Added integration test for nested parenthesis.
example1long.mod is the benchmark (less than 32 nested parenthesis). The two other mod files have more than 32 nested parenthesis (rewrite the sum of discounted ys using the Horner factorization). Both files compare the approaches discussed in issue #1201 with the benchmark.time-shift
Stéphane Adjemian (Karaba)
parent
c893c0620c
commit
11962c0a21
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@ -54,6 +54,9 @@ MODFILES = \
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example1_irf_shocks.mod \
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example1_abs_sign.mod \
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example1_macroif.mod \
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example1long.mod \
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example2long.mod \
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example2long_use_dll \
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t_sgu_ex1.mod \
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irfs/example1_unit_std.mod \
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optimal_policy/OSR/osr_example.mod \
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@ -345,6 +348,12 @@ MFILES = initval_file/ramst_initval_file_data.m
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example1_use_dll.m.trs: example1.m.trs
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example1_use_dll.o.trs: example1.o.trs
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example2long_use_dll.m.trs: example1long.m.trs
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example2long_use_dll.o.trs: example1long.o.trs
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example2long.m.trs: example1long.m.trs
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example2long.o.trs: example1long.o.trs
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estimation/MH_recover/fs2000_recover_tarb.m.trs: estimation/MH_recover/fs2000_recover.m.trs
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estimation/MH_recover/fs2000_recover_tarb.o.trs: estimation/MH_recover/fs2000_recover.o.trs
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@ -0,0 +1,49 @@
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var y, c, k, a, h, b, w;
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varexo e, u;
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parameters beta, rho, alpha, delta, theta, psi, tau;
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alpha = 0.36;
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rho = 0.95;
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tau = 0.025;
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beta = 0.99;
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delta = 0.025;
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psi = 0;
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theta = 2.95;
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phi = 0.1;
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model;
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c*theta*h^(1+psi)=(1-alpha)*y;
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k = beta*(((exp(b)*c)/(exp(b(+1))*c(+1)))
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*(exp(b(+1))*alpha*y(+1)+(1-delta)*k));
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y = exp(a)*(k(-1)^alpha)*(h^(1-alpha));
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k = exp(b)*(y-c)+(1-delta)*k(-1);
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a = rho*a(-1)+tau*b(-1) + e;
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b = tau*a(-1)+rho*b(-1) + u;
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w = y
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@#for i in 1:50
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+ beta^@{i}*y(@{i})
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@#endfor
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;
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end;
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initval;
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y = 1.08068253095672;
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c = 0.80359242014163;
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h = 0.29175631001732;
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k = 11.08360443260358;
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w = y*(1-beta^51)/(1-beta);
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a = 0;
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b = 0;
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e = 0;
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u = 0;
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end;
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shocks;
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var e; stderr 0.009;
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var u; stderr 0.009;
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var e, u = phi*0.009*0.009;
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end;
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stoch_simul;
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@ -0,0 +1,103 @@
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var y, c, k, a, h, b, w;
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varexo e, u;
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parameters beta, rho, alpha, delta, theta, psi, tau;
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alpha = 0.36;
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rho = 0.95;
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tau = 0.025;
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beta = 0.99;
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delta = 0.025;
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psi = 0;
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theta = 2.95;
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phi = 0.1;
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model;
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c*theta*h^(1+psi)=(1-alpha)*y;
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k = beta*(((exp(b)*c)/(exp(b(+1))*c(+1)))
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*(exp(b(+1))*alpha*y(+1)+(1-delta)*k));
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y = exp(a)*(k(-1)^alpha)*(h^(1-alpha));
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k = exp(b)*(y-c)+(1-delta)*k(-1);
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a = rho*a(-1)+tau*b(-1) + e;
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b = tau*a(-1)+rho*b(-1) + u;
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w = y
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@#for i in 1:50
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+ beta*(y(@{i})
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@#endfor
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@#for i in 1:50
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)
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@#endfor
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;
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end;
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initval;
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y = 1.08068253095672;
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c = 0.80359242014163;
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h = 0.29175631001732;
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k = 11.08360443260358;
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w = y*(1-beta^51)/(1-beta);
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a = 0;
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b = 0;
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e = 0;
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u = 0;
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end;
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shocks;
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var e; stderr 0.009;
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var u; stderr 0.009;
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var e, u = phi*0.009*0.009;
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end;
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stoch_simul;
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if ~exist('example1long_results.mat','file');
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error('example1long must be run first');
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end;
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oo1 = load('example1long_results','oo_');
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dr0 = oo1.oo_.dr;
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dr = oo_.dr;
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d_ghx = max(abs(dr0.ghx(:) - dr.ghx(:)));
