Added new integration tests.
Simulation of the Smets and Wouters perfect foresight model, with a productivity shock such that the nominal interest rate hits the ZLB. Comparison of the solutions returned by a Newton algorithm (stack_solve_algo==0) and the LMMCP algorithm. AT the time of this commit, the results are different... Probably an issue with the LMMCP algorithm.time-shift
parent
ee78ad2049
commit
4bd8ef7a9f
|
@ -243,6 +243,8 @@ MODFILES = \
|
|||
deterministic_simulations/linear_approximation/lbj/rbc.mod \
|
||||
lmmcp/rbc.mod \
|
||||
lmmcp/rbcii.mod \
|
||||
lmmcp/sw_lmmcp.mod \
|
||||
lmmcp/sw_newton.mod \
|
||||
walsh.mod \
|
||||
measurement_errors/fs2000_corr_me_ml_mcmc/fs2000_corr_ME.mod \
|
||||
trend_var/fs2000_nonstationary.mod \
|
||||
|
@ -432,6 +434,9 @@ observation_trends_and_prefiltering/ML/Trend_loglinear_no_prefilter_first_obs.o.
|
|||
observation_trends_and_prefiltering/ML/Trend_loglinear_no_prefilter.m.trs: observation_trends_and_prefiltering/ML/Trend_no_prefilter.m.trs
|
||||
observation_trends_and_prefiltering/ML/Trend_loglinear_no_prefilter.o.trs: observation_trends_and_prefiltering/ML/Trend_no_prefilter.o.trs
|
||||
|
||||
lmmcp/sw_newton.m.trs: lmmcp/sw_lmmcp.m.trs
|
||||
lmmcp/sw_newton.o.trs: lmmcp/sw_lmmcp.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
|
||||
|
|
|
@ -0,0 +1,119 @@
|
|||
var labobs robs pinfobs dy dc dinve dw eta_w_ma eta_p_ma zcapf rkf kf pkf cf invef yf labf wf rrf mc zcap rk k_s q c i y l pinf w r eps_a eps_b eps_g eps_i eps_r eps_p eps_w kpf k;
|
||||
|
||||
varexo eta_a eta_b eta_g eta_i eta_r eta_p eta_w;
|
||||
|
||||
parameters curv_w rho_ga curv_p l_bar pi_bar beta_const Mu_w Mu_p alpha psi phi delta sigma_c lambda phi_p iota_w xi_w iota_p xi_p sigma_l phi_w r_pi r_dy r_y rho
|
||||
rho_a rho_b rho_g rho_i rho_r rho_p rho_w gamma_bar G;
|
||||
|
||||
delta = 0.025;
|
||||
phi_w = 1.5;
|
||||
G = 0.18;
|
||||
curv_p = 10;
|
||||
curv_w = 10;
|
||||
phi = 6.3325;
|
||||
sigma_c = 1.2312;
|
||||
lambda = 0.7205;
|
||||
xi_w = 0.7937;
|
||||
sigma_l = 2.8401;
|
||||
xi_p = 0.7813;
|
||||
iota_w = 0.4425;
|
||||
iota_p = 0.3291;
|
||||
psi = 0.2648;
|
||||
phi_p = 1.4672;
|
||||
r_pi = 1.7985;
|
||||
rho = 0.8258;
|
||||
r_y = 0.0893;
|
||||
r_dy = 0.2239;
|
||||
pi_bar = 0.7;
|
||||
beta_const = 0.7420;
|
||||
l_bar = 1.2918;
|
||||
gamma_bar = 0.3982;
|
||||
alpha = 0.24;
