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Added one variable (LM) and one equation to ensure that the Lagrange multiplier is positive. 

It appeared that the Lagrange  multiplier simulated by EP is positive,
but the series simulated by SEP are most of the time negative.
time-shift
Stéphane Adjemian (Charybdis) 2012-01-23 13:59:25 +01:00
parent 5e87dfcd0f
commit 0f1dd850ed
2 changed files with 10 additions and 8 deletions
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9
tests/ep/rbcii.mod
View File

@ -1,6 +1,6 @@
@#define extended_path_version = 1
@#define extended_path_version = 0
var Capital, Output, Labour, Consumption, Efficiency, efficiency, ExpectedTerm, LagrangeMultiplier;
var Capital, Output, Labour, Consumption, Efficiency, efficiency, ExpectedTerm, LM, LagrangeMultiplier;
varexo EfficiencyInnovation;
@ -50,8 +50,11 @@ model(block,bytecode,cutoff=0);
// Eq. n°7:
(Capital==(1-delta)*Capital(-1))*(Output-Consumption) + (1-(Capital==(1-delta)*Capital(-1)))*LagrangeMultiplier = 0;
// Eq. n°8:
(LM<0)*(LM+LagrangeMultiplier) + (1-(LM<0))*(LM-LagrangeMultiplier) = 0;
// Eq. n°9:
ExpectedTerm = beta*(((((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption)*(alpha*((Output/Capital(-1))^(1-psi))+(1-delta))-(1-delta)*LagrangeMultiplier);
end;

9
tests/ep/rbcii_steadystate.m
View File

@ -38,12 +38,11 @@ SteadyStateCapital=SteadyStateLabour/Labour_per_unit_of_Capital;
SteadyStateOutput=Output_per_unit_of_Capital*SteadyStateCapital;
% Fill returned argument ys with steady state values.
ys(2)=SteadyStateOutput;
ys(4)=SteadyStateConsumption;
ys = zeros(9,1);
ys(1)=SteadyStateCapital;
ys(2)=SteadyStateOutput;
ys(3)=SteadyStateLabour;
ys(4)=SteadyStateConsumption;
ys(5)=M_.params(8);
ys(6)=0;
ys(7)=M_.params(1)*((((SteadyStateConsumption^M_.params(2))*((1-SteadyStateLabour)^(1-M_.params(2))))^(1-M_.params(3)))/SteadyStateConsumption)* ...
(M_.params(4)*((SteadyStateOutput/SteadyStateCapital)^(1-M_.params(5)))+1-M_.params(6));
ys(8)=0;
(M_.params(4)*((SteadyStateOutput/SteadyStateCapital)^(1-M_.params(5)))+1-M_.params(6));