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Add test for lmmcp in extended path.

bgp-dev
Stéphane Adjemian (Ryûk) 2022-08-31 13:37:00 +02:00
parent 9301024d71
commit 2aa6565c18
Signed by: stepan
GPG Key ID: 295C1FE89E17EB3C
4 changed files with 32 additions and 23 deletions
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3
tests/Makefile.am
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@ -983,6 +983,9 @@ model-inversion/nk-2/invert.o.trs: model-inversion/nk-2/simulate.o.trs
model-inversion/nk-2/z_check_inversion.m.trs: model-inversion/nk-2/invert.m.trs
model-inversion/nk-2/z_check_inversion.o.trs: model-inversion/nk-2/invert.o.trs
ep/rbcii_MCP.m.trs: ep/rbcii.m.trs
ep/rbcii_MCP.o.trs: ep/rbcii.o.trs
observation_trends_and_prefiltering/MCMC: m/observation_trends_and_prefiltering/MCMC o/observation_trends_and_prefiltering/MCMC
m/observation_trends_and_prefiltering/MCMC: $(patsubst %.mod, %.m.trs, $(filter observation_trends_and_prefiltering/MCMC/%.mod, $(MODFILES)))
o/observation_trends_and_prefiltering/MCMC: $(patsubst %.mod, %.o.trs, $(filter observation_trends_and_prefiltering/MCMC/%.mod, $(MODFILES)))

10
tests/ep/rbcii-calibration.inc Normal file
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@ -0,0 +1,10 @@
Astar = 1.000 ;
beta = 0.990 ;
theta = 0.357 ;
tau = 2.000 ;
alpha = 0.450 ;
psi = -0.200 ;
delta = 0.020 ;
rho = 0.800 ;
effstar = 1.000 ;
sigma = 0.100 ;

21
tests/ep/rbcii.mod
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@ -6,19 +6,7 @@ varexo EfficiencyInnovation;
parameters beta, theta, tau, alpha, psi, delta, rho, effstar, sigma;
/*
** Calibration
*/
beta = 0.990;
theta = 0.357;
tau = 2.000;
alpha = 0.450;
psi = -0.200;
delta = 0.020;
rho = 0.800;
effstar = 1.000;
sigma = 0.100;
@#include "rbcii-calibration.inc"
model(use_dll);
@ -63,11 +51,12 @@ end;
steady(nocheck);
options_.ep.stochastic.order = 0;
ts = extended_path([], 20, [], options_, M_, oo_);
!*
ts = extended_path([], 200, [], options_, M_, oo_);
ts.save('rbcii-sim-data');
options_.ep.stochastic.order = 1;
ts1_4 = extended_path([], 20, [], options_, M_, oo_);
ts1_4 = extended_path([], 200, [], options_, M_, oo_);
@#else

21
tests/ep/rbcii_MCP.mod
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@ -1,15 +1,14 @@
% RBC model with irreversible investment constraint, implemented using MCP tag.
var k, y, L, c, A, a, mu, i;
varexo epsilon;
parameters beta, theta, tau, alpha, psi, delta, rho, Astar;
beta = 0.9900; theta = 0.3570;
tau = 2.0000; alpha = 0.4500;
psi = -0.1000; delta = 0.0200;
rho = 0.8000; Astar = 1.0000;
@#include "rbcii-calibration.inc"
model;
model(use_dll);
a = rho*a(-1) + epsilon;
A = Astar*exp(a);
y = A*(alpha*k(-1)^psi+(1-alpha)*L^psi)^(1/psi);
@ -51,8 +50,16 @@ shocks;
stderr 0.10;
end;
extended_path(periods=50,lmmcp);
extended_path(periods=200,lmmcp);
if any(oo_.endo_simul(strmatch('i',M_.endo_names,'exact'),:)<-1e-6)
error('lmmcp tag did not work')
error('lmmcp tag did not work.')
end
ds = dseries('rbcii-sim-data.mat');
if any(abs(transpose(oo_.endo_simul(strmatch('i',M_.endo_names,'exact'),:))-ds.Investment.data)>1e-6)
error('Simulation with lmmcp returns different results.')
end
delete rbcii-sim-data.mat