stepan
/
dynare
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Added integration tests for the simulation of stochastic backward models.

time-shift
Stéphane Adjemian (Charybdis) 2016-12-01 17:09:36 +01:00
parent 79a46ee530
commit 4689805e98
3 changed files with 102 additions and 0 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

2
tests/Makefile.am
View File

@ -238,6 +238,8 @@ MODFILES = \
ep/rbcii.mod \
ep/linearmodel0.mod \
ep/linearmodel1.mod \
stochastic-backward-models/solow_cd.mod \
stochastic-backward-models/solow_ces.mod \
deterministic_simulations/purely_forward/ar1.mod \
deterministic_simulations/purely_forward/nk.mod \
deterministic_simulations/purely_backward/ar1.mod \

49
tests/stochastic-backward-models/solow_cd.mod Normal file
View File

@ -0,0 +1,49 @@
var Efficiency $A$
EfficiencyGrowth $X$
Population $L$
PopulationGrowth $N$
Output $Y$
PhysicalCapitalStock $K$ ;
varexo e_x $\varepsilon_x$
e_n $\varepsilon_n$;
parameters alpha $\alpha$
delta $\delta$
s $s$
rho_x $\rho_x$
rho_n $\rho_n$
EfficiencyGrowth_ss $X^{\star}$
PopulationGrowth_ss $N^{\star}$ ;
alpha = .33;
delta = .02;
s = .20;
rho_x = .90;
rho_n = .95;
EfficiencyGrowth_ss = 1.02;
PopulationGrowth_ss = 1.02;
model;
Efficiency = EfficiencyGrowth*Efficiency(-1);
EfficiencyGrowth/EfficiencyGrowth_ss = (EfficiencyGrowth(-1)/EfficiencyGrowth_ss)^(rho_x)*exp(e_x);
Population = PopulationGrowth*Population(-1);
PopulationGrowth/PopulationGrowth_ss = (PopulationGrowth(-1)/PopulationGrowth_ss)^(rho_n)*exp(e_n);
Output = PhysicalCapitalStock(-1)^alpha*(Efficiency*Population)^(1-alpha);
PhysicalCapitalStock = (1-delta)*PhysicalCapitalStock(-1) + s*Output;
end;
histval;
Efficiency(0) = 1;
EfficiencyGrowth(0) = 1.02;
Population(0) = 1;
PopulationGrowth(0) = 1.02;
PhysicalCapitalStock(0) = 1;
end;
shocks;
var e_x = 0.005;
var e_n = 0.001;
end;
oo_ = simul_backward_nonlinear_model([], 5000, options_, M_, oo_);

51
tests/stochastic-backward-models/solow_ces.mod Normal file
View File

@ -0,0 +1,51 @@
var Efficiency $A$
EfficiencyGrowth $X$
Population $L$
PopulationGrowth $N$
Output $Y$
PhysicalCapitalStock $K$ ;
varexo e_x $\varepsilon_x$
e_n $\varepsilon_n$;
parameters alpha $\alpha$
epsilon $\varepsilon$
delta $\delta$
s $s$
rho_x $\rho_x$
rho_n $\rho_n$
EfficiencyGrowth_ss $X^{\star}$
PopulationGrowth_ss $N^{\star}$ ;
alpha = .33;
epsilon = .70;
delta = .02;
s = .20;
rho_x = .90;
rho_n = .95;
EfficiencyGrowth_ss = 1.02;
PopulationGrowth_ss = 1.02;
model;
Efficiency = EfficiencyGrowth*Efficiency(-1);
EfficiencyGrowth/EfficiencyGrowth_ss = (EfficiencyGrowth(-1)/EfficiencyGrowth_ss)^(rho_x)*exp(e_x);
Population = PopulationGrowth*Population(-1);
PopulationGrowth/PopulationGrowth_ss = (PopulationGrowth(-1)/PopulationGrowth_ss)^(rho_n)*exp(e_n);
Output = (alpha*PhysicalCapitalStock(-1)^((epsilon-1)/epsilon)+(1-alpha)*(Efficiency*Population)^((epsilon-1)/epsilon))^(epsilon/(epsilon-1));
PhysicalCapitalStock = (1-delta)*PhysicalCapitalStock(-1) + s*Output;
end;
histval;
Efficiency(0) = 1;
EfficiencyGrowth(0) = 1.02;
Population(0) = 1;
PopulationGrowth(0) = 1.02;
PhysicalCapitalStock(0) = 1;
end;
shocks;
var e_x = 0.005;
var e_n = 0.001;
end;
oo_ = simul_backward_nonlinear_model([], 5000, options_, M_, oo_);