98 lines
3.4 KiB
Modula-2
98 lines
3.4 KiB
Modula-2
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var Y_obs P_obs junk1 junk2;
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varexo e_y e_p eps_junk;
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parameters rho_y rho_p g_y g_p const_y const_p sigma_y sigma_p;
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rho_y=0.5;
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rho_p=0.5;
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g_y=0.0001;
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g_p=-0.0001;
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const_y=2;
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const_p=2;
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sigma_y=0.001;
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sigma_p=0.001;
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model;
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Y_obs = (1-rho_y)*const_y + rho_y*Y_obs(-1)+sigma_y*e_y;
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P_obs = (1-rho_p)*const_p + rho_p*P_obs(-1)+sigma_p*e_p;
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junk1 = 0.9*junk1(+1);
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junk2 = 0.9*junk2(-1)+eps_junk;
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end;
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steady_state_model;
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Y_obs = const_y;
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P_obs = const_p;
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junk1=0;
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junk2=0;
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end;
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shocks;
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var e_p; stderr 1;
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var e_y; stderr 1;
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var eps_junk; stderr 1;
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end;
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steady;
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varobs P_obs Y_obs junk2;
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observation_trends;
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P_obs (g_p);
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Y_obs (g_y);
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end;
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options_.plot_priors=0;
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calib_smoother(datafile='../AR1_trend_data_with_constant',prefilter=0,
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filter_decomposition,
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filtered_vars, filter_step_ahead = [1,2,4]) P_obs Y_obs;
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load('../AR1_trend_data_with_constant');
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loaded_par=load('../orig_params');
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if max(abs((M_.params-loaded_par.orig_params)./loaded_par.orig_params))>0.03
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error('Parameters do not match')
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end
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if max(abs(oo_.SmoothedVariables.Y_obs-Y_obs'))>1e-5 ||...
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max(abs(oo_.SmoothedVariables.P_obs-P_obs'))>1e-5 || ...
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max(abs(oo_.SmoothedVariables.junk2-junk2'))>1e-5
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error('Smoothed Variables are wrong')
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end
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if max(abs(oo_.UpdatedVariables.Y_obs-Y_obs'))>1e-5 ||...
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max(abs(oo_.UpdatedVariables.P_obs-P_obs'))>1e-5 || ...
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max(abs(oo_.UpdatedVariables.junk2-junk2'))>1e-5
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error('Updated Variables are wrong')
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end
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if mean(abs(oo_.FilteredVariables.Y_obs(1:end-1)-Y_obs(2:end)'))>1e-3 ||...
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mean(abs(oo_.FilteredVariables.P_obs(1:end-1)-P_obs(2:end)'))>1e-3
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error('Smoothed Variables are wrong')
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end
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if abs(corr(oo_.FilteredVariables.Y_obs(2:end-1)-Y_obs(3:end)',oo_.FilteredVariables.Y_obs(1:end-2)-Y_obs(2:end-1)'))>1e-2 ||...
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abs(corr(oo_.FilteredVariables.P_obs(2:end-1)-P_obs(3:end)',oo_.FilteredVariables.P_obs(1:end-2)-P_obs(2:end-1)'))>1e-2 ||...
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abs(corr(oo_.FilteredVariables.junk2(2:end-1)-junk2(3:end)',oo_.FilteredVariables.junk2(1:end-2)-junk2(2:end-1)'))>1e-2
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error('Filtered Variables are wrong')
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end
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if max(abs(squeeze(oo_.FilteredVariablesKStepAhead(1,1,2:end-(options_.nk-1)))-oo_.FilteredVariables.Y_obs))>1e-5 ||...
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max(abs(squeeze(oo_.FilteredVariablesKStepAhead(1,2,2:end-(options_.nk-1)))-oo_.FilteredVariables.P_obs))>1e-5 ||...
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max(abs(squeeze(oo_.FilteredVariablesKStepAhead(1,3,2:end-(options_.nk-1)))-oo_.FilteredVariables.junk2))>1e-5
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error('FilteredVariablesKStepAhead is wrong')
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end
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if max(abs(squeeze(oo_.FilteredVariablesKStepAhead(1,1,2:end-(options_.nk-1)))-oo_.FilteredVariables.Y_obs))>1e-5 ||...
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max(abs(squeeze(oo_.FilteredVariablesKStepAhead(1,2,2:end-(options_.nk-1)))-oo_.FilteredVariables.P_obs))>1e-5 ||...
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max(abs(squeeze(oo_.FilteredVariablesKStepAhead(1,3,2:end-(options_.nk-1)))-oo_.FilteredVariables.junk2))>1e-5 ||...
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max(abs(squeeze(oo_.FilteredVariablesKStepAhead(2,1,3:end-options_.nk))-oo_.FilteredVariables.Y_obs(3:end)))>1e-2 ||...
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max(abs(squeeze(oo_.FilteredVariablesKStepAhead(2,2,3:end-options_.nk))-oo_.FilteredVariables.P_obs(3:end)))>1e-2 ||...
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mean(squeeze(oo_.FilteredVariablesKStepAhead(2,3,3:end-options_.nk)))>1e-1 ||...
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mean(squeeze(oo_.FilteredVariablesKStepAhead(2,4,3:end-options_.nk)))>1e-1
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error('FilteredVariablesKStepAhead is wrong')
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end
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if abs(mean(oo_.SmoothedShocks.e_y))>0.05 || abs(mean(oo_.SmoothedShocks.e_p))>0.05
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error('Residuals are not mean 0')
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end
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