Removed test files (non linear filters).
Stéphane Adjemian (Charybdis)
parent
bf1e6a15a5
commit
3d682766a0
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@ -1,108 +0,0 @@
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data_q = [
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1.8427989393876372 0.3088913165992926 0.4683877152687628
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1.8492612345046946 0.3099399524739410 0.4747893233824432 ] ;
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series = data_q ;
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y_obs = series(:,1) ;
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l_obs = series(:,2) ;
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i_obs = series(:,3) ;
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ti = [1950:0.25:1997.75] ;
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@ -1,108 +0,0 @@
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data_q = [
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1.9067713717534565 0.3220496850030390 0.5641098804127616
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1.9023834599506371 0.3220618308933350 0.5594994507942510
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1.8492612345046946 0.3099399524739410 0.4747893233824432 ] ;
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series = data_q ;
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y = series(:,1) ;
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l = series(:,2) ;
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i = series(:,3) ;
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ti = [1950:0.25:1997.75] ;
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@ -1,108 +0,0 @@
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data_q = [
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3.0893692245710120 0.3758142584381197 1.3736160485397231
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3.0660651502233849 0.3753374725067655 1.3556569800409370
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|
||||
3.0072038368128386 0.3675374291023867 1.2902560449939966
|
||||
2.7545853914556400 0.3598607994136874 1.1069675939077936
|
||||
2.9295965136635451 0.3651592820565563 1.2328669604230877
|
||||
2.9933353328008208 0.3683653735824908 1.2771551469353699
|
||||
3.0437536568409902 0.3692760918544227 1.3117780220395276
|
||||
3.1774888111048756 0.3744397965724889 1.4073102042450027
|
||||
3.2580791707670618 0.3801386476052941 1.4650633667805903
|
||||
3.3762652272056357 0.3804124095187516 1.5506943174881025
|
||||
3.5766260586983130 0.3891294328254664 1.6940397297417198
|
||||
3.5651076464346523 0.3890174492522563 1.6816363377091872
|
||||
3.5363405026710750 0.3840333551858592 1.6597377068934662
|
||||
3.4061704067115235 0.3795338244321312 1.5635663541797034
|
||||
3.4023479876104235 0.3815625044376616 1.5591824768248814
|
||||
3.6433616572768091 0.3896297648026625 1.7339585306183256
|
||||
3.6037550888560741 0.3859961887898235 1.6997502652542846
|
||||
3.7395859913512770 0.3913704767730293 1.7986628022186684
