95 lines
3.4 KiB
Modula-2
95 lines
3.4 KiB
Modula-2
|
var Y_obs P_obs junk1 junk2;
|
||
|
varexo e_y e_p eps_junk;
|
||
|
|
||
|
parameters rho_y rho_p g_y g_p sigma_y sigma_p;
|
||
|
|
||
|
rho_y=0.5;
|
||
|
rho_p=0.5;
|
||
|
g_y=0.0001;
|
||
|
g_p=-0.0001;
|
||
|
sigma_y=0.001;
|
||
|
sigma_p=0.001;
|
||
|
|
||
|
|
||
|
model;
|
||
|
Y_obs = Y_obs(-1)^rho_y*exp(sigma_y*e_y);
|
||
|
P_obs = P_obs(-1)^rho_p*exp(sigma_p*e_p);
|
||
|
junk1 = (junk1(+1))^0.9;
|
||
|
junk2 = (junk2(-1))^0.9*exp(eps_junk);
|
||
|
end;
|
||
|
|
||
|
steady_state_model;
|
||
|
Y_obs = 1;
|
||
|
P_obs = 1;
|
||
|
junk1=1;
|
||
|
junk2=1;
|
||
|
end;
|
||
|
|
||
|
shocks;
|
||
|
var e_p; stderr 1;
|
||
|
var e_y; stderr 1;
|
||
|
var eps_junk; stderr 1;
|
||
|
end;
|
||
|
|
||
|
steady(nocheck);
|
||
|
check;
|
||
|
|
||
|
varobs P_obs Y_obs junk2;
|
||
|
|
||
|
observation_trends;
|
||
|
P_obs (g_p);
|
||
|
Y_obs (g_y);
|
||
|
end;
|
||
|
|
||
|
|
||
|
calib_smoother(datafile='../Exp_AR1_trend_data_with_constant',prefilter=1,loglinear,
|
||
|
filter_decomposition,
|
||
|
filtered_vars, filter_step_ahead = [1,2,4]) P_obs Y_obs junk2;
|
||
|
load('../Exp_AR1_trend_data_with_constant');
|
||
|
loaded_par=load('../orig_params');
|
||
|
if max(abs((M_.params-loaded_par.orig_params([1:4,7:8]))./loaded_par.orig_params([1:4,7:8])))>0.03
|
||
|
error('Parameters do not match')
|
||
|
end
|
||
|
|
||
|
if max(abs(oo_.SmoothedVariables.Y_obs-log(Y_obs')))>1e-5 ||...
|
||
|
max(abs(oo_.SmoothedVariables.P_obs-log(P_obs')))>1e-5 || ...
|
||
|
max(abs(oo_.SmoothedVariables.junk2-log(junk2')))>1e-5
|
||
|
error('Smoothed Variables are wrong')
|
||
|
end
|
||
|
|
||
|
if max(abs(oo_.UpdatedVariables.Y_obs-log(Y_obs')))>1e-5 ||...
|
||
|
max(abs(oo_.UpdatedVariables.P_obs-log(P_obs')))>1e-5 || ...
|
||
|
max(abs(oo_.UpdatedVariables.junk2-log(junk2')))>1e-5
|
||
|
error('Updated Variables are wrong')
|
||
|
end
|
||
|
|
||
|
if mean(abs(oo_.FilteredVariables.Y_obs(1:end-1)-log(Y_obs(2:end)')))>1e-3 ||...
|
||
|
mean(abs(oo_.FilteredVariables.P_obs(1:end-1)-log(P_obs(2:end)')))>1e-3
|
||
|
error('Smoothed Variables are wrong')
|
||
|
end
|
||
|
|
||
|
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 ||...
|
||
|
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 ||...
|
||
|
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
|
||
|
error('Filtered Variables are wrong')
|
||
|
end
|
||
|
|
||
|
if max(abs(squeeze(oo_.FilteredVariablesKStepAhead(1,1,2:end-(options_.nk-1)))-oo_.FilteredVariables.Y_obs))>1e-5 ||...
|
||
|
max(abs(squeeze(oo_.FilteredVariablesKStepAhead(1,2,2:end-(options_.nk-1)))-oo_.FilteredVariables.P_obs))>1e-5 ||...
|
||
|
max(abs(squeeze(oo_.FilteredVariablesKStepAhead(1,3,2:end-(options_.nk-1)))-oo_.FilteredVariables.junk2))>1e-5
|
||
|
error('FilteredVariablesKStepAhead is wrong')
|
||
|
end
|
||
|
|
||
|
if max(abs(squeeze(oo_.FilteredVariablesKStepAhead(1,1,2:end-(options_.nk-1)))-oo_.FilteredVariables.Y_obs))>1e-5 ||...
|
||
|
max(abs(squeeze(oo_.FilteredVariablesKStepAhead(1,2,2:end-(options_.nk-1)))-oo_.FilteredVariables.P_obs))>1e-5 ||...
|
||
|
max(abs(squeeze(oo_.FilteredVariablesKStepAhead(1,3,2:end-(options_.nk-1)))-oo_.FilteredVariables.junk2))>1e-5 ||...
|
||
|
max(abs(squeeze(oo_.FilteredVariablesKStepAhead(2,1,3:end-options_.nk))-oo_.FilteredVariables.Y_obs(3:end)))>1e-2 ||...
|
||
|
max(abs(squeeze(oo_.FilteredVariablesKStepAhead(2,2,3:end-options_.nk))-oo_.FilteredVariables.P_obs(3:end)))>1e-2 ||...
|
||
|
mean(squeeze(oo_.FilteredVariablesKStepAhead(2,3,3:end-options_.nk)))>1e-1 ||...
|
||
|
mean(squeeze(oo_.FilteredVariablesKStepAhead(2,4,3:end-options_.nk)))>1e-1
|
||
|
error('FilteredVariablesKStepAhead is wrong')
|
||
|
end
|
||
|
|
||
|
if abs(mean(oo_.SmoothedShocks.e_y))>0.05 || abs(mean(oo_.SmoothedShocks.e_p))>0.05
|
||
|
error('Residuals are not mean 0')
|
||
|
end
|