Add unit test for disallowing mixed ML/Bayesian estimation
parent
b2017ffece
commit
244462adb6
|
@ -238,6 +238,7 @@ MODFILES = \
|
|||
XFAIL_MODFILES = ramst_xfail.mod \
|
||||
estim_param_in_shock_value_xfail.mod \
|
||||
optimal_policy/Ramsey/ramsey_ex_wrong_ss_file_xfail.mod \
|
||||
estimation/fs2000_mixed_ML_xfail.mod \
|
||||
steady_state/Linear_steady_state_xfail.mod
|
||||
|
||||
MFILES = initval_file/ramst_initval_file_data.m
|
||||
|
|
|
@ -0,0 +1,115 @@
|
|||
/*
|
||||
* This file replicates the estimation of the cash in advance model described
|
||||
* Frank Schorfheide (2000): "Loss function-based evaluation of DSGE models",
|
||||
* Journal of Applied Econometrics, 15(6), 645-670.
|
||||
*
|
||||
* The data are in file "fsdat_simul.m", and have been artificially generated.
|
||||
* They are therefore different from the original dataset used by Schorfheide.
|
||||
*
|
||||
* The equations are taken from J. Nason and T. Cogley (1994): "Testing the
|
||||
* implications of long-run neutrality for monetary business cycle models",
|
||||
* Journal of Applied Econometrics, 9, S37-S70.
|
||||
* Note that there is an initial minus sign missing in equation (A1), p. S63.
|
||||
*
|
||||
* This implementation was written by Michel Juillard. Please note that the
|
||||
* following copyright notice only applies to this Dynare implementation of the
|
||||
* model.
|
||||
*/
|
||||
|
||||
/*
|
||||
* Copyright (C) 2004-2010 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 m P c e W R k d n l gy_obs gp_obs y dA;
|
||||
varexo e_a e_m;
|
||||
|
||||
parameters alp bet gam mst rho psi del theta;
|
||||
|
||||
alp = 0.33;
|
||||
bet = 0.99;
|
||||
gam = 0.003;
|
||||
mst = 1.011;
|
||||
rho = 0.7;
|
||||
psi = 0.787;
|
||||
del = 0.02;
|
||||
theta=0;
|
||||
|
||||
model;
|
||||
dA = exp(gam+e_a);
|
||||
log(m) = (1-rho)*log(mst) + rho*log(m(-1))+e_m;
|
||||
-P/(c(+1)*P(+1)*m)+bet*P(+1)*(alp*exp(-alp*(gam+log(e(+1))))*k^(alp-1)*n(+1)^(1-alp)+(1-del)*exp(-(gam+log(e(+1)))))/(c(+2)*P(+2)*m(+1))=0;
|
||||
W = l/n;
|
||||
-(psi/(1-psi))*(c*P/(1-n))+l/n = 0;
|
||||
R = P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(-alp)/W;
|
||||
1/(c*P)-bet*P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)/(m*l*c(+1)*P(+1)) = 0;
|
||||
c+k = exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)+(1-del)*exp(-(gam+e_a))*k(-1);
|
||||
P*c = m;
|
||||
m-1+d = l;
|
||||
e = exp(e_a);
|
||||
y = k(-1)^alp*n^(1-alp)*exp(-alp*(gam+e_a));
|
||||
gy_obs = dA*y/y(-1);
|
||||
gp_obs = (P/P(-1))*m(-1)/dA;
|
||||
end;
|
||||
|
||||
steady_state_model;
|
||||
dA = exp(gam);
|
||||
gst = 1/dA;
|
||||
m = mst;
|
||||
khst = ( (1-gst*bet*(1-del)) / (alp*gst^alp*bet) )^(1/(alp-1));
|
||||
xist = ( ((khst*gst)^alp - (1-gst*(1-del))*khst)/mst )^(-1);
|
||||
nust = psi*mst^2/( (1-alp)*(1-psi)*bet*gst^alp*khst^alp );
|
||||
n = xist/(nust+xist);
|
||||
P = xist + nust;
|
||||
k = khst*n;
|
||||
|
||||
l = psi*mst*n/( (1-psi)*(1-n) );
|
||||
c = mst/P;
|
||||
d = l - mst + 1;
|
||||
y = k^alp*n^(1-alp)*gst^alp;
|
||||
R = mst/bet;
|
||||
W = l/n;
|
||||
ist = y-c;
|
||||
q = 1 - d;
|
||||
|
||||
e = 1;
|
||||
|
||||
gp_obs = m/dA;
|
||||
gy_obs = dA;
|
||||
end;
|
||||
|
||||
shocks;
|
||||
var e_a; stderr 0.014;
|
||||
var e_m; stderr 0.005;
|
||||
corr e_m, e_a = 0.1;
|
||||
var gp_obs; stderr 0.01;
|
||||
end;
|
||||
|
||||
varobs gp_obs gy_obs;
|
||||
|
||||
steady;
|
||||
check;
|
||||
|
||||
estimated_params;
|
||||
alp, 0.33;
|
||||
bet, beta_pdf, 0.993, 0.002;
|
||||
end;
|
||||
|
||||
estimated_params_init(use_calibration);
|
||||
end;
|
||||
|
||||
estimation(mode_compute=4,order=1,datafile=fsdat_simul,mode_check,smoother,filter_decomposition,forecast = 8,filtered_vars,filter_step_ahead=[1,3],irf=20) m P c e W R k d y gy_obs;
|
Loading…
Reference in New Issue