|
||||
3.6481562268101615 0.3874123459725484 1.7297049696521991
|
||||
3.5302638024888422 0.3825401402717894 1.6408392288233329
|
||||
3.4929861977253722 0.3818728843545489 1.6103979425042325
|
||||
3.6802191795369463 0.3877064688991520 1.7464096026963609
|
||||
3.6023593623105183 0.3852188422181715 1.6876460862338143
|
||||
3.6979592372831545 0.3897357438298838 1.7556824098709289
|
||||
3.7935022514612444 0.3913882331431256 1.8238102443580573
|
||||
3.7271850332362759 0.3895048282095298 1.7729193485369164
|
||||
3.6340016305572225 0.3857926768156474 1.7006137782454689
|
||||
3.8143412946907724 0.3914329791422904 1.8313197281442655
|
||||
3.5823339283397297 0.3825929448320536 1.6576793746028033
|
||||
3.7093790536773512 0.3834864203951362 1.7474891366699334
|
||||
3.6899372411146527 0.3900552580486250 1.7324231406333395
|
||||
3.7502750973491263 0.3886883654510422 1.7736746226221312
|
||||
3.8524511672784243 0.3902641945745645 1.8462687913689784
|
||||
4.3434002252521591 0.4042851759344677 2.2081216437024547
|
||||
4.7137181552326490 0.4109083307059895 2.4799698062651410
|
||||
4.7184278847825425 0.4122602815641268 2.4785933738379073
|
||||
4.6696524943995126 0.4101529438216297 2.4355603779766071
|
||||
4.2163120572181807 0.3966934010266772 2.0921757914534158
|
||||
4.2497964644806743 0.3980258815140960 2.1119059035902525
|
||||
4.3529434404952507 0.3989381298849723 2.1842698629306430
|
||||
4.0294805927475492 0.3909324023852882 1.9392316054763221
|
||||
3.9326679911751441 0.3872348832054870 1.8649329876205922
|
||||
3.8653007778396957 0.3867921895023657 1.8128679643057319
|
||||
3.9326251025919290 0.3869813483164421 1.8599812162510156
|
||||
4.0762462438020304 0.3922511548287360 1.9634201489713279
|
||||
4.2178957772345047 0.3956957031639849 2.0653285762053324
|
||||
3.9706435299934491 0.3861318875566385 1.8783291835968341
|
||||
3.8534641820362490 0.3860256585738589 1.7905769707600037
|
||||
3.9165281257422930 0.3868887486925434 1.8339711679416653
|
||||
4.2080848562552697 0.3948532474971296 2.0465472859647087
|
||||
4.0266160177229535 0.3860005302463748 1.9108154923089335
|
||||
3.9323260888835034 0.3860222518152188 1.8377599811431686
|
||||
3.8537098968392653 0.3814384862752067 1.7784765753324820
|
||||
4.2871687704481651 0.3943463439557124 2.0948901627634871
|
||||
4.1829504220240334 0.3909081850391359 2.0150472974762090
|
||||
4.0095403803112086 0.3844117638399348 1.8832098228337044
|
||||
4.0130824646423751 0.3846055384358413 1.8845664416497820
|
||||
3.8631402594876865 0.3802879524877580 1.7707706197372584
|
||||
3.9357649193147597 0.3839311960551173 1.8230698938381737
|
||||
3.8416672252920754 0.3789104961850999 1.7511094295112586
|
||||
3.8893987229507743 0.3811264437468312 1.7870481406872885
|
||||
3.9510725894766856 0.3808638834404941 1.8298874413880961
|
||||
3.8760427104627575 0.3815443912301968 1.7708119375899045
|
||||
4.0415145438688782 0.3839973575554804 1.8910670382952988
|
||||
3.9816710517407397 0.3830486209560372 1.8444446840778261
|
||||
3.7889737207399863 0.3778663463446689 1.7031746030831030
|
||||
