(x) for x in both_terminal.parameters]]
     CC, TT, RR, QQ, DD, ZZ, HH = woodford_both_terminal.system_matrices(p0)

     import statsmodels.api as sm

     class my_dsge(sm.tsa.statespace.MLEModel):

         _start_params = p0
         _param_names = [str(x) for x in both_terminal.parameters]

         def __init__(self, endog):
             super().__init__(endog, k_states=TT.shape[0], initialization='stationary')

             self['obs_intercept',:,:] = DD
             self['design',:,:] = ZZ
             self['transition',:,:] = TT
             self['selection',:20,:3] = RR
             self['state_cov',:3,:3] = QQ

         def update(self, params, **kwargs):
             params = super().update(params, **kwargs)

     mleresults = my_dsge(woodford_both_terminal.yy).smooth(p0)
     res = p.DataFrame(mleresults.smoothed_state.T, columns=woodford_both_terminal.state_names, index=woodford_both_terminal.yy.index)
     resf = p.DataFrame(mleresults.filtered_state.T, columns=woodford_both_terminal.state_names, index=woodford_both_terminal.yy.index)
     ax= res.pibar.plot()
     resf.pibar.plot(ax=ax)
   #+END_SRC

   #+RESULTS:
   :RESULTS:
   : <matplotlib.axes._subplots.AxesSubplot at 0x7f72927eb198>
   [[file:./.ob-jupyter/e9642ba614ff6c63a8118aab755d92928e2bb83d.png]]
   :END: