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Fixed bug in deterministic simulations with exogenous variables lagged 

by more than one period. Added corresponding test cases.
time-shift
Michel Juillard 2015-01-15 11:25:29 +01:00
parent 707702a447
commit 470fbbe0b2
5 changed files with 248 additions and 5 deletions
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10
matlab/sim1.m
View File

@ -69,7 +69,7 @@ i_cols_T = nonzeros(lead_lag_incidence(1:2,:)');
i_cols_0 = nonzeros(lead_lag_incidence(2,:)');
i_cols_A0 = find(lead_lag_incidence(2,:)');
i_cols_j = 1:nd;
i_upd = ny+(1:periods*ny);
i_upd = M_.maximum_lag*ny+(1:periods*ny);
Y = endo_simul(:);
@ -94,8 +94,8 @@ for iter = 1:options_.simul.maxit
h2 = clock ;
i_rows = 1:ny;
i_cols = find(lead_lag_incidence');
i_cols_A = i_cols;
i_cols_A = find(lead_lag_incidence');
i_cols = i_cols_A+(M_.maximum_lag-1)*ny;
for it = (M_.maximum_lag+1):(M_.maximum_lag+periods)
@ -170,7 +170,7 @@ if stop
oo_.deterministic_simulation.error = err;
oo_.deterministic_simulation.iterations = iter;
oo_.deterministic_simulation.periods = vperiods(1:iter);
oo_.endo_simul = reshape(Y,ny,periods+2);
oo_.endo_simul = reshape(Y,ny,periods+M_.maximum_lag+M_.maximum_lead);
skipline();
fprintf('\nSimulation terminated after %d iterations.\n',iter);
fprintf('Total time of simulation: %16.13f\n',etime(clock,h1));
@ -190,7 +190,7 @@ if stop
oo_.deterministic_simulation.error = err;
oo_.deterministic_simulation.iterations = iter;
oo_.deterministic_simulation.periods = vperiods(1:iter);
oo_.endo_simul = reshape(Y,ny,periods+2);
oo_.endo_simul = reshape(Y,ny,periods+M_.maximum_lag+M_.maximum_lead);
end
elseif ~stop
skipline();

8
tests/Makefile.am
View File

@ -173,6 +173,9 @@ MODFILES = \
deterministic_simulations/rbc_det5.mod \
deterministic_simulations/rbc_det6.mod \
deterministic_simulations/homotopy.mod \
deterministic_simulations/rbc_det_exo_lag2a.mod \
deterministic_simulations/rbc_det_exo_lag2b.mod \
deterministic_simulations/rbc_det_exo_lag2c.mod \
walsh.mod \
measurement_errors/fs2000_corr_me_ml_mcmc/fs2000_corr_ME.mod \
trend_var/fs2000_nonstationary.mod \
@ -270,6 +273,11 @@ dsge-var/dsgevar_forward_estimated_lambda.o.trs: dsge-var/simul_hybrid.o.trs
smoother2histval/fs2000_simul.m.trs: smoother2histval/fs2000_smooth.m.trs
smoother2histval/fs2000_simul.o.trs: smoother2histval/fs2000_smooth.o.trs
deterministic_simulations/rbc_det_exo_lag2b.m.trs: deterministic_simulations/rbc_det_exo_lag2a.m.trs
deterministic_simulations/rbc_det_exo_lag2c.m.trs: deterministic_simulations/rbc_det_exo_lag2a.m.trs
deterministic_simulations/rbc_det_exo_lag2b.o.trs: deterministic_simulations/rbc_det_exo_lag2a.o.trs
deterministic_simulations/rbc_det_exo_lag2c.o.trs: deterministic_simulations/rbc_det_exo_lag2a.o.trs
# Matlab TRS Files
M_TRS_FILES = $(patsubst %.mod, %.m.trs, $(MODFILES))
M_TRS_FILES += run_block_byte_tests_matlab.m.trs run_reporting_test_matlab.m.trs run_all_unitary_tests.m.trs