3.7819952897547435 0.3789038064396780 1.6969165746445256
|
||||
3.6177729414461077 0.3716291543588068 1.5777876544257361
|
||||
3.6151652797700380 0.3742686989070124 1.5744215389128717
|
||||
3.8329605779800620 0.3787622145272513 1.7342342418252481
|
||||
3.9208687927053250 0.3816470831545388 1.7964393839806878
|
||||
3.9477756757823173 0.3817122805835625 1.8146461523870689
|
||||
4.1425720429382684 0.3855057641293341 1.9556899421538834
|
||||
3.9968502053860502 0.3834689049897719 1.8460940138620006
|
||||
3.6894953630232026 0.3719765784988329 1.6220655826126953
|
||||
3.5206581608178675 0.3677053639289953 1.4992616537890311
|
||||
3.8259875343733345 0.3771690226170318 1.7190233447151848
|
||||
3.7294489259835171 0.3744227839484513 1.6509251684340795
|
||||
3.6083709203073395 0.3700309681753136 1.5593506375008885
|
||||
3.5796200894321188 0.3689833551161356 1.5409955292491304
|
||||
3.3501058476355210 0.3602122874994377 1.3773042878437369
|
||||
3.2314795333355684 0.3572882539848431 1.2933683908052520
|
||||
3.2667882461281090 0.3587973355762135 1.3207664416024336
|
||||
3.3237752391578921 0.3614523270070953 1.3637707663697225 ] ;
|
||||
series = data_q ;
|
||||
y_obs = series(:,1) ;
|
||||
l_obs = series(:,2) ;
|
||||
i_obs = series(:,3) ;
|
||||
|
||||
ti = [1950:0.25:1997.75] ;
|
||||
|
||||
|
|
@ -1,108 +0,0 @@
|
|||
data_q = [
|
||||
3.0893692245710120 0.3758142584381197 1.3736160485397231
|
||||
3.0660651502233849 0.3753374725067655 1.3556569800409370
|
||||
3.1562022892234878 0.3751387234902949 1.4200595635788320
|
||||
2.9997735721086665 0.3713377510832451 1.3045041541427214
|
||||
2.8722348052100499 0.3663193546654073 1.2124732374898624
|
||||
3.0063609493011687 0.3712477753004185 1.3067403781204556
|
||||
3.0907981222707077 0.3743436813341031 1.3655197862611317
|
||||
3.2576159776635438 0.3782384341038726 1.4851249742428121
|
||||
3.1331087029400901 0.3749780239746965 1.3922985050840795
|
||||
3.1197558404405097 0.3739005448739706 1.3820096740185817
|
||||
3.1206536767348925 0.3741030497500624 1.3814130779650502
|
||||
3.1448350693137201 0.3756922354205376 1.3966760625594061
|
||||
3.1519872033987983 0.3749727261842731 1.3993007411280067
|
||||
3.0239048516427296 0.3687967794040237 1.3066414154066639
|
||||
2.9618610715137836 0.3669867014950722 1.2615633851927939
|
||||
2.6563290099974961 0.3517705482778736 1.0413044630966235
|
||||
2.9172650378172404 0.3624176795575358 1.2263799318307986
|
||||
2.9210827303445832 0.3654938028862934 1.2287181449572828
|
||||
3.0072038368128386 0.3675374291023867 1.2902560449939966
|
||||
2.7545853914556400 0.3598607994136874 1.1069675939077936
|
||||
2.9295965136635451 0.3651592820565563 1.2328669604230877
|
||||
2.9933353328008208 0.3683653735824908 1.2771551469353699
|
||||
3.0437536568409902 0.3692760918544227 1.3117780220395276
|
||||
3.1774888111048756 0.3744397965724889 1.4073102042450027
|
||||
3.2580791707670618 0.3801386476052941 1.4650633667805903
|
||||
3.3762652272056357 0.3804124095187516 1.5506943174881025
|
||||
3.5766260586983130 0.3891294328254664 1.6940397297417198
|
||||
3.5651076464346523 0.3890174492522563 1.6816363377091872
|
||||
3.5363405026710750 0.3840333551858592 1.6597377068934662
|
||||
3.4061704067115235 0.3795338244321312 1.5635663541797034
|
||||
3.4023479876104235 0.3815625044376616 1.5591824768248814
|
||||
3.6433616572768091 0.3896297648026625 1.7339585306183256
|
||||
3.6037550888560741 0.3859961887898235 1.6997502652542846
|
||||
3.7395859913512770 0.3913704767730293 1.7986628022186684
|
||||
3.6481562268101615 0.3874123459725484 1.7297049696521991
|
||||
3.5302638024888422 0.3825401402717894 1.6408392288233329
|
||||
3.4929861977253722 0.3818728843545489 1.6103979425042325
|
||||
3.6802191795369463 0.3877064688991520 1.7464096026963609
|
||||
3.6023593623105183 0.3852188422181715 1.6876460862338143
|
||||
3.6979592372831545 0.3897357438298838 1.7556824098709289
|
||||
3.7935022514612444 0.3913882331431256 1.8238102443580573
|
||||
3.7271850332362759 0.3895048282095298 1.7729193485369164
|
||||
3.6340016305572225 0.3857926768156474 1.7006137782454689
|
||||
3.8143412946907724 0.3914329791422904 1.8313197281442655
|
||||
3.5823339283397297 0.3825929448320536 1.6576793746028033
|
||||
3.7093790536773512 0.3834864203951362 1.7474891366699334
|
||||
3.6899372411146527 0.3900552580486250 1.7324231406333395
|
||||
3.7502750973491263 0.3886883654510422 1.7736746226221312
|
||||
3.8524511672784243 0.3902641945745645 1.8462687913689784
|
||||
4.3434002252521591 0.4042851759344677 2.2081216437024547
|
||||
4.7137181552326490 0.4109083307059895 2.4799698062651410
|
||||
4.7184278847825425 0.4122602815641268 2.4785933738379073
|
||||
4.6696524943995126 0.4101529438216297 2.4355603779766071
|
||||
4.2163120572181807 0.3966934010266772 2.0921757914534158
|
||||
4.2497964644806743 0.3980258815140960 2.1119059035902525
|
||||
4.3529434404952507 0.3989381298849723 2.1842698629306430
|
||||
4.0294805927475492 0.3909324023852882 1.9392316054763221
|
||||
3.9326679911751441 0.3872348832054870 1.8649329876205922
|
||||
3.8653007778396957 0.3867921895023657 1.8128679643057319
|
||||
3.9326251025919290 0.3869813483164421 1.8599812162510156
|
||||
4.0762462438020304 0.3922511548287360 1.9634201489713279
|
||||
4.2178957772345047 0.3956957031639849 2.0653285762053324
|
||||
3.9706435299934491 0.3861318875566385 1.8783291835968341
|
||||
3.8534641820362490 0.3860256585738589 1.7905769707600037
|
||||
3.9165281257422930 0.3868887486925434 1.8339711679416653
|
||||
4.2080848562552697 0.3948532474971296 2.0465472859647087
|
||||
4.0266160177229535 0.3860005302463748 1.9108154923089335
|
||||
3.9323260888835034 0.3860222518152188 1.8377599811431686
|
||||
3.8537098968392653 0.3814384862752067 1.7784765753324820
|
||||
4.2871687704481651 0.3943463439557124 2.0948901627634871
|
||||
4.1829504220240334 0.3909081850391359 2.0150472974762090
|
||||
4.0095403803112086 0.3844117638399348 1.8832098228337044
|
||||
4.0130824646423751 0.3846055384358413 1.8845664416497820
|
||||
3.8631402594876865 0.3802879524877580 1.7707706197372584
|
||||
3.9357649193147597 0.3839311960551173 1.8230698938381737
|
||||
3.8416672252920754 0.3789104961850999 1.7511094295112586
|
||||
3.8893987229507743 0.3811264437468312 1.7870481406872885
|
||||
3.9510725894766856 0.3808638834404941 1.8298874413880961
|
||||
3.8760427104627575 0.3815443912301968 1.7708119375899045
|
||||
4.0415145438688782 0.3839973575554804 1.8910670382952988
|
||||
3.9816710517407397 0.3830486209560372 1.8444446840778261
|
||||
3.7889737207399863 0.3778663463446689 1.7031746030831030
|
||||
3.7819952897547435 0.3789038064396780 1.6969165746445256
|
||||
3.6177729414461077 0.3716291543588068 1.5777876544257361
|
||||
3.6151652797700380 0.3742686989070124 1.5744215389128717
|
||||
3.8329605779800620 0.3787622145272513 1.7342342418252481
|
||||
3.9208687927053250 0.3816470831545388 1.7964393839806878
|
||||
3.9477756757823173 0.3817122805835625 1.8146461523870689
|
||||
4.1425720429382684 0.3855057641293341 1.9556899421538834
|
||||
3.9968502053860502 0.3834689049897719 1.8460940138620006
|
||||
3.6894953630232026 0.3719765784988329 1.6220655826126953
|
||||
3.5206581608178675 0.3677053639289953 1.4992616537890311
|
||||
3.8259875343733345 0.3771690226170318 1.7190233447151848
|
||||
3.7294489259835171 0.3744227839484513 1.6509251684340795
|
||||
3.6083709203073395 0.3700309681753136 1.5593506375008885
|
||||
3.5796200894321188 0.3689833551161356 1.5409955292491304
|
||||
3.3501058476355210 0.3602122874994377 1.3773042878437369
|
||||
3.2314795333355684 0.3572882539848431 1.2933683908052520
|
||||
3.2667882461281090 0.3587973355762135 1.3207664416024336
|
||||
3.3237752391578921 0.3614523270070953 1.3637707663697225 ] ;
|
||||
series = data_q ;
|
||||
y = series(:,1) ;
|
||||
l = series(:,2) ;
|
||||
i = series(:,3) ;
|
||||
|
||||
ti = [1950:0.25:1997.75] ;
|
||||
|
||||
File diff suppressed because one or more lines are too long
|
|
@ -1,76 +0,0 @@
|
|||
var k A c l i y y_obs l_obs i_obs;
|
||||
varexo e_a,e_y,e_i,e_l ;
|
||||
|
||||
parameters alp bet tet tau delt rho ;
|
||||
alp = 0.4;
|
||||
bet = 0.99;
|
||||
tet = 0.357 ;
|
||||
tau = 50 ;
|
||||
delt = 0.02;
|
||||
rho = 0.95;
|
||||
|
||||
model;
|
||||
c = ((1 - alp)*tet/(1-tet))*A*(1-l)*((k(-1)/l)^alp) ;
|
||||
y = A*(k(-1)^alp)*(l^(1-alp)) ;
|
||||
i = y-c ;
|
||||
k = (1-delt)*k(-1) + i ;
|
||||
log(A) = rho*log(A(-1)) + e_a ;
|
||||
(((c^(tet))*((1-l)^(1-tet)))^(1-tau))/c - bet*((((c(+1)^(tet))*((1-l(+1))^(1-tet)))^(1-tau))/c(+1))*(1 -delt+alp*(A(1)*(k^alp)*(l(1)^(1-alp)))/k)=0 ;
|
||||
y_obs = y + e_y ;
|
||||
l_obs = l + e_l ;
|
||||
i_obs = i + e_i ;
|
||||
end;
|
||||
|
||||
steady;
|
||||
|
||||
shocks;
|
||||
var e_a; stderr 0.035;
|
||||
var e_y; stderr 0.000158;
|
||||
var e_l; stderr 0.00011;
|
||||
var e_i; stderr 0.0000866;
|
||||
end;
|
||||
|
||||
steady;
|
||||
|
||||
|
||||
estimated_params;
|
||||
alp, uniform_pdf,,, 0.0001, 1;
|
||||
bet, uniform_pdf,,, 0.75, 0.999;
|
||||
tet, uniform_pdf,,, 0.0001, 1;
|
||||
tau, uniform_pdf,,, 0.0001, 100;
|
||||
delt, uniform_pdf,,, 0.0001, 0.05;
|
||||
rho, uniform_pdf,,, 0.0001, 0.999;
|
||||
stderr e_a, uniform_pdf,,, 0.00001, 0.1;
|
||||
stderr e_y, uniform_pdf,,, 0.00001, 0.1;
|
||||
