53 lines
1.2 KiB
Modula-2
53 lines
1.2 KiB
Modula-2
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// --+ options: stochastic,transform_unary_ops,json=compute +--
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var foo z x y;
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varexo e_x e_y e_z;
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parameters a b c d e f beta ;
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a = .9;
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b = -.2;
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c = .3;
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f = .8;
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d = .5;
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e = .4;
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@#include "example/model/var-expectations/varexp-parameters.inc"
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beta = 1/(1+.02);
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// Define a VAR_EXPECTATION_MODEL
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var_model(model_name = toto, eqtags = [ 'X' 'Y' 'Z' ]);
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model;
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[ name = 'X' ]
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diff(x) = a*diff(x(-1)) + b*diff(x(-2)) + c*z(-2) + e_x;
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[ name = 'Z' ]
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z = f*z(-1) + e_z;
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[ name = 'Y' ]
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log(y) = d*log(y(-2)) + e*z(-1) + e_y;
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foo = .5*foo(-1) +
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@#include "example/model/var-expectations/varexp-expression.inc"
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;
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end;
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verbatim;
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set_dynare_seed('default');
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y = zeros(M_.endo_nbr,1);
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y(1:M_.orig_endo_nbr) = rand(M_.orig_endo_nbr, 1);
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x = randn(M_.exo_nbr,1);
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y = substitution.set_auxiliary_variables(y, x, M_.params);
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y = [y(find(M_.lead_lag_incidence(1,:))); y];
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[residual, g1] = substitution.dynamic(y, x', M_.params, oo_.steady_state, 1);
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example = load('example.mat');
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end;
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if max(abs(example.residual-residual))>1e-8
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error('Residuals do not match!')
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end
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if max(max(abs(example.g1-g1)))>1e-8
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error('Jacobian matrices do not match!')
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end
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delete('example.mat')
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