75
tests/deterministic_simulations/rbc_det_exo_lag_2a.mod Normal file
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@ -0,0 +1,75 @@
var Capital, Output, Labour, Consumption, Efficiency, efficiency, ExpectedTerm;
varexo EfficiencyInnovation;
parameters beta, theta, tau, alpha, psi, delta, rho, effstar, sigma2;
beta = 0.9900;
theta = 0.3570;
tau = 2.0000;
alpha = 0.4500;
psi = -0.1000;
delta = 0.0200;
rho = 0.8000;
effstar = 1.0000;
sigma2 = 0;
model;
// Eq. n°1:
efficiency = rho*efficiency(-1) + EfficiencyInnovation;
// Eq. n°2:
Efficiency = effstar*exp(efficiency);
// Eq. n°3:
Output = Efficiency*(alpha*(Capital(-1)^psi)+(1-alpha)*(Labour^psi))^(1/psi);
// Eq. n°4:
Capital = Output-Consumption + (1-delta)*Capital(-1);
// Eq. n°5:
((1-theta)/theta)*(Consumption/(1-Labour)) - (1-alpha)*(Output/Labour)^(1-psi);
// Eq. n°6:
(((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption = ExpectedTerm(1);
// Eq. n°7:
ExpectedTerm = beta*((((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption)*(alpha*((Output/Capital(-1))^(1-psi))+(1-delta));
end;
steady_state_model;
Output_per_unit_of_Capital=((1/beta-1+delta)/alpha)^(1/(1-psi));
Consumption_per_unit_of_Capital=Output_per_unit_of_Capital-delta;
Labour_per_unit_of_Capital=(((Output_per_unit_of_Capital/effstar)^psi-alpha)/(1-alpha))^(1/psi);
Output_per_unit_of_Labour=Output_per_unit_of_Capital/Labour_per_unit_of_Capital;
Consumption_per_unit_of_Labour=Consumption_per_unit_of_Capital/Labour_per_unit_of_Capital;
% Compute steady state share of capital.
ShareOfCapital=alpha/(alpha+(1-alpha)*Labour_per_unit_of_Capital^psi);
% Compute steady state of the endogenous variables.
Labour=1/(1+Consumption_per_unit_of_Labour/((1-alpha)*theta/(1-theta)*Output_per_unit_of_Labour^(1-psi)));
Consumption=Consumption_per_unit_of_Labour*Labour;
Capital=Labour/Labour_per_unit_of_Capital;
Output=Output_per_unit_of_Capital*Capital;
Efficiency=effstar;
efficiency=0;
ExpectedTerm=beta*((((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption)
*(alpha*((Output/Capital)^(1-psi))+1-delta);
LagrangeMultiplier=0;
end;
//steady;
shocks;
var EfficiencyInnovation;
periods 3;
values -0.1;
end;
simul(periods=300);
rplot Consumption;
rplot Capital;

80
tests/deterministic_simulations/rbc_det_exo_lag_2b.mod Normal file
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@ -0,0 +1,80 @@
// check exogenous variable lag > 1 with *.m file
var Capital, Output, Labour, Consumption, Efficiency, efficiency, ExpectedTerm;
varexo EfficiencyInnovation;
parameters beta, theta, tau, alpha, psi, delta, rho, effstar, sigma2;
beta = 0.9900;
theta = 0.3570;
tau = 2.0000;
alpha = 0.4500;
psi = -0.1000;
delta = 0.0200;
rho = 0.8000;
effstar = 1.0000;
sigma2 = 0;
model;
// Eq. n°1:
efficiency = rho*efficiency(-1) + EfficiencyInnovation(-2);
// Eq. n°2:
Efficiency = effstar*exp(efficiency);
// Eq. n°3:
Output = Efficiency*(alpha*(Capital(-1)^psi)+(1-alpha)*(Labour^psi))^(1/psi);
// Eq. n°4:
Capital = Output-Consumption + (1-delta)*Capital(-1);
// Eq. n°5:
((1-theta)/theta)*(Consumption/(1-Labour)) - (1-alpha)*(Output/Labour)^(1-psi);
// Eq. n°6:
(((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption = ExpectedTerm(1);
// Eq. n°7:
ExpectedTerm = beta*((((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption)*(alpha*((Output/Capital(-1))^(1-psi))+(1-delta));
end;
steady_state_model;
Output_per_unit_of_Capital=((1/beta-1+delta)/alpha)^(1/(1-psi));
Consumption_per_unit_of_Capital=Output_per_unit_of_Capital-delta;
Labour_per_unit_of_Capital=(((Output_per_unit_of_Capital/effstar)^psi-alpha)/(1-alpha))^(1/psi);
Output_per_unit_of_Labour=Output_per_unit_of_Capital/Labour_per_unit_of_Capital;
Consumption_per_unit_of_Labour=Consumption_per_unit_of_Capital/Labour_per_unit_of_Capital;
% Compute steady state share of capital.
ShareOfCapital=alpha/(alpha+(1-alpha)*Labour_per_unit_of_Capital^psi);
% Compute steady state of the endogenous variables.
Labour=1/(1+Consumption_per_unit_of_Labour/((1-alpha)*theta/(1-theta)*Output_per_unit_of_Labour^(1-psi)));
Consumption=Consumption_per_unit_of_Labour*Labour;
Capital=Labour/Labour_per_unit_of_Capital;
Output=Output_per_unit_of_Capital*Capital;
Efficiency=effstar;
efficiency=0;
ExpectedTerm=beta*((((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption)
*(alpha*((Output/Capital)^(1-psi))+1-delta);
LagrangeMultiplier=0;
end;
//steady;
shocks;
var EfficiencyInnovation;
periods 1;
values -0.1;
end;
simul(periods=300);
rplot Consumption;
rplot Capital;
O=load('rbc_det_exo_lag_2a_results');
test(oo_.endo_simul(:,2:end),O.oo_.endo_simul);