stderr e_l, uniform_pdf,,, 0.00001, 0.1;
|
||||
stderr e_i, uniform_pdf,,, 0.00001, 0.1;
|
||||
end;
|
||||
|
||||
|
||||
estimated_params_init;
|
||||
alp, 0.4;
|
||||
bet, 0.99;
|
||||
tet, 0.357 ;
|
||||
tau, 3;
|
||||
delt, 0.02;
|
||||
rho, 0.95;
|
||||
stderr e_a, .035;
|
||||
stderr e_y, .000158;
|
||||
stderr e_l, .0011;
|
||||
stderr e_i, .000866;
|
||||
end;
|
||||
|
||||
|
||||
varobs y_obs l_obs i_obs;
|
||||
|
||||
options_.particle.status = 1;
|
||||
options_.particle.algorithm = 'sequential_importance_particle_filter';
|
||||
options_.particle.initialization = 1;
|
||||
particle.number_of_particles = 500;
|
||||
|
||||
set_dynare_threads('local_state_space_iteration_2',2);
|
||||
|
||||
//estimation(datafile=data_benchmark,order=2,nobs=100,mh_replic=0,mode_compute=6);
|
||||
//estimation(datafile=data_benchmark,order=2,nobs=100,mh_replic=0,mode_compute=8,mode_file=dsge_base_mode);
|
||||
//estimation(datafile=data_benchmark,order=2,nobs=100,mh_replic=0,mode_compute=8,mode_file=dsge_base_mode);
|
||||
estimation(datafile=data_benchmark,order=2,nobs=100,mh_replic=0,mode_compute=4,mode_file=dsge_base_mode,mode_check);
|
||||
|
|
@ -1,52 +0,0 @@
|
|||
function [ys,check,penlt] = mze_steadystate(ys,exe)
|
||||
global M_
|
||||
|
||||
persistent idx NumberOfParameters NumberOfEndogenousVariables
|
||||
persistent load_parameters fill_ys
|
||||
|
||||
|
||||
if isempty(idx)
|
||||
NumberOfParameters = M_.param_nbr;
|
||||
NumberOfEndogenousVariables = M_.orig_endo_nbr;
|
||||
load_parameters = [];
|
||||
for i = 1:NumberOfParameters
|
||||
load_parameters = [ load_parameters deblank(M_.param_names(i,:)) ' = M_.params(' int2str(i) '); '];
|
||||
end
|
||||
fill_ys = [];
|
||||
for i = 1:NumberOfEndogenousVariables
|
||||
fill_ys = [fill_ys 'ys(' int2str(i) ') = ' deblank(M_.endo_names(i,:)) '_ss' '; '];
|
||||
end
|
||||
idx = 1;
|
||||
end
|
||||
|
||||
|
||||
% Do not call matlab's routine!
|
||||
|
||||
eval(load_parameters);
|
||||
|
||||
ys = zeros(NumberOfEndogenousVariables,1);
|
||||
check = 0;
|
||||
|
||||
k_ss = -(alp-1)*(alp^(1/(1-alp)))*(bet^(1/(1-alp)))*((bet*(delt-1)+1)^(alp/(alp-1)))*tet;
|
||||
|
||||
k_ss = k_ss/(-alp*delt*bet+delt*bet+alp*tet*bet-bet-alp*tet+1);
|
||||
|
||||
l_ss = (alp-1)*(bet*(delt-1)+1)*tet;
|
||||
|
||||
l_ss = l_ss/(alp*tet+bet*((alp-1)*delt-alp*tet+1)-1) ;
|
||||
|
||||
y_ss = (k_ss^alp)*(l_ss^(1-alp)) ;
|
||||
|
||||
i_ss = delt*k_ss ;
|
||||
|
||||
c_ss = y_ss - i_ss ;
|
||||
|
||||
A_ss = 1;
|
||||
|
||||
|
||||
y_obs_ss = y_ss;
|
||||
l_obs_ss = l_ss ;
|
||||
i_obs_ss = i_ss ;
|
||||
|
||||
% Fill vector ys (steady state values).
|
||||
eval(fill_ys);
|
||||
|
|
@ -1,101 +0,0 @@
|
|||
// This file replicates the estimation of the CIA model from
|
||||
// Frank Schorfheide (2000) "Loss function-based evaluation of DSGE models"
|
||||
// Journal of Applied Econometrics, 15, 645-670.
|
||||
// the data are the ones provided on Schorfheide's web site with the programs.
|
||||
// http://www.econ.upenn.edu/~schorf/programs/dsgesel.ZIP
|
||||
// You need to have fsdat.m in the same directory as this file.
