96 lines
3.5 KiB
Modula-2
96 lines
3.5 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 = exp(const_y)^(1-rho_y)*Y_obs(-1)^rho_y*exp(sigma_y*e_y);
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P_obs = exp(const_p)^(1-rho_p)*P_obs(-1)^rho_p*exp(sigma_p*e_p);
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junk1 = (junk1(+1))^0.9;
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junk2 = (junk2(-1))^0.9*exp(eps_junk);
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end;
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steady_state_model;
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Y_obs = exp(const_y);
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P_obs = exp(const_p);
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junk1=1;
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junk2=1;
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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(nocheck);
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check;
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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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calib_smoother(datafile='../Exp_AR1_trend_data_with_constant',prefilter=0,loglinear,
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filter_decomposition,
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filtered_vars, filter_step_ahead = [1,2,4]) P_obs Y_obs junk2;
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load('../Exp_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-log(Y_obs')))>1e-5 ||...
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max(abs(oo_.SmoothedVariables.P_obs-log(P_obs')))>1e-5 || ...
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max(abs(oo_.SmoothedVariables.junk2-log(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-log(Y_obs')))>1e-5 ||...
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max(abs(oo_.UpdatedVariables.P_obs-log(P_obs')))>1e-5 || ...
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max(abs(oo_.UpdatedVariables.junk2-log(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)-log(Y_obs(2:end)')))>1e-3 ||...
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mean(abs(oo_.FilteredVariables.P_obs(1:end-1)-log(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)-log(Y_obs(3:end)'),oo_.FilteredVariables.Y_obs(1:end-2)-log(Y_obs(2:end-1)')))>1e-2 ||...
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abs(corr(oo_.FilteredVariables.P_obs(2:end-1)-log(P_obs(3:end)'),oo_.FilteredVariables.P_obs(1:end-2)-log(P_obs(2:end-1)')))>2e-1 ||...
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abs(corr(oo_.FilteredVariables.junk2(2:end-1)-log(junk2(3:end)'),oo_.FilteredVariables.junk2(1:end-2)-log(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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