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test cases for loglinear with lead/lagged exogenous variables

time-shift
Michel Juillard 2016-05-03 11:07:25 +02:00
parent 3c7c2f46a4
commit 034bd0367b
3 changed files with 160 additions and 0 deletions
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4
tests/Makefile.am
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@ -258,6 +258,8 @@ MODFILES = \
filter_step_ahead/fs2000_filter_step_ahead_bayesian.mod \
filter_step_ahead/fs2000_filter_step_ahead_ML.mod \
loglinear/example4_loglinear.mod \
loglinear/example4_loglinear_lagged_exogenous.mod \
loglinear/example4_loglinear_lagged_exogenous_a.mod \
smoother2histval/fs2000_simul.mod \
smoother2histval/fs2000_smooth.mod \
smoother2histval/fs2000_smooth_stoch_simul.mod \
@ -415,6 +417,8 @@ deterministic_simulations/multiple_lead_lags/sim_lead_lag.o.trs: deterministic_s
deterministic_simulations/multiple_lead_lags/ramst_augmented_histval.m.trs: ramst.m.trs
deterministic_simulations/multiple_lead_lags/ramst_augmented_histval.o.trs: ramst.o.trs
loglinear/example4_loglinear_lagged_exogenous_a.m.trs: example4_loglinear_lagged_exogenous.m.trs
# Matlab TRS Files
M_TRS_FILES = $(patsubst %.mod, %.m.trs, $(MODFILES))
M_TRS_FILES += run_block_byte_tests_matlab.m.trs run_reporting_test_matlab.m.trs run_all_unitary_tests.m.trs

67
tests/loglinear/example4_loglinear_lagged_exogenous.mod Normal file
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@ -0,0 +1,67 @@
/*
* Example 1 from F. Collard (2001): "Stochastic simulations with DYNARE:
* A practical guide" (see "guide.pdf" in the documentation directory).
*/
/*
* Copyright (C) 2001-2010 Dynare Team
*
* This file is part of Dynare.
*
* Dynare is free software: you can redistribute it and/or modify
* it under the terms of the GNU General Public License as published by
* the Free Software Foundation, either version 3 of the License, or
* (at your option) any later version.
*
* Dynare is distributed in the hope that it will be useful,
* but WITHOUT ANY WARRANTY; without even the implied warranty of
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
* GNU General Public License for more details.
*
* You should have received a copy of the GNU General Public License
* along with Dynare. If not, see <http://www.gnu.org/licenses/>.
*/
var y, c, k, a, h, b;
varexo e, u;
parameters beta, rho, alpha, delta, theta, psi, tau;
alpha = 0.36;
rho = 0.95;
tau = 0.025;
beta = 0.99;
delta = 0.025;
psi = 0;
theta = 2.95;
phi = 0.1;
model;
c*theta*h^(1+psi)=(1-alpha)*y;
k = beta*(((b*c)/(b(+1)*c(+1)))
*(b(+1)*alpha*y(+1)+(1-delta)*k));
y = a*(k(-1)^alpha)*(h^(1-alpha));
k = b*(y-c)+(1-delta)*k(-1);
log(a) = rho*log(a(-1))+tau*log(b(-1)) + e(-1);
log(b) = tau*log(a(-1))+rho*log(b(-1)) + u(-1);
end;
initval;
y = 1.08068253095672;
c = 0.80359242014163;
h = 0.29175631001732;
k = 11.08360443260358;
a = 1;
b = 1;
end;
shocks;
var e; stderr 0.009;
var u; stderr 0.009;
var e, u = phi*0.009*0.009;
end;
stoch_simul(loglinear,order=1);

89
tests/loglinear/example4_loglinear_lagged_exogenous_a.mod Normal file
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@ -0,0 +1,89 @@
/*
* Example 1 from F. Collard (2001): "Stochastic simulations with DYNARE:
* A practical guide" (see "guide.pdf" in the documentation directory).
*/
/*
* Copyright (C) 2001-2010 Dynare Team
*
* This file is part of Dynare.
*
* Dynare is free software: you can redistribute it and/or modify
* it under the terms of the GNU General Public License as published by
* the Free Software Foundation, either version 3 of the License, or
* (at your option) any later version.
*
* Dynare is distributed in the hope that it will be useful,
* but WITHOUT ANY WARRANTY; without even the implied warranty of
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
* GNU General Public License for more details.
*
* You should have received a copy of the GNU General Public License
* along with Dynare. If not, see <http://www.gnu.org/licenses/>.
*/
var y, c, k, a, h, b, e1, u1;
varexo e, u;
parameters beta, rho, alpha, delta, theta, psi, tau;
alpha = 0.36;
rho = 0.95;
tau = 0.025;
beta = 0.99;
delta = 0.025;
psi = 0;
theta = 2.95;
phi = 0.1;
model;
c*theta*h^(1+psi)=(1-alpha)*y;
k = beta*(((b*c)/(b(+1)*c(+1)))
*(b(+1)*alpha*y(+1)+(1-delta)*k));
y = a*(k(-1)^alpha)*(h^(1-alpha));
k = b*(y-c)+(1-delta)*k(-1);
log(a) = rho*log(a(-1))+tau*log(b(-1)) + log(e1(-1));
log(b) = tau*log(a(-1))+rho*log(b(-1)) + log(u1(-1));
e1 = exp(e);
u1 = exp(u);
end;
initval;
y = 1.08068253095672;
c = 0.80359242014163;
h = 0.29175631001732;
k = 11.08360443260358;
a = 1;
b = 1;
e1 = 1;
u1 = 1;
end;
shocks;
var e; stderr 0.009;
var u; stderr 0.009;
var e, u = phi*0.009*0.009;
end;
stoch_simul(loglinear,order=1);
D = load('example4_loglinear_lagged_exogenous_results');
test1 = D.oo_.dr.ghx - oo_.dr.ghx;
if norm(test1) > 1e-16;
error('error in computing ghx');
end;
test2 = D.oo_.dr.ghu - oo_.dr.ghu;
if norm(test2) > 1e-16;
error('error in computing ghu');
end;
for i = fieldnames(D.oo_.irfs)';
test3 = D.oo_.irfs.(i{1}) - oo_.irfs.(i{1});
if norm(test2) > 1e-16;
error(['error in computing irf ' i]);
end;
end;