|
||||
rho_a = .9676;
|
||||
rho_b = .2703;
|
||||
rho_g = .9930;
|
||||
rho_i = .5724;
|
||||
rho_r = .3;
|
||||
rho_p = .8692;
|
||||
rho_w = .9546;
|
||||
Mu_p = .7652;
|
||||
Mu_w = .8936;
|
||||
rho_ga = 0.05;
|
||||
|
||||
model;
|
||||
# PI_star = 1 + pi_bar/100;
|
||||
# gamma = 1 + gamma_bar/100 ;
|
||||
# beta = 1/(1 + beta_const/100);
|
||||
# beta_bar = beta*gamma^(-sigma_c);
|
||||
# Rk = (beta^(-1)) * (gamma^sigma_c) - (1-delta);
|
||||
# W = (alpha^alpha*(1-alpha)^(1-alpha)/(phi_p*Rk^alpha))^(1/(1-alpha));
|
||||
# I_K_bar = (1-(1-delta)/gamma);
|
||||
# I_K = (1-(1-delta)/gamma)*gamma;
|
||||
# L_K = ((1-alpha)/alpha)*(Rk/W);
|
||||
# K_Y = phi_p*(L_K)^(alpha-1);
|
||||
# I_Y = I_K * K_Y;
|
||||
# C_Y = 1 - G - I_K*K_Y;
|
||||
# Z_Y = Rk*K_Y;
|
||||
# WL_C = (1/phi_w)*(1-alpha)/alpha*Rk*K_Y/C_Y;
|
||||
# r_bar=((PI_star/(beta*gamma^(-sigma_c)))-1)*100;
|
||||
eps_a = alpha * rkf + (1-alpha)*wf;
|
||||
zcapf = (1/(psi/(1-psi))) * rkf;
|
||||
rkf = (wf)+labf-kf;
|
||||
kf = kpf(-1) + zcapf;
|
||||
invef = (1/(1+beta_bar*gamma))*(invef(-1) + beta_bar*gamma*invef(1)+(1/(gamma^2*phi))*pkf) + eps_i;
|
||||
pkf = ((1-delta)/(Rk+(1-delta))) * pkf(+1) + (Rk/(Rk+(1-delta))) * rkf(+1) + (-rrf) + (1/((1-lambda/gamma)/(sigma_c*(1+lambda/gamma)))) * eps_b ;
|
||||
cf = (lambda/gamma)/(1+lambda/gamma)*cf(-1) + (1/(1+lambda/gamma))*cf(+1) +((sigma_c-1)*WL_C/(sigma_c*(1+lambda/gamma)))*(labf-labf(+1)) - (1-lambda/gamma)/(sigma_c*(1+lambda/gamma))*(rrf+0*eps_b) + eps_b ;
|
||||
yf = C_Y*cf+I_Y*invef+eps_g + Z_Y*zcapf;
|
||||
yf = phi_p*( alpha*kf+(1-alpha)*labf +eps_a );
|
||||
wf = sigma_l*labf +(1/(1-lambda/gamma))*cf - (lambda/gamma)/(1-lambda/gamma)*cf(-1) ;
|
||||
kpf = (1-I_K_bar)*kpf(-1)+(I_K_bar)*invef + (I_K_bar)*(gamma^2*phi)*eps_i ;
|
||||
mc = alpha*rk + (1-alpha)*w - eps_a;
|
||||
zcap = ((1 - psi)/psi) * rk;
|
||||
rk = w + l - k_s;
|
||||
k_s = k(-1) + zcap;
|
||||
i = (1/(1 + beta_bar*gamma)) * (i(-1) + (beta_bar * gamma) * i(1) + (1/(gamma^2*phi)) * q) + eps_i;
|
||||
q = ((1-delta)/(Rk+(1-delta)))*q(1) + (Rk/(Rk+(1-delta))) * rk(1) - r + pinf(+1) + (1/((1-lambda/gamma)/(sigma_c*(1+lambda/gamma)))) * eps_b ;
|
||||
c = (lambda/gamma)/(1+lambda/gamma) * c(-1) + (1/(1+lambda/gamma)) * c(+1) + ((sigma_c-1)*WL_C/(sigma_c*(1+lambda/gamma))) * (l - l(+1)) - (1-lambda/gamma)/(sigma_c*(1+lambda/gamma)) * (r - pinf(+1)) + eps_b;
