Add unit test to check whether objective function matches and whether covariances actually work

time-shift
Johannes Pfeifer 2014-11-02 13:15:55 +01:00
parent ecbe428bd7
commit 4aaebfbe46
2 changed files with 111 additions and 0 deletions

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@ -19,6 +19,7 @@ MODFILES = \
example1_macroif.mod \
t_sgu_ex1.mod \
optimal_policy/osr_example.mod \
optimal_policy/osr_example_objective_correctness.mod \
optimal_policy/ramsey.mod \
optimal_policy/nk_ramsey.mod \
optimal_policy/nk_ramsey_model.mod \

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@ -0,0 +1,110 @@
// Example of optimal simple rule
var y inflation r dummy_var;
varexo y_ inf_;
parameters delta sigma alpha kappa gammax0 gammac0 gamma_y_ gamma_inf_;
delta = 0.44;
kappa = 0.18;
alpha = 0.48;
sigma = -0.06;
model(linear);
y = delta * y(-1) + (1-delta)*y(+1)+sigma *(r - inflation(+1)) + y_;
inflation = alpha * inflation(-1) + (1-alpha) * inflation(+1) + kappa*y + inf_;
dummy_var=0.9*dummy_var(-1)+0.01*y;
r = gammax0*y(-1)+gammac0*inflation(-1)+gamma_y_*y_+gamma_inf_*inf_;
end;
shocks;
var y_;
stderr 0.63;
var inf_;
stderr 0.4;
end;
options_.nograph=1;
options_.nocorr=1;
options_.osr.tolf=1e-15;
osr_params gammax0 gammac0 gamma_y_ gamma_inf_;
optim_weights;
inflation 1;
y 1;
dummy_var 1;
end;
gammax0 = 0.2;
gammac0 = 1.5;
gamma_y_ = 8;
gamma_inf_ = 3;
osr;
%compute objective function manually
objective=oo_.var(strmatch('y',M_.endo_names,'exact'),strmatch('y',M_.endo_names,'exact'))+oo_.var(strmatch('inflation',M_.endo_names,'exact'),strmatch('inflation',M_.endo_names,'exact'))+oo_.var(strmatch('dummy_var',M_.endo_names,'exact'),strmatch('dummy_var',M_.endo_names,'exact'));
if abs(oo_.osr.objective_function-objective)>1e-8
error('Objective Function is wrong')
end
%redo computation with covariance specified
optim_weights;
inflation 1;
y 1;
dummy_var 1;
y,inflation 0.5;
end;
osr;
%compute objective function manually
objective=oo_.var(strmatch('y',M_.endo_names,'exact'),strmatch('y',M_.endo_names,'exact'))+oo_.var(strmatch('inflation',M_.endo_names,'exact'),strmatch('inflation',M_.endo_names,'exact'))++oo_.var(strmatch('dummy_var',M_.endo_names,'exact'),strmatch('dummy_var',M_.endo_names,'exact'))+0.5*oo_.var(strmatch('y',M_.endo_names,'exact'),strmatch('inflation',M_.endo_names,'exact'));
if abs(oo_.osr.objective_function-objective)>1e-8
error('Objective Function is wrong')
end
% gammax0= 3.94954;
% gammac0= 4.39418;
% gamma_y_= 16.6664;
% gamma_inf_= 8.28523;
%redo computation with double weight on one covariance
optim_weights;
inflation 1;
y 1;
dummy_var 1;
y,inflation 1;
end;
osr;
%compute objective function manually
objective=oo_.var(strmatch('y',M_.endo_names,'exact'),strmatch('y',M_.endo_names,'exact'))+oo_.var(strmatch('inflation',M_.endo_names,'exact'),strmatch('inflation',M_.endo_names,'exact'))++oo_.var(strmatch('dummy_var',M_.endo_names,'exact'),strmatch('dummy_var',M_.endo_names,'exact'))+1*oo_.var(strmatch('y',M_.endo_names,'exact'),strmatch('inflation',M_.endo_names,'exact'));
if abs(oo_.osr.objective_function-objective)>1e-8
error('Objective Function is wrong')
end
oo_covar_single=oo_;
%redo computation with single weight on both covariances
optim_weights;
inflation 1;
y 1;
dummy_var 1;
y,inflation 0.5;
inflation,y 0.5;
end;
osr;
%compute objective function manually
objective=oo_.var(strmatch('y',M_.endo_names,'exact'),strmatch('y',M_.endo_names,'exact'))+oo_.var(strmatch('inflation',M_.endo_names,'exact'),strmatch('inflation',M_.endo_names,'exact'))+oo_.var(strmatch('dummy_var',M_.endo_names,'exact'),strmatch('dummy_var',M_.endo_names,'exact'))+0.5*oo_.var(strmatch('y',M_.endo_names,'exact'),strmatch('inflation',M_.endo_names,'exact'))+0.5*oo_.var(strmatch('inflation',M_.endo_names,'exact'),strmatch('y',M_.endo_names,'exact'));
if abs(oo_.osr.objective_function-objective)>1e-8
error('Objective Function is wrong')
end
if abs(oo_.osr.objective_function-oo_covar_single.osr.objective_function)>1e-8
error('Objective Function is wrong')
end
if max(abs(cell2mat(struct2cell(oo_.osr.optim_params))-cell2mat(struct2cell(oo_covar_single.osr.optim_params))))>1e-5
error('Parameters should be identical')
end