Add unit test for model_comparison
parent
680625f260
commit
35bd2ed5d0
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@ -3,6 +3,7 @@ MODFILES = \
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estimation/fs2000_MCMC_jumping_covariance.mod \
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estimation/fs2000_initialize_from_calib.mod \
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estimation/fs2000_calibrated_covariance.mod \
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estimation/fs2000_model_comparison.mod \
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estimation/MH_recover/fs2000_recover.mod \
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estimation/t_proposal/fs2000_student.mod \
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estimation/TaRB/fs2000_tarb.mod \
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@ -294,6 +295,9 @@ AIM/fs2000x10_L9_L_AIM.o.trs: AIM/fs2000x10_L9_L.o.trs
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AIM/ls2003_2L0L_AIM.o.trs: AIM/ls2003_2L0L.o.trs
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AIM/ls2003_2L2L_AIM.o.trs: AIM/ls2003_2L2L.o.trs
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estimation/fs2000_model_comparison.m.trs: estimation/fs2000.m.trs estimation/fs2000_initialize_from_calib.m.trs estimation/fs2000_calibrated_covariance.m.trs
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estimation/fs2000_model_comparison.o.trs: estimation/fs2000.o.trs estimation/fs2000_initialize_from_calib.o.trs estimation/fs2000_calibrated_covariance.o.trs
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optimizers/fs2000_102.m.trs: estimation/fs2000.m.trs
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optimizers/fs2000_102.o.trs: estimation/fs2000.o.trs
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@ -0,0 +1,110 @@
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// See fs2000.mod in the examples/ directory for details on the model
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var m P c e W R k d n l gy_obs gp_obs y dA;
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varexo e_a e_m;
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parameters alp bet gam mst rho psi del;
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alp = 0.33;
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bet = 0.99;
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gam = 0.003;
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mst = 1.011;
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rho = 0.7;
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psi = 0.787;
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del = 0.02;
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model;
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dA = exp(gam+e_a);
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log(m) = (1-rho)*log(mst) + rho*log(m(-1))+e_m;
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-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;
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W = l/n;
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-(psi/(1-psi))*(c*P/(1-n))+l/n = 0;
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R = P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(-alp)/W;
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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;
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c+k = exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)+(1-del)*exp(-(gam+e_a))*k(-1);
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P*c = m;
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m-1+d = l;
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e = exp(e_a);
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y = k(-1)^alp*n^(1-alp)*exp(-alp*(gam+e_a));
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gy_obs = dA*y/y(-1);
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gp_obs = (P/P(-1))*m(-1)/dA;
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end;
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steady_state_model;
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dA = exp(gam);
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gst = 1/dA;
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m = mst;
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khst = ( (1-gst*bet*(1-del)) / (alp*gst^alp*bet) )^(1/(alp-1));
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xist = ( ((khst*gst)^alp - (1-gst*(1-del))*khst)/mst )^(-1);
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nust = psi*mst^2/( (1-alp)*(1-psi)*bet*gst^alp*khst^alp );
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n = xist/(nust+xist);
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P = xist + nust;
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k = khst*n;
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l = psi*mst*n/( (1-psi)*(1-n) );
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c = mst/P;
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d = l - mst + 1;
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y = k^alp*n^(1-alp)*gst^alp;
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R = mst/bet;
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W = l/n;
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ist = y-c;
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q = 1 - d;
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e = 1;
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gp_obs = m/dA;
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gy_obs = dA;
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end;
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shocks;
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var e_a; stderr 0.014;
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var e_m; stderr 0.005;
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end;
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steady;
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check;
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estimated_params;
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% alp, beta_pdf, 0.356, 0.02;
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bet, beta_pdf, 0.993, 0.002;
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% gam, normal_pdf, 0.0085, 0.003;
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% mst, normal_pdf, 1.0002, 0.007;
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% rho, beta_pdf, 0.129, 0.223;
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% psi, beta_pdf, 0.65, 0.05;
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% del, beta_pdf, 0.01, 0.005;
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% stderr e_a, inv_gamma_pdf, 0.035449, inf;
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% stderr e_m, inv_gamma_pdf, 0.008862, inf;
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end;
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varobs gp_obs gy_obs;
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options_.solve_tolf = 1e-12;
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estimation(order=1,datafile=fsdat_simul,nobs=192,loglinear,mh_replic=2000,mh_nblocks=1,mh_jscale=0.8);
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model_comparison fs2000(0.5) fs2000_calibrated_covariance(0.5);
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if isfield(oo_,'Model_Comparison')
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error('Model Comparison should not work with ML')
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end
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model_comparison fs2000 fs2000_initialize_from_calib;
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model_comparison fs2000(0.5) fs2000_initialize_from_calib(0.5);
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model_comparison fs2000(0.25) fs2000_initialize_from_calib(0.25);
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model_comparison (marginal_density=laplace) fs2000(0.5) fs2000_initialize_from_calib(0.5);
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if oo_.Model_Comparison.fs2000.Posterior_Model_Probability < oo_.Model_Comparison.fs2000_initialize_from_calib.Posterior_Model_Probability && ...
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oo_.Model_Comparison.fs2000.Log_Marginal_Density > oo_.Model_Comparison.fs2000_initialize_from_calib.Log_Marginal_Density
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error('Model Comparison not correct')
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end
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oo_laplace=oo_;
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model_comparison (marginal_density=modifiedharmonicmean) fs2000(0.5) fs2000_initialize_from_calib(0.75);
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if abs(oo_laplace.Model_Comparison.fs2000.Log_Marginal_Density-oo_.Model_Comparison.fs2000.Log_Marginal_Density)>0.1
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error('Laplace and Harmonic Mean do not match')
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end
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model_comparison (marginal_density=modifiedharmonicmean) fs2000(0) fs2000_initialize_from_calib(1);
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if oo_.Model_Comparison.fs2000.Posterior_Model_Probability~=0 && oo_.Model_Comparison.fs2000_initialize_from_calib.Log_Marginal_Density~=1
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error('Incorporation of prior wrong')
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end
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model_comparison(marginal_density=laplace) fs2000(0.333) fs2000_initialize_from_calib(0.333) fs2000_model_comparison(0.333);
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