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add test for pooled_ols

time-shift
Houtan Bastani 2017-11-16 17:03:59 +01:00
parent 96d716343d
commit 33937cb604
2 changed files with 198 additions and 0 deletions
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151
tests/ECB/pooled_ols/panel_var_diff_NB_simulation_test.mod Normal file
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// --+ options: json=compute +--
/* REMARK
** ------
**
** You need to have the first line on top of the mod file. The options defined on this line are passed
** to the dynare command (you can add other options, separated by spaces or commas). The option defined
** here is mandatory for the decomposition. It forces Dynare to output another representation of the
** model in JSON file (additionaly to the matlab files) which is used here to manipulate the equations.
*/
var
U2_Q_YED
U2_G_YER
U2_STN
U2_ESTN
U2_EHIC
DE_Q_YED
DE_G_YER
DE_EHIC
;
varexo
res_U2_Q_YED
res_U2_G_YER
res_U2_STN
res_U2_ESTN
res_U2_EHIC
res_DE_Q_YED
res_DE_G_YER
res_DE_EHIC
;
parameters
u2_q_yed_ecm_u2_q_yed_L1
u2_q_yed_ecm_u2_stn_L1
u2_q_yed_u2_g_yer_L1
u2_q_yed_u2_stn_L1
u2_g_yer_ecm_u2_q_yed_L1
u2_g_yer_ecm_u2_stn_L1
u2_g_yer_u2_q_yed_L1
u2_g_yer_u2_g_yer_L1
u2_g_yer_u2_stn_L1
u2_stn_ecm_u2_q_yed_L1
u2_stn_ecm_u2_stn_L1
u2_stn_u2_q_yed_L1
u2_stn_u2_g_yer_L1
u2_estn_u2_estn_L1
u2_ehic_u2_ehic_L1
de_q_yed_ecm_de_q_yed_L1
de_q_yed_ecm_u2_stn_L1
de_q_yed_de_g_yer_L1
de_q_yed_u2_stn_L1
de_g_yer_ecm_de_q_yed_L1
de_g_yer_ecm_u2_stn_L1
de_g_yer_de_q_yed_L1
de_g_yer_de_g_yer_L1
de_g_yer_u2_stn_L1
de_ehic_de_ehic_L1
;
u2_q_yed_ecm_u2_q_yed_L1 = -0.82237516589315 ;
u2_q_yed_ecm_u2_stn_L1 = -0.323715338568976 ;
u2_q_yed_u2_g_yer_L1 = 0.0401361895021084 ;
u2_q_yed_u2_stn_L1 = 0.058397703958446 ;
u2_g_yer_ecm_u2_q_yed_L1 = 0.0189896046977421 ;
u2_g_yer_ecm_u2_stn_L1 = -0.109597659887432 ;
u2_g_yer_u2_q_yed_L1 = 0.0037667967632025 ;
u2_g_yer_u2_g_yer_L1 = 0.480506381923644 ;
u2_g_yer_u2_stn_L1 = -0.0722359286123494 ;
u2_stn_ecm_u2_q_yed_L1 = -0.0438500662608356 ;
u2_stn_ecm_u2_stn_L1 = -0.153283917138772 ;
u2_stn_u2_q_yed_L1 = 0.0328744983772825 ;
u2_stn_u2_g_yer_L1 = 0.292121949736756 ;
u2_estn_u2_estn_L1 = 1 ;
u2_ehic_u2_ehic_L1 = 1 ;
de_q_yed_ecm_de_q_yed_L1 = -0.822375165893149 ;
de_q_yed_ecm_u2_stn_L1 = -0.323715338568977 ;
de_q_yed_de_g_yer_L1 = 0.0401361895021082 ;
de_q_yed_u2_stn_L1 = 0.0583977039584461 ;
de_g_yer_ecm_de_q_yed_L1 = 0.0189896046977422 ;
de_g_yer_ecm_u2_stn_L1 = -0.109597659887433 ;
de_g_yer_de_q_yed_L1 = 0.00376679676320256;
de_g_yer_de_g_yer_L1 = 0.480506381923643 ;
de_g_yer_u2_stn_L1 = -0.0722359286123494 ;
de_ehic_de_ehic_L1 = 1 ;
model(linear);
diff(U2_Q_YED) = u2_q_yed_ecm_u2_q_yed_L1 * (U2_Q_YED(-1) - U2_EHIC(-1))
+ u2_q_yed_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