|
||||
// This file replicates:
|
||||
// -the posterior mode as computed by Frank's Gauss programs
|
||||
// -the parameter mean posterior estimates reported in the paper
|
||||
// -the model probability (harmonic mean) reported in the paper
|
||||
// This file was tested with dyn_mat_test_0218.zip
|
||||
// the smooth shocks are probably stil buggy
|
||||
//
|
||||
// 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.
|
||||
//
|
||||
// Michel Juillard, February 2004
|
||||
|
||||
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;
|
||||
|
||||
alp = 0.33;
|
||||
bet = 0.99;
|
||||
gam = 0.003;
|
||||
mst = 1.011;
|
||||
rho = 0.7;
|
||||
psi = 0.787;
|
||||
del = 0.02;
|
||||
|
||||
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;
|
||||
|
||||
initval;
|
||||
k = 6;
|
||||
m = mst;
|
||||
P = 2.25;
|
||||
c = 0.45;
|
||||
e = 1;
|
||||
W = 4;
|
||||
R = 1.02;
|
||||
d = 0.85;
|
||||
n = 0.19;
|
||||
l = 0.86;
|
||||
y = 0.6;
|
||||
gy_obs = exp(gam);
|
||||
gp_obs = exp(-gam);
|
||||
dA = exp(gam);
|
||||
end;
|
||||
|
||||
//shocks;
|
||||
//var e_a; stderr 0.014;
|
||||
//var e_m; stderr 0.005;
|
||||
//end;
|
||||
|
||||
steady;
|
||||
|
||||
//stoch_simul(noprint,irf=0);
|
||||
|
||||
estimated_params;
|
||||
alp, beta_pdf, 0.356, 0.02;
|
||||
bet, beta_pdf, 0.993, 0.002;
|
||||
gam, normal_pdf, 0.0085, 0.003;
|
||||
mst, normal_pdf, 1.0002, 0.007;
|
||||
rho, beta_pdf, 0.129, 0.223;
|
||||
psi, beta_pdf, 0.65, 0.05;
|
||||
del, beta_pdf, 0.01, 0.005;
|
||||
stderr e_a, inv_gamma_pdf, 0.015449, inf;
|
||||
stderr e_m, inv_gamma_pdf, 0.00862, inf;
|
||||
end;
|
||||
|
||||
//estimated_params_init;
|
||||
//stderr e_a, .0000001;
|
||||
//stderr e_m, .0000001;
|
||||
//end;
|
||||
|
||||
varobs gp_obs gy_obs;
|
||||
|
||||
options_.particle_filter.algorithm = 'sequential_importance_particle_filter';
|
||||
options_.particle_filter.initialization = 1;
|
||||
|
||||
options_.mode_check_neighbourhood_size = 0.02;
|
||||
|
||||
estimation(datafile='../fs2000/fsdat_simul',nobs=192,loglinear,mh_replic=0,order=2,mode_compute=8,mode_check);
|
||||
|
|
@ -1,56 +0,0 @@
|
|||
% computes the steady state of fs2000 analyticaly
|
||||
% largely inspired by the program of F. Schorfheide
|
||||
function [ys,check] = fs2000a_steadystate(ys,exe)
|
||||
global M_
|
||||
|
||||
alp = M_.params(1);
|
||||
bet = M_.params(2);
|
||||
gam = M_.params(3);
|
||||
mst = M_.params(4);
|
||||
rho = M_.params(5);
|
||||
psi = M_.params(6);
|
||||
del = M_.params(7);
|
||||
|
||||
check = 0;
|
||||
|
||||
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;
|
||||
|
||||
|
||||
ys =[
|
||||
m
|
||||
P
|
||||
c
|
||||
e
|
||||
W
|
||||
R
|
||||
k
|
||||
d
|
||||
n
|
||||
l
|
||||
gy_obs
|
||||
gp_obs
|
||||
y
|
||||
dA ];
|
||||
Loading…
Reference in New Issue