From 441ecaee30d9d2a085cac539b139f4eaa0f074c5 Mon Sep 17 00:00:00 2001 From: Houtan Bastani Date: Wed, 23 Jun 2010 15:46:55 +0200 Subject: [PATCH] Update userguide .mod files: change to unix-type line ending and remove extra spaces --- doc/userguide/models/Alt_Ex1.mod | 88 ++++---- doc/userguide/models/RBC_DataGen.mod | 277 ++++++------------------- doc/userguide/models/RBC_Est.mod | 77 ++++--- doc/userguide/models/RBC_Monop_Det.mod | 81 ++++---- doc/userguide/models/RBC_Monop_JFV.mod | 172 ++++----------- doc/userguide/models/fs2000ns.mod | 165 +++++++-------- 6 files changed, 314 insertions(+), 546 deletions(-) diff --git a/doc/userguide/models/Alt_Ex1.mod b/doc/userguide/models/Alt_Ex1.mod index 2f1ac1a55..4f0aaa746 100644 --- a/doc/userguide/models/Alt_Ex1.mod +++ b/doc/userguide/models/Alt_Ex1.mod @@ -4,48 +4,48 @@ \paperw11900\paperh16840\margl1440\margr1440\vieww9000\viewh8400\viewkind0 \pard\tx566\tx1133\tx1700\tx2267\tx2834\tx3401\tx3968\tx4535\tx5102\tx5669\tx6236\tx6803\ql\qnatural\pardirnatural -\f0\fs24 \cf0 // example 1 from Collard's guide to Dynare \ -var y, c, k, a, h, b; \ -varexo e,u; \ - \ -parameters beta, rho, beta, 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 = 0.1; \ - \ -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 = 5; \ -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(periods=2100); \ +\f0\fs24 \cf0 // example 1 from Collard's guide to Dynare +var y, c, k, a, h, b; +varexo e,u; + +parameters beta, rho, beta, 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 = 0.1; + +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 = 5; +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(periods=2100); } \ No newline at end of file diff --git a/doc/userguide/models/RBC_DataGen.mod b/doc/userguide/models/RBC_DataGen.mod index 23ecdbe47..4a50058e8 100644 --- a/doc/userguide/models/RBC_DataGen.mod +++ b/doc/userguide/models/RBC_DataGen.mod @@ -1,208 +1,69 @@ -% Basic RBC Model with Monopolistic Competion. - - -% - - -% Jesus Fernandez-Villaverde - - -% Philadelphia, March 3, 2005 - - - - - -%---------------------------------------------------------------- - - -% 0. Housekeeping - - -%---------------------------------------------------------------- - - - - - -close all - - - - - -%---------------------------------------------------------------- - - -% 1. Defining variables - - -%---------------------------------------------------------------- - - - - - -var y c k i l y_l w r z; - - -varexo e; - - - - - -parameters beta psi delta alpha rho gamma sigma epsilon; - - - - - -%---------------------------------------------------------------- - - -% 2. Calibration - - -%---------------------------------------------------------------- - - - - - -alpha = 0.33; - - -beta = 0.99; - - -delta = 0.023; - - -psi = 1.75; - - -rho = 0.95; - - -sigma = (0.007/(1-alpha)); - - -epsilon = 10; - - - - - -%---------------------------------------------------------------- - - -% 3. Model - - -%---------------------------------------------------------------- - - - - - -model; - - - (1/c) = beta*(1/c(+1))*(1+r(+1)-delta); - - - psi*c/(1-l) = w; - - - c+i = y; - - - y = (k(-1)^alpha)*(exp(z)*l)^(1-alpha); - - - w = y*((epsilon-1)/epsilon)*(1-alpha)/l; - - - r = y*((epsilon-1)/epsilon)*alpha/k; - - - i = k-(1-delta)*k(-1); - - - y_l = y/l; - - - z = rho*z(-1)+e; - - -end; - - - - - -%---------------------------------------------------------------- - - -% 4. Computation - - -%---------------------------------------------------------------- - - - - - -initval; - - - k = 9; - - - c = 0.76; - - - l = 0.3; - - - w = 2.07; - - - r = 0.03; - - - z = 0; - - - e = 0; - - -end; - - - - - -shocks; - - -var e = sigma^2; - - -end; - - - - - -steady; - - - - - -stoch_simul(periods=1000,irf=0,simul_seed=3); -datatomfile('simuldataRBC',[]); -return; - +% Basic RBC Model with Monopolistic Competion. +% +% Jesus Fernandez-Villaverde +% Philadelphia, March 3, 2005 +%---------------------------------------------------------------- +% 0. Housekeeping +%---------------------------------------------------------------- + +close all + +%---------------------------------------------------------------- +% 1. Defining variables +%---------------------------------------------------------------- + +var y c k i l y_l w r z; +varexo e; +parameters beta psi delta alpha rho gamma sigma epsilon; + +%---------------------------------------------------------------- +% 2. Calibration +%---------------------------------------------------------------- + +alpha = 0.33; +beta = 0.99; +delta = 0.023; +psi = 1.75; +rho = 0.95; +sigma = (0.007/(1-alpha)); +epsilon = 10; + +%---------------------------------------------------------------- +% 3. Model +%---------------------------------------------------------------- + +model; + (1/c) = beta*(1/c(+1))*(1+r(+1)-delta); + psi*c/(1-l) = w; + c+i = y; + y = (k(-1)^alpha)*(exp(z)*l)^(1-alpha); + w = y*((epsilon-1)/epsilon)*(1-alpha)/l; + r = y*((epsilon-1)/epsilon)*alpha/k; + i = k-(1-delta)*k(-1); + y_l = y/l; + z = rho*z(-1)+e; +end; + +%---------------------------------------------------------------- +% 4. Computation +%---------------------------------------------------------------- + +initval; + k = 9; + c = 0.76; + l = 0.3; + w = 2.07; + r = 0.03; + z = 0; + e = 0; +end; + +shocks; +var e = sigma^2; +end; + +steady; + +stoch_simul(periods=1000,irf=0,simul_seed=3); +datatomfile('simuldataRBC',[]); +return; \ No newline at end of file diff --git a/doc/userguide/models/RBC_Est.mod b/doc/userguide/models/RBC_Est.mod index 746882ea3..a039e141d 100644 --- a/doc/userguide/models/RBC_Est.mod +++ b/doc/userguide/models/RBC_Est.mod @@ -1,40 +1,39 @@ -var y c k i l y_l w r z; -varexo e; -parameters beta psi delta alpha rho epsilon; - -model; -(1/c) = beta*(1/c(+1))*(1+r(+1)-delta); -psi*c/(1-l) = w; -c+i = y; -y = (k(-1)^alpha)*(exp(z)*l)^(1-alpha); -w = y*((epsilon-1)/epsilon)*(1-alpha)/l; -r = y*((epsilon-1)/epsilon)*alpha/k(-1); -i = k-(1-delta)*k(-1); -y_l = y/l; -z = rho*z(-1)+e; -end; +var y c k i l y_l w r z; +varexo e; +parameters beta psi delta alpha rho epsilon; -varobs y; - -initval; - k = 9; - c = 0.76; - l = 0.3; - w = 2.07; - r = 0.03; - z = 0; - e = 0; -end; - -estimated_params; -alpha, beta_pdf, 0.35, 0.02; -beta, beta_pdf, 0.99, 0.002; -delta, beta_pdf, 0.025, 0.003; -psi, gamma_pdf, 1.75, 0.02; -rho, beta_pdf, 0.95, 0.05; -epsilon, gamma_pdf, 10, 0.003; -stderr e, inv_gamma_pdf, 0.01, inf; -end; - - -estimation(datafile=simuldataRBC,nobs=200,first_obs=500,mh_replic=2000,mh_nblocks=2,mh_drop=0.45,mh_jscale=0.8); +model; +(1/c) = beta*(1/c(+1))*(1+r(+1)-delta); +psi*c/(1-l) = w; +c+i = y; +y = (k(-1)^alpha)*(exp(z)*l)^(1-alpha); +w = y*((epsilon-1)/epsilon)*(1-alpha)/l; +r = y*((epsilon-1)/epsilon)*alpha/k(-1); +i = k-(1-delta)*k(-1); +y_l = y/l; +z = rho*z(-1)+e; +end; + +varobs y; + +initval; + k = 9; + c = 0.76; + l = 0.3; + w = 2.07; + r = 0.03; + z = 0; + e = 0; +end; + +estimated_params; +alpha, beta_pdf, 0.35, 0.02; +beta, beta_pdf, 0.99, 0.002; +delta, beta_pdf, 0.025, 0.003; +psi, gamma_pdf, 1.75, 0.02; +rho, beta_pdf, 0.95, 0.05; +epsilon, gamma_pdf, 10, 0.003; +stderr e, inv_gamma_pdf, 0.01, inf; +end; + +estimation(datafile=simuldataRBC,nobs=200,first_obs=500,mh_replic=2000,mh_nblocks=2,mh_drop=0.45,mh_jscale=0.8); diff --git a/doc/userguide/models/RBC_Monop_Det.mod b/doc/userguide/models/RBC_Monop_Det.mod index 396b53ee9..0ef7275a4 100644 --- a/doc/userguide/models/RBC_Monop_Det.mod +++ b/doc/userguide/models/RBC_Monop_Det.mod @@ -1,41 +1,42 @@ -var y c k i l y_l w r ; -varexo z; -parameters beta psi delta alpha sigma epsilon; -alpha = 0.33; -beta = 0.99; -delta = 0.023; -psi = 1.75; -sigma = (0.007/(1-alpha)); -epsilon = 10; - -model; - (1/c) = beta*(1/c(+1))*(1+r(+1)-delta); - psi*c/(1-l) = w; - c+i = y; - y = (k(-1)^alpha)*(exp(z)*l)^(1-alpha); - w = y*((epsilon-1)/epsilon)*(1-alpha)/l; - r = y*((epsilon-1)/epsilon)*alpha/k(-1); - i = k-(1-delta)*k(-1); - y_l = y/l; -end; - -initval; - k = 9; - c = 0.7; - l = 0.3; - w = 2.0; - r = 0; - z = 0; -end; - -steady; - -check; - -shocks; -var z; -periods 1:9; -values 0.1; -end; - +var y c k i l y_l w r ; +varexo z; +parameters beta psi delta alpha sigma epsilon; + +alpha = 0.33; +beta = 0.99; +delta = 0.023; +psi = 1.75; +sigma = (0.007/(1-alpha)); +epsilon = 10; + +model; + (1/c) = beta*(1/c(+1))*(1+r(+1)-delta); + psi*c/(1-l) = w; + c+i = y; + y = (k(-1)^alpha)*(exp(z)*l)^(1-alpha); + w = y*((epsilon-1)/epsilon)*(1-alpha)/l; + r = y*((epsilon-1)/epsilon)*alpha/k(-1); + i = k-(1-delta)*k(-1); + y_l = y/l; +end; + +initval; + k = 9; + c = 0.7; + l = 0.3; + w = 2.0; + r = 0; + z = 0; +end; + +steady; + +check; + +shocks; +var z; +periods 1:9; +values 0.1; +end; + simul(periods=2100); \ No newline at end of file diff --git a/doc/userguide/models/RBC_Monop_JFV.mod b/doc/userguide/models/RBC_Monop_JFV.mod index 82020e335..652de50ec 100644 --- a/doc/userguide/models/RBC_Monop_JFV.mod +++ b/doc/userguide/models/RBC_Monop_JFV.mod @@ -1,133 +1,45 @@ - -// Adapted from Jesus Fernandez-Villaverde, Basic RBC Model with Monopolistic Competion Philadelphia, March 3, 2005 - - - - - - -var y c k i l y_l w r z; - - -varexo e; - - - - - -parameters beta psi delta alpha rho gamma sigma epsilon; - - - -alpha = 0.33; - - -beta = 0.99; - - -delta = 0.023; - - -psi = 1.75; - - -rho = 0.95; - - -sigma = (0.007/(1-alpha)); - - -epsilon = 10; - - - - - -model; - - - (1/c) = beta*(1/c(+1))*(1+r(+1)-delta); - - - psi*c/(1-l) = w; - - - c+i = y; - - - y = (k(-1)^alpha)*(exp(z)*l)^(1-alpha); - - - w = y*((epsilon-1)/epsilon)*(1-alpha)/l; - - - r = y*((epsilon-1)/epsilon)*alpha/k(-1); - - - i = k-(1-delta)*k(-1); - - - y_l = y/l; - - - z = rho*z(-1)+e; - - -end; - - - -initval; - - - k = 9; - - - c = 0.76; - - - l = 0.3; - - - w = 2.07; - - - r = 0.03; - - - z = 0; - - - e = 0; - - -end; +// Adapted from Jesus Fernandez-Villaverde, Basic RBC Model with Monopolistic Competion Philadelphia, March 3, 2005 +var y c k i l y_l w r z; +varexo e; +parameters beta psi delta alpha rho gamma sigma epsilon; + +alpha = 0.33; +beta = 0.99; +delta = 0.023; +psi = 1.75; +rho = 0.95; +sigma = (0.007/(1-alpha)); +epsilon = 10; + +model; + (1/c) = beta*(1/c(+1))*(1+r(+1)-delta); + psi*c/(1-l) = w; + c+i = y; + y = (k(-1)^alpha)*(exp(z)*l)^(1-alpha); + w = y*((epsilon-1)/epsilon)*(1-alpha)/l; + r = y*((epsilon-1)/epsilon)*alpha/k(-1); + i = k-(1-delta)*k(-1); + y_l = y/l; + z = rho*z(-1)+e; +end; + +initval; + k = 9; + c = 0.76; + l = 0.3; + w = 2.07; + r = 0.03; + z = 0; + e = 0; +end; + +steady; +check; + +shocks; +var e = sigma^2; +end; steady; -check; - - - - -shocks; - - -var e = sigma^2; - - -end; - - - - - -steady; - - - - - -stoch_simul(periods=2100); - - +stoch_simul(periods=2100); diff --git a/doc/userguide/models/fs2000ns.mod b/doc/userguide/models/fs2000ns.mod index f66542992..874a68646 100644 --- a/doc/userguide/models/fs2000ns.mod +++ b/doc/userguide/models/fs2000ns.mod @@ -1,86 +1,81 @@ -// 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 Y_obs P_obs y dA; -varexo e_a e_m; - -parameters alp bet gam mst rho psi del; - - - -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)); -Y_obs/Y_obs(-1) = dA*y/y(-1); -P_obs/P_obs(-1) = (P/P(-1))*m(-1)/dA; -end; - -varobs P_obs Y_obs; - -observation_trends; -P_obs (log(mst)-gam); -Y_obs (gam); -end; - -unit_root_vars P_obs Y_obs; - -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; -dA = exp(gam); -end; - -steady; - - -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, 0.035449, inf; -stderr e_m, inv_gamma_pdf, 0.008862, inf; -end; - - -estimation(datafile=fsdat,nobs=192,loglinear,mh_replic=2000, +// 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 Y_obs P_obs y dA; +varexo e_a e_m; +parameters alp bet gam mst rho psi del; + +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)); +Y_obs/Y_obs(-1) = dA*y/y(-1); +P_obs/P_obs(-1) = (P/P(-1))*m(-1)/dA; +end; + +varobs P_obs Y_obs; + +observation_trends; +P_obs (log(mst)-gam); +Y_obs (gam); +end; + +unit_root_vars P_obs Y_obs; + +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; +dA = exp(gam); +end; + +steady; + +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, 0.035449, inf; +stderr e_m, inv_gamma_pdf, 0.008862, inf; +end; + +estimation(datafile=fsdat,nobs=192,loglinear,mh_replic=2000, mode_compute=4,mh_nblocks=2,mh_drop=0.45,mh_jscale=0.65); \ No newline at end of file