+ u2_q_yed_u2_g_yer_L1 * diff(U2_G_YER(-1))
+ u2_q_yed_u2_stn_L1 * diff(U2_STN(-1))
+ res_U2_Q_YED ;
diff(U2_G_YER) = u2_g_yer_ecm_u2_q_yed_L1 * (U2_Q_YED(-1) - U2_EHIC(-1))
+ u2_g_yer_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
+ u2_g_yer_u2_q_yed_L1 * diff(U2_Q_YED(-1))
+ u2_g_yer_u2_g_yer_L1 * diff(U2_G_YER(-1))
+ u2_g_yer_u2_stn_L1 * diff(U2_STN(-1))
+ res_U2_G_YER ;
diff(U2_STN) = u2_stn_ecm_u2_q_yed_L1 * (U2_Q_YED(-1) - U2_EHIC(-1))
+ u2_stn_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
+ u2_stn_u2_q_yed_L1 * diff(U2_Q_YED(-1))
+ u2_stn_u2_g_yer_L1 * diff(U2_G_YER(-1))
+ res_U2_STN ;
U2_ESTN = u2_estn_u2_estn_L1 * U2_ESTN(-1)
+ res_U2_ESTN ;
U2_EHIC = u2_ehic_u2_ehic_L1 * U2_EHIC(-1)
+ res_U2_EHIC ;
diff(DE_Q_YED) = de_q_yed_ecm_de_q_yed_L1 * (DE_Q_YED(-1) - DE_EHIC(-1))
+ de_q_yed_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
+ de_q_yed_de_g_yer_L1 * diff(DE_G_YER(-1))
+ de_q_yed_u2_stn_L1 * diff(U2_STN(-1))
+ res_DE_Q_YED ;
diff(DE_G_YER) = de_g_yer_ecm_de_q_yed_L1 * (DE_Q_YED(-1) - DE_EHIC(-1))
+ de_g_yer_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
+ de_g_yer_de_q_yed_L1 * diff(DE_Q_YED(-1))
+ de_g_yer_de_g_yer_L1 * diff(DE_G_YER(-1))
+ de_g_yer_u2_stn_L1 * diff(U2_STN(-1))
+ res_DE_G_YER ;
DE_EHIC = de_ehic_de_ehic_L1 * DE_EHIC(-1)
+ res_DE_EHIC ;
end;
shocks;
var res_U2_Q_YED = 0.005;
var res_U2_G_YER = 0.005;
var res_U2_STN = 0.005;
var res_U2_ESTN = 0.005;
var res_U2_EHIC = 0.005;
var res_DE_Q_YED = 0.005;
var res_DE_G_YER = 0.005;
var res_DE_EHIC = 0.005;
end;

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tests/ECB/pooled_ols/run_simulation_test.m Normal file
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close all
dynare panel_var_diff_NB_simulation_test.mod;
NSIMS = 1000;
calibrated_values = M_.params;
Sigma_e = M_.Sigma_e;
options_.bnlms.set_dynare_seed_to_default = false;
M_endo_names_trim = cellstr(M_.endo_names);
nparampool = length(M_.params);
BETA = zeros(NSIMS, nparampool);
for i=1:NSIMS
i
firstobs = rand(3, length(M_endo_names_trim));
M_.params = calibrated_values;
M_.Sigma_e = Sigma_e;
simdata = simul_backward_model(dseries(firstobs, dates('1995Q1'), M_endo_names_trim), 10000);
simdata = simdata(simdata.dates(5001:6000));
pooled_ols(simdata, ...
{'de','u2'}, ...
{'*_q_yed_ecm_*_q_yed_L1', ...
'*_q_yed_ecm_u2_stn_L1', ...
'*_q_yed_*_g_yer_L1', ...
'*_q_yed_u2_stn_L1', ...
'*_g_yer_ecm_*_q_yed_L1', ...
'*_g_yer_ecm_u2_stn_L1', ...
'*_g_yer_*_q_yed_L1', ...
'*_g_yer_*_g_yer_L1', ...
'*_g_yer_u2_stn_L1', ...
'*_ehic_*_ehic_L1'});
BETA(i, :) = M_.params';
oldsim = simdata;
end
mean(BETA)' - calibrated_values
for i=1:nparampool
figure
hold on
title(strrep(M_.param_names(i,:), '_', '\_'));
histogram(BETA(:,i),50);
line([calibrated_values(i) calibrated_values(i)], [0 NSIMS/10], 'LineWidth', 2, 'Color', 'r');
hold off
end