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d_ghu = max(abs(dr0.ghu(:) - dr.ghu(:)));
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d_ghxx = max(abs(dr0.ghxx(:) - dr.ghxx(:)));
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d_ghxu = max(abs(dr0.ghxu(:) - dr.ghxu(:)));
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d_ghuu = max(abs(dr0.ghuu(:) - dr.ghuu(:)));
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d_ghs2 = max(abs(dr0.ghs2 - dr.ghs2));
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skipline()
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disp(sprintf('ghx max. abs. diff. is %s.', num2str(d_ghx)))
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disp(sprintf('ghu max. abs. diff. is %s.', num2str(d_ghu)))
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disp(sprintf('ghxx max. abs. diff. is %s.', num2str(d_ghxx)))
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disp(sprintf('ghxu max. abs. diff. is %s.', num2str(d_ghxu)))
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disp(sprintf('ghuu max. abs. diff. is %s.', num2str(d_ghuu)))
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disp(sprintf('ghs2 max. abs. diff. is %s.', num2str(d_ghs2)))
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skipline()
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epsilon = 1e-12;
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if d_ghx>epsilon
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error('error in ghx')
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end
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if d_ghu>epsilon
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error('error in ghu')
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end
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if d_ghxx>epsilon
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error('error in ghxx')
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end
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if d_ghxu>epsilon
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error('error in ghxu')
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end
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if d_ghuu>epsilon
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error('error in ghuu')
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end
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if d_ghs2>epsilon
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error('error in ghs2')
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end
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@ -0,0 +1,103 @@
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var y, c, k, a, h, b, w;
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varexo e, u;
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parameters beta, rho, alpha, delta, theta, psi, tau;
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alpha = 0.36;
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rho = 0.95;
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tau = 0.025;
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beta = 0.99;
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delta = 0.025;
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psi = 0;
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theta = 2.95;
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phi = 0.1;
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model(use_dll);
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c*theta*h^(1+psi)=(1-alpha)*y;
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k = beta*(((exp(b)*c)/(exp(b(+1))*c(+1)))
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*(exp(b(+1))*alpha*y(+1)+(1-delta)*k));
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y = exp(a)*(k(-1)^alpha)*(h^(1-alpha));
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k = exp(b)*(y-c)+(1-delta)*k(-1);
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a = rho*a(-1)+tau*b(-1) + e;
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b = tau*a(-1)+rho*b(-1) + u;
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w = y
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@#for i in 1:50
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+ beta*(y(@{i})
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@#endfor
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@#for i in 1:50
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)
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@#endfor
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;
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end;
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initval;
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y = 1.08068253095672;
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c = 0.80359242014163;
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h = 0.29175631001732;
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k = 11.08360443260358;
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w = y*(1-beta^51)/(1-beta);
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a = 0;
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b = 0;
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e = 0;
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u = 0;
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end;
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shocks;
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var e; stderr 0.009;
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var u; stderr 0.009;
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var e, u = phi*0.009*0.009;
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end;
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stoch_simul;
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if ~exist('example1long_results.mat','file');
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error('example1long must be run first');
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end;
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oo1 = load('example1long_results','oo_');
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dr0 = oo1.oo_.dr;
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dr = oo_.dr;
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d_ghx = max(abs(dr0.ghx(:) - dr.ghx(:)));
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d_ghu = max(abs(dr0.ghu(:) - dr.ghu(:)));
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d_ghxx = max(abs(dr0.ghxx(:) - dr.ghxx(:)));
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d_ghxu = max(abs(dr0.ghxu(:) - dr.ghxu(:)));
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d_ghuu = max(abs(dr0.ghuu(:) - dr.ghuu(:)));
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d_ghs2 = max(abs(dr0.ghs2 - dr.ghs2));
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skipline()
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disp(sprintf('ghx max. abs. diff. is %s.', num2str(d_ghx)))
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disp(sprintf('ghu max. abs. diff. is %s.', num2str(d_ghu)))
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disp(sprintf('ghxx max. abs. diff. is %s.', num2str(d_ghxx)))
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disp(sprintf('ghxu max. abs. diff. is %s.', num2str(d_ghxu)))
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disp(sprintf('ghuu max. abs. diff. is %s.', num2str(d_ghuu)))
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disp(sprintf('ghs2 max. abs. diff. is %s.', num2str(d_ghs2)))
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skipline()
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epsilon = 1e-11;
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if d_ghx>epsilon
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error('error in ghx')
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end
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if d_ghu>epsilon
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error('error in ghu')
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end
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if d_ghxx>epsilon
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error('error in ghxx')
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end
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if d_ghxu>epsilon
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error('error in ghxu')
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end
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if d_ghuu>epsilon
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error('error in ghuu')
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end
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if d_ghs2>epsilon
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error('error in ghs2')
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end
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