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Add unit tests for stochastic simulations of purely forward looking models 

Adds one for purely forward looking models and one for purely forward looking model with additional static variable
time-shift
Johannes Pfeifer 2013-07-24 23:39:39 +02:00
parent 18664da6fe
commit 07a05d554e
2 changed files with 73 additions and 0 deletions
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37
tests/stochastic_purely_forward/stochastic_purely_forward.mod Normal file
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var a;
varexo epsil ;
parameters betta;
betta = 0.97;
model;
a = betta*a(+1)+epsil;
end;
initval;
a=0;
end;
steady;
shocks;
var epsil; stderr .2;
end;
steady;
check;
stoch_simul(periods=0, irf=30, order=1);
stoch_simul(periods=2000, irf=30, order=1);
stoch_simul(periods=0, irf=30, order=2);
stoch_simul(periods=2000, irf=30, order=2);
stoch_simul(periods=0, irf=30, order=3);
stoch_simul(periods=2000, irf=30, order=3);
stoch_simul(periods=0, irf=30, order=1,hp_filter=1600);
stoch_simul(periods=2000, irf=30, order=1,hp_filter=1600);
stoch_simul(periods=0, irf=30, order=2,hp_filter=1600);
stoch_simul(periods=2000, irf=30, order=2,hp_filter=1600);
stoch_simul(periods=0, irf=30, order=3,hp_filter=1600);
stoch_simul(periods=2000, irf=30, order=3,hp_filter=1600);

36
tests/stochastic_purely_forward/stochastic_purely_forward_with_static.mod Normal file
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var a b;
varexo epsil ;
parameters betta;
betta = 0.97;
model;
a = betta*a(+1)+epsil;
b = a;
end;
initval;
a=0;
end;
steady;
shocks;
var epsil; stderr .2;
end;
steady;
check;
stoch_simul(periods=0, irf=30, order=1);
stoch_simul(periods=2000, irf=30, order=1);
stoch_simul(periods=0, irf=30, order=2);
stoch_simul(periods=2000, irf=30, order=2);
stoch_simul(periods=0, irf=30, order=3);
stoch_simul(periods=2000, irf=30, order=3);
stoch_simul(periods=0, irf=30, order=1,hp_filter=1600);
stoch_simul(periods=2000, irf=30, order=1,hp_filter=1600);
stoch_simul(periods=0, irf=30, order=2,hp_filter=1600);
stoch_simul(periods=2000, irf=30, order=2,hp_filter=1600);
stoch_simul(periods=0, irf=30, order=3,hp_filter=1600);
stoch_simul(periods=2000, irf=30, order=3,hp_filter=1600);