80
tests/deterministic_simulations/rbc_det_exo_lag_2c.mod Normal file
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@ -0,0 +1,80 @@
// check exogenous variable lag > 1 with block+bytecode
var Capital, Output, Labour, Consumption, Efficiency, efficiency, ExpectedTerm;
varexo EfficiencyInnovation;
parameters beta, theta, tau, alpha, psi, delta, rho, effstar, sigma2;
beta = 0.9900;
theta = 0.3570;
tau = 2.0000;
alpha = 0.4500;
psi = -0.1000;
delta = 0.0200;
rho = 0.8000;
effstar = 1.0000;
sigma2 = 0;
model(block,bytecode,cutoff=0);
// Eq. n°1:
efficiency = rho*efficiency(-1) + EfficiencyInnovation(-2);
// Eq. n°2:
Efficiency = effstar*exp(efficiency);
// Eq. n°3:
Output = Efficiency*(alpha*(Capital(-1)^psi)+(1-alpha)*(Labour^psi))^(1/psi);
// Eq. n°4:
Capital = Output-Consumption + (1-delta)*Capital(-1);
// Eq. n°5:
((1-theta)/theta)*(Consumption/(1-Labour)) - (1-alpha)*(Output/Labour)^(1-psi);
// Eq. n°6:
(((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption = ExpectedTerm(1);
// Eq. n°7:
ExpectedTerm = beta*((((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption)*(alpha*((Output/Capital(-1))^(1-psi))+(1-delta));
end;
steady_state_model;
Output_per_unit_of_Capital=((1/beta-1+delta)/alpha)^(1/(1-psi));
Consumption_per_unit_of_Capital=Output_per_unit_of_Capital-delta;
Labour_per_unit_of_Capital=(((Output_per_unit_of_Capital/effstar)^psi-alpha)/(1-alpha))^(1/psi);
Output_per_unit_of_Labour=Output_per_unit_of_Capital/Labour_per_unit_of_Capital;
Consumption_per_unit_of_Labour=Consumption_per_unit_of_Capital/Labour_per_unit_of_Capital;
% Compute steady state share of capital.
ShareOfCapital=alpha/(alpha+(1-alpha)*Labour_per_unit_of_Capital^psi);
% Compute steady state of the endogenous variables.
Labour=1/(1+Consumption_per_unit_of_Labour/((1-alpha)*theta/(1-theta)*Output_per_unit_of_Labour^(1-psi)));
Consumption=Consumption_per_unit_of_Labour*Labour;
Capital=Labour/Labour_per_unit_of_Capital;
Output=Output_per_unit_of_Capital*Capital;
Efficiency=effstar;
efficiency=0;
ExpectedTerm=beta*((((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption)
*(alpha*((Output/Capital)^(1-psi))+1-delta);
LagrangeMultiplier=0;
end;
//steady;
shocks;
var EfficiencyInnovation;
periods 1;
values -0.1;
end;
simul(periods=300);
rplot Consumption;
rplot Capital;
O=load('rbc_det_exo_lag_2a_results');
test(oo_.endo_simul(:,2:end),O.oo_.endo_simul);