diff --git a/tests/Makefile.am b/tests/Makefile.am index c6d3d6a20..e76a91a59 100644 --- a/tests/Makefile.am +++ b/tests/Makefile.am @@ -139,7 +139,8 @@ MODFILES = \ deterministic_simulations/rbc_det3.mod \ deterministic_simulations/rbc_det4.mod \ deterministic_simulations/rbc_det5.mod \ - fs2000/fs2000_sd.mod + fs2000/fs2000_sd.mod \ + walsh.mod EXTRA_DIST = \ $(MODFILES) \ diff --git a/tests/walsh.mod b/tests/walsh.mod new file mode 100644 index 000000000..606746ca1 --- /dev/null +++ b/tests/walsh.mod @@ -0,0 +1,225 @@ +@#define Blocks = ["1", "2", "3", "4", "5", "6", "7", "8", "9", "10", "11", "12", "13", "14", "15","16", "17", "18", "19", "20", "21", "22", "23", "24", "25","26", "27", "28", "29", "30", "31", "32", "33", "34", "35","36", "37", "38", "39", "40", "41", "42", "43", "44", "45","46", "47", "48", "49", "50", "51", "52", "53", "54", "55","56", "57", "58", "59", "60", "61", "62", "63", "64", "65","66", "67", "68", "69", "70", "71", "72", "73", "74", "75","76", "77", "78", "79", "80", "81", "82", "83", "84", "85","86", "87", "88", "89", "90", "91", "92", "93", "94", "95","96", "97", "98", "99", "100", "101", "102", "103", "104", "105", "106", "107", "108", "109", "110", "111", "112", "113", "114", "115","116", "117", "118", "119", "120", "121", "122", "123", "124", "125","126", "127", "128", "129", "130", "131", "132", "133", "134", "135","136", "137", "138", "139", "140", "141", "142", "143", "144", "145","146", "147", "148", "149", "150", "151", "152", "153", "154", "155","156", "157", "158", "159", "160", "161", "162", "163", "164", "165","166", "167", "168", "169", "170", "171", "172", "173", "174", "175","176", "177", "178", "179", "180", "181", "182", "183", "184", "185","186", "187", "188", "189", "190", "191", "192", "193", "194", "195","196", "197", "198", "199", "200"] + +@#define blocks = Blocks[1:20] + +@#for block in blocks + var y_@{block} c_@{block} k_@{block} m_@{block} n_@{block} R_@{block} pi_@{block} z_@{block} u_@{block}; +@#endfor + +@#for block in blocks +varexo e_@{block} sigma_@{block}; +@#endfor + +// sigma stands for phi in the eq 2.37 p.69 + +parameters alpha beta delta gamm phi1 eta a b rho phi2 Psi thetass; +//phi1 stands for capital phi in eq.2.68 and 2.69 +//phi2 stands for lowercase phi in eq. 2.66 + +alpha = 0.36; +beta = 0.989; +gamm = 0.5; +delta = 0.019; +phi1 = 2; +phi2 = 0; +eta = 1; +a = 0.95; +b = 2.56; +rho = 0.95; +Psi = 1.47630583; +thetass = 1.0125; + +model(use_dll); + +@#for block in blocks +(a*exp(c_@{block})^(1-b)+(1-a)*exp(m_@{block})^(1-b))^((b-phi1)/(1-b))*a*exp(c_@{block})^(-b) = (a*exp(c_@{block})^(1-b)+(1-a)*exp(m_@{block})^(1-b))^((b-phi1)/(1-b))*(1-a)*exp(m_@{block})^(-b)+beta*(a*exp(c_@{block}(+1))^(1-b)+(1-a)*exp(m_@{block}(+1))^(1-b))^((b-phi1)/(1-b))*a*exp(c_@{block}(+1))^(-b)/(1+pi_@{block}(+1)); + +Psi*(1-exp(n_@{block}))^(-eta)/(a*exp(c_@{block})^(-b)*(a*exp(c_@{block})^(1-b) + (1-a)*exp(m_@{block})^(1-b))^((b-phi1)/(1-b))) = (1-alpha)*exp(y_@{block})/exp(n_@{block}); + +(a*exp(c_@{block})^(1-b)+(1-a)*exp(m_@{block})^(1-b))^((b-phi1)/(1-b))*a*exp(c_@{block})^(-b) = beta*exp(R_@{block}(+1))*(a*exp(c_@{block}(+1))^(1-b)+(1-a)*exp(m_@{block}(+1))^(1-b))^((b-phi1)/(1-b))*a*exp(c_@{block}(+1))^(-b); + +exp(R_@{block}) = alpha*exp(y_@{block})/exp(k_@{block}(-1)) + 1-delta; + +exp(k_@{block}) = (1-delta)*exp(k_@{block}(-1))+exp(y_@{block})-exp(c_@{block}); + +exp(y_@{block}) = exp(z_@{block})*exp(k_@{block}(-1))^alpha*exp(n_@{block})^(1-alpha); + +exp(m_@{block}) = exp(m_@{block}(-1))*(u_@{block}+thetass)/(1+pi_@{block}); + +z_@{block} = rho*z_@{block}(-1) + e_@{block}; + +u_@{block} = gamm*u_@{block}(-1) + phi2*z_@{block}(-1) + sigma_@{block}; + +@#endfor + +end; + +shocks; +@#for block in blocks + var e_@{block}; stderr 0.007; + var sigma_@{block};stderr 0.0089; +@#endfor +end; + +steady_state_model; +// solving in levels +// calibrating n = 1/3 and recovering the value of Psi +// adapting solution Walsh (2003) p. 84 +en = 1/3; +eR = 1/beta; +y_k = (1/alpha)*(1/beta-1+delta); +ek = en*y_k^(-1/(1-alpha)); +ec = ek*(y_k-delta); +em = ec*(a/(1-a))^(-1/b)*((thetass-beta)/thetass)^(-1/b); +ey = ek*y_k; +Xss = a*ec^(1-b)*(1+(a/(1-a))^(-1/b)*((thetass-beta)/thetass)^((b-1)/b)); +Psi = (1-alpha)*(ey/en)*Xss^((b-phi1)/(1-b))*a*ec^(-b)*(1-en)^eta; +@#for block in blocks + pi_@{block} = thetass-1; + n_@{block} = log(en); + k_@{block} = log(ek); + m_@{block} = log(em); + c_@{block} = log(ec); + y_@{block} = log(ey); + R_@{block} = log(eR); +@#endfor +end; + +steady; + +loop_size = 100; + +tic; +for i=1:loop_size + stoch_simul(order=1,irf=0,noprint,nomoments,dr=default); + dr = oo_.dr; +end; +e1 = toc; + +tic; +for i=1:loop_size + stoch_simul(order=1,irf=0,noprint,nomoments,dr=cycle_reduction); + DR = oo_.dr; +end; +e2 = toc; + +tic; +for i=1:loop_size + stoch_simul(order=1,irf=0,noprint,nomoments,dr=cycle_reduction,dr_cycle_reduction_tol=1e-6); + DR_ = oo_.dr; +end; +e3 = toc; + +tic; +for i=1:loop_size + stoch_simul(order=1,irf=0,noprint,nomoments,dr=cycle_reduction,dr_cycle_reduction_tol=1e-5); + DR__ = oo_.dr; +end; +e4 = toc; + +tic; +for i=1:loop_size + stoch_simul(order=1,irf=0,noprint,nomoments,dr=cycle_reduction,dr_cycle_reduction_tol=1e-4); + DR___ = oo_.dr; +end; +e5 = toc; + +tic; +for i=1:loop_size + stoch_simul(order=1,irf=0,noprint,nomoments,dr=cycle_reduction,dr_cycle_reduction_tol=1e-3); + DR____ = oo_.dr; +end; +e6 = toc; + +tic; +for i=1:loop_size + stoch_simul(order=1,irf=0,noprint,nomoments,dr=cycle_reduction,dr_cycle_reduction_tol=1e-2); + DR_____ = oo_.dr; +end; +e7 = toc; + +tic; +for i=1:loop_size + stoch_simul(order=1,irf=0,noprint,nomoments,dr=cycle_reduction,dr_cycle_reduction_tol=200); + DR______ = oo_.dr; +end; +e8 = toc; + +disp(['Elapsed time (QZ algorithm): ' num2str(e1)]) +disp(['Elapsed time (Cycle reduction algorithm, tol = 1e-7): ' num2str(e2)]) +disp(['Elapsed time (Cycle reduction algorithm, tol = 1e-6): ' num2str(e3)]) +disp(['Elapsed time (Cycle reduction algorithm, tol = 1e-5): ' num2str(e4)]) +disp(['Elapsed time (Cycle reduction algorithm, tol = 1e-4): ' num2str(e5)]) +disp(['Elapsed time (Cycle reduction algorithm, tol = 1e-3): ' num2str(e6)]) +disp(['Elapsed time (Cycle reduction algorithm, tol = 1e-2): ' num2str(e7)]) +disp(['Elapsed time (Cycle reduction algorithm, tol = 1e-1): ' num2str(e8)]) + +if e11e-8 + error('QZ and Cycle reduction algorithms don''t return the same results (tolerance parameter is 1e-7)!') +end + +if du>1e-8 + error('QZ and Cycle reduction algorithms don''t return the same results (tolerance parameter is 1e-7)!') +end + +if dx_>1e-8 || du_>1e-8 + disp('QZ and Cycle reduction algorithms don''t return the same results (tolerance parameter is 1e-6)!') +else + [dx, dx_] + [du, du_] +end + +if dx__>1e-8 || du__>1e-8 + disp('QZ and Cycle reduction algorithms don''t return the same results (tolerance parameter is 1e-5)!') +else + [dx, dx_, dx__] + [du, du_, du__] +end + +if dx___>1e-8 || du___>1e-8 + disp('QZ and Cycle reduction algorithms don''t return the same results (tolerance parameter is 1e-4)!') +else + [dx, dx_, dx__, dx___] + [du, du_, du__, du___] +end + +if dx____>1e-8 || du____>1e-8 + disp('QZ and Cycle reduction algorithms don''t return the same results (tolerance parameter is 1e-3)!') +else + [dx, dx_, dx__, dx___,dx____] + [du, du_, du__, du___,du____] +end + +if dx_____>1e-8 || du_____>1e-8 + disp('QZ and Cycle reduction algorithms don''t return the same results (tolerance parameter is 1e-2)!') +else + [dx, dx_, dx__, dx___,dx____,dx_____] + [du, du_, du__, du___,du____,du_____] +end + +if dx_____>1e-8 || du_____>1e-8 + disp('QZ and Cycle reduction algorithms don''t return the same results (tolerance parameter is 1e-1)!') +else + [dx, dx_, dx__, dx___,dx____,dx_____,dx______] + [du, du_, du__, du___,du____,du_____,du______] +end \ No newline at end of file