|
||||
y = C_Y * c + I_Y * i + eps_g + Z_Y * zcap;
|
||||
y = phi_p * (alpha * k_s + (1-alpha) * l + eps_a);
|
||||
pinf = (1/(1+beta_bar*gamma*iota_p)) * (beta_bar*gamma*pinf(+1) + iota_p * pinf(-1) + ((1-xi_p)*(1-beta_bar*gamma*xi_p)/xi_p)/((phi_p-1)*curv_p+1) * mc) + eps_p ;
|
||||
w = (1/(1+beta_bar*gamma))*w(-1)
|
||||
+(beta_bar*gamma/(1+beta_bar*gamma))*w(1)
|
||||
+(iota_w/(1+beta_bar*gamma))*pinf(-1)
|
||||
-(1+beta_bar*gamma*iota_w)/(1+beta_bar*gamma)*pinf
|
||||
+(beta_bar*gamma)/(1+beta_bar*gamma)*pinf(1)
|
||||
+(1-xi_w)*(1-beta_bar*gamma*xi_w)/((1+beta_bar*gamma)*xi_w)*(1/((phi_w-1)*curv_w+1))*
|
||||
(sigma_l*l + (1/(1-lambda/gamma))*c - ((lambda/gamma)/(1-lambda/gamma))*c(-1) -w)
|
||||
+ 1*eps_w ;
|
||||
[mcp='r > -1.94478']
|
||||
r = r_pi * (1-rho) * pinf + r_y * (1-rho) * (y-yf) + r_dy * ( y - yf - (y(-1) - yf(-1))) + rho * r(-1) + eps_r;
|
||||
eps_a = rho_a * eps_a(-1) + eta_a;
|
||||
eps_b = rho_b * eps_b(-1) + eta_b;
|
||||
eps_g = rho_g * eps_g(-1) + eta_g + rho_ga * eta_a;
|
||||
eps_i = rho_i * eps_i(-1) + eta_i;
|
||||
eps_r = rho_r * eps_r(-1) + eta_r;
|
||||
eps_p = rho_p * eps_p(-1) + eta_p_ma - Mu_p * eta_p_ma(-1);
|
||||
eta_p_ma = eta_p;
|
||||
eps_w = rho_w * eps_w(-1) + eta_w_ma - Mu_w * eta_w_ma(-1);
|
||||
eta_w_ma = eta_w;
|
||||
k = (1-I_K_bar) * k(-1) + I_K_bar * i + I_K_bar*gamma^2*phi*eps_i;
|
||||
dy = y - y(-1) + gamma_bar;
|
||||
dc = c - c(-1) + gamma_bar;
|
||||
dinve = i - i(-1) + gamma_bar;
|
||||
dw = w - w(-1) + gamma_bar;
|
||||
pinfobs = pinf + pi_bar;
|
||||
robs = r + r_bar;
|
||||
labobs = l + l_bar;
|
||||
end;
|
||||
|
||||
shocks;
|
||||
var eta_a;
|
||||
periods 1:2;
|
||||
values 10;
|
||||
end;
|
||||
|
||||
steady;
|
||||
|
||||
check;
|
||||
|
||||
simul(periods=1000, lmmcp);
|
|
@ -0,0 +1,124 @@
|
|||
var labobs robs pinfobs dy dc dinve dw eta_w_ma eta_p_ma zcapf rkf kf pkf cf invef yf labf wf rrf mc zcap rk k_s q c i y l pinf w r eps_a eps_b eps_g eps_i eps_r eps_p eps_w kpf k;
|
||||
|
||||
varexo eta_a eta_b eta_g eta_i eta_r eta_p eta_w;
|
||||
|
||||
parameters curv_w rho_ga curv_p l_bar pi_bar beta_const Mu_w Mu_p alpha psi phi delta sigma_c lambda phi_p iota_w xi_w iota_p xi_p sigma_l phi_w r_pi r_dy r_y rho
|
||||
rho_a rho_b rho_g rho_i rho_r rho_p rho_w gamma_bar G;
|
||||
|
||||
delta = 0.025;
|
||||
phi_w = 1.5;
|
||||
G = 0.18;
|
||||
curv_p = 10;
|
||||
