105 lines
2.7 KiB
Modula-2
105 lines
2.7 KiB
Modula-2
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/*
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* Example 1 from F. Collard (2001): "Stochastic simulations with DYNARE:
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* A practical guide" (see "guide.pdf" in the documentation directory).
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*/
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/*
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* Copyright (C) 2001-2010 Dynare Team
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*
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* This file is part of Dynare.
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*
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* Dynare is free software: you can redistribute it and/or modify
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* it under the terms of the GNU General Public License as published by
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* the Free Software Foundation, either version 3 of the License, or
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* (at your option) any later version.
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*
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* Dynare is distributed in the hope that it will be useful,
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* but WITHOUT ANY WARRANTY; without even the implied warranty of
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* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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* GNU General Public License for more details.
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*
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* You should have received a copy of the GNU General Public License
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* along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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*/
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var y, c, k, a, h, b;
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varexo e, u;
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parameters beta, rho, alpha, delta, theta, psi, tau;
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alpha = 0.36;
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rho = 0.95;
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tau = 0.025;
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beta = 0.99;
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delta = 0.025;
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psi = 0;
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theta = 2.95;
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phi = 0.1;
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model;
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c*theta*h^(1+psi)=(1-alpha)*y;
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k = beta*(((b*c)/(b(+1)*c(+1)))
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*(b(+1)*alpha*y(+1)+(1-delta)*k));
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y = a*(k(-1)^alpha)*(h^(1-alpha));
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k = b*(y-c)+(1-delta)*k(-1);
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log(a) = rho*log(a(-1))+tau*log(b(-1)) + e;
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log(b) = tau*log(a(-1))+rho*log(b(-1)) + u;
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end;
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initval;
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y = 1.08068253095672;
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c = 0.80359242014163;
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h = 0.29175631001732;
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k = 11.08360443260358;
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a = 1;
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b = 1;
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end;
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resid(1);
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shocks;
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var e; stderr 0.009;
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var u; stderr 0.009;
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var e, u = phi*0.009*0.009;
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end;
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stoch_simul(loglinear,order=1);
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load results_exp;
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if max(max(abs(oo_.dr.ghx-oo_exp.dr.ghx)))>1e-10
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error('Option loglinear wrong, ghx not equal')
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end
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if max(max(abs(oo_.dr.ghu-oo_exp.dr.ghu)))>1e-10
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error('Option loglinear wrong, ghu not equal')
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end
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if max(max(abs(oo_.irfs.y_e-oo_exp.irfs.y_e)))>1e-10
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error('Option loglinear wrong, IRFs not equal')
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end
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if max(max(abs(oo_.irfs.y_u-oo_exp.irfs.y_u)))>1e-10
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error('Option loglinear wrong, ghu not equal')
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end
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if max(max(abs(oo_.mean-oo_exp.mean)))>1e-10
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error('Option loglinear wrong, mean not equal')
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end
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if max(max(abs(oo_.dr.ys-oo_exp.dr.ys)))>1e-10
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error('Option loglinear wrong, ys not equal')
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end
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if max(max(abs(oo_.steady_state-oo_exp.steady_state)))>1e-10
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error('Option loglinear wrong, steady_state not equal')
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end
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for ii=1:length(oo_.gamma_y)
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if max(max(abs(oo_.gamma_y{ii,1}-oo_exp.gamma_y{ii,1})))>1e-10
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error('Option loglinear wrong, moments not equal')
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end
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end
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for ii=1:length(oo_.autocorr)
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if max(max(abs(oo_.autocorr{1,ii}-oo_exp.autocorr{1,ii})))>1e-10
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error('Option loglinear wrong, moments not equal')
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end
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end
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stoch_simul(loglinear,order=1,periods=100000);
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if abs(mean(y)-0.0776)>0.02
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error('Simulations are wrong')
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end
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