Add unit test for variance decomposition
parent
281e87f807
commit
3902c86407
|
@ -7,6 +7,7 @@ MODFILES = \
|
|||
estimation/MH_recover/fs2000_recover.mod \
|
||||
estimation/t_proposal/fs2000_student.mod \
|
||||
estimation/TaRB/fs2000_tarb.mod \
|
||||
moments/example1_var_decomp \
|
||||
gsa/ls2003.mod \
|
||||
gsa/ls2003a.mod \
|
||||
gsa/cod_ML_morris/cod_ML_morris.mod \
|
||||
|
|
|
@ -0,0 +1,89 @@
|
|||
/*
|
||||
* Example 1 from F. Collard (2001): "Stochastic simulations with DYNARE:
|
||||
* A practical guide" (see "guide.pdf" in the documentation directory).
|
||||
*/
|
||||
|
||||
/*
|
||||
* Copyright (C) 2001-2010 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 y, c, k, a, h, b;
|
||||
varexo e, u, junk;
|
||||
|
||||
parameters beta, rho, alpha, delta, theta, psi, tau;
|
||||
|
||||
alpha = 0.36;
|
||||
rho = 0.95;
|
||||
tau = 0.025;
|
||||
beta = 0.99;
|
||||
delta = 0.025;
|
||||
psi = 0;
|
||||
theta = 2.95;
|
||||
|
||||
phi = 0;
|
||||
|
||||
model;
|
||||
c*theta*h^(1+psi)=(1-alpha)*y;
|
||||
k = beta*(((exp(b)*c)/(exp(b(+1))*c(+1)))
|
||||
*(exp(b(+1))*alpha*y(+1)+(1-delta)*k));
|
||||
y = exp(a)*(k(-1)^alpha)*(h^(1-alpha));
|
||||
k = exp(b)*(y-c)+(1-delta)*k(-1);
|
||||
a = rho*a(-1)+tau*b(-1) + e;
|
||||
b = tau*a(-1)+rho*b(-1) + u;
|
||||
end;
|
||||
|
||||
initval;
|
||||
y = 1.08068253095672;
|
||||
c = 0.80359242014163;
|
||||
h = 0.29175631001732;
|
||||
k = 11.08360443260358;
|
||||
a = 0;
|
||||
b = 0;
|
||||
e = 0;
|
||||
u = 0;
|
||||
end;
|
||||
|
||||
shocks;
|
||||
var e; stderr 0.009;
|
||||
var u; stderr 0.009;
|
||||
var e, u = phi*0.009*0.009;
|
||||
end;
|
||||
|
||||
stoch_simul(relative_irf,order=1,periods=0);
|
||||
oo_1_theoretic=oo_;
|
||||
stoch_simul(relative_irf,order=1,periods=100000);
|
||||
oo_1_simul=oo_;
|
||||
stoch_simul(relative_irf,order=2,periods=0);
|
||||
oo_2_theoretic=oo_;
|
||||
set_dynare_seed('default');
|
||||
stoch_simul(relative_irf,order=2,periods=100000);
|
||||
oo_2_simul=oo_;
|
||||
|
||||
if max(max(abs(oo_1_theoretic.variance_decomposition-oo_1_simul.variance_decomposition)))>2
|
||||
error('Variance Decomposition wrong')
|
||||
end
|
||||
|
||||
if max(max(abs(oo_1_theoretic.variance_decomposition-oo_2_theoretic.variance_decomposition)))>1e-10
|
||||
error('Theoretical Variance Decomposition wrong')
|
||||
end
|
||||
|
||||
if max(max(abs(oo_2_theoretic.variance_decomposition-oo_2_simul.variance_decomposition)))>3
|
||||
error('Variance Decomposition wrong')
|
||||
end
|
||||
|
Loading…
Reference in New Issue