curv_w = 10;
|
||||
phi = 6.3325;
|
||||
sigma_c = 1.2312;
|
||||
lambda = 0.7205;
|
||||
xi_w = 0.7937;
|
||||
sigma_l = 2.8401;
|
||||
xi_p = 0.7813;
|
||||
iota_w = 0.4425;
|
||||
iota_p = 0.3291;
|
||||
psi = 0.2648;
|
||||
phi_p = 1.4672;
|
||||
r_pi = 1.7985;
|
||||
rho = 0.8258;
|
||||
r_y = 0.0893;
|
||||
r_dy = 0.2239;
|
||||
pi_bar = 0.7;
|
||||
beta_const = 0.7420;
|
||||
l_bar = 1.2918;
|
||||
gamma_bar = 0.3982;
|
||||
alpha = 0.24;
|
||||
rho_a = .9676;
|
||||
rho_b = .2703;
|
||||
rho_g = .9930;
|
||||
rho_i = .5724;
|
||||
rho_r = .3;
|
||||
rho_p = .8692;
|
||||
rho_w = .9546;
|
||||
Mu_p = .7652;
|
||||
Mu_w = .8936;
|
||||
rho_ga = 0.05;
|
||||
|
||||
model;
|
||||
# PI_star = 1 + pi_bar/100;
|
||||
# gamma = 1 + gamma_bar/100 ;
|
||||
# beta = 1/(1 + beta_const/100);
|
||||
# beta_bar = beta*gamma^(-sigma_c);
|
||||
# Rk = (beta^(-1)) * (gamma^sigma_c) - (1-delta);
|
||||
# W = (alpha^alpha*(1-alpha)^(1-alpha)/(phi_p*Rk^alpha))^(1/(1-alpha));
|
||||
# I_K_bar = (1-(1-delta)/gamma);
|
||||
# I_K = (1-(1-delta)/gamma)*gamma;
|
||||
# L_K = ((1-alpha)/alpha)*(Rk/W);
|
||||
# K_Y = phi_p*(L_K)^(alpha-1);
|
||||
# I_Y = I_K * K_Y;
|
||||
# C_Y = 1 - G - I_K*K_Y;
|
||||
# Z_Y = Rk*K_Y;
|
||||
# WL_C = (1/phi_w)*(1-alpha)/alpha*Rk*K_Y/C_Y;
|
||||
# r_bar=((PI_star/(beta*gamma^(-sigma_c)))-1)*100;
|
||||
eps_a = alpha * rkf + (1-alpha)*wf;
|
||||
zcapf = (1/(psi/(1-psi))) * rkf;
|
||||
rkf = (wf)+labf-kf;
|
||||
kf = kpf(-1) + zcapf;
|
||||
invef = (1/(1+beta_bar*gamma))*(invef(-1) + beta_bar*gamma*invef(1)+(1/(gamma^2*phi))*pkf) + eps_i;
|
||||
pkf = ((1-delta)/(Rk+(1-delta))) * pkf(+1) + (Rk/(Rk+(1-delta))) * rkf(+1) + (-rrf) + (1/((1-lambda/gamma)/(sigma_c*(1+lambda/gamma)))) * eps_b ;
|
||||
cf = (lambda/gamma)/(1+lambda/gamma)*cf(-1) + (1/(1+lambda/gamma))*cf(+1) +((sigma_c-1)*WL_C/(sigma_c*(1+lambda/gamma)))*(labf-labf(+1)) - (1-lambda/gamma)/(sigma_c*(1+lambda/gamma))*(rrf+0*eps_b) + eps_b ;
|
||||
yf = C_Y*cf+I_Y*invef+eps_g + Z_Y*zcapf;
|
||||
yf = phi_p*( alpha*kf+(1-alpha)*labf +eps_a );
|
||||
wf = sigma_l*labf +(1/(1-lambda/gamma))*cf - (lambda/gamma)/(1-lambda/gamma)*cf(-1) ;
|
||||
kpf = (1-I_K_bar)*kpf(-1)+(I_K_bar)*invef + (I_K_bar)*(gamma^2*phi)*eps_i ;
|
||||
mc = alpha*rk + (1-alpha)*w - eps_a;
|
||||
zcap = ((1 - psi)/psi) * rk;
|
||||
rk = w + l - k_s;
|
||||
k_s = k(-1) + zcap;
|
||||
i = (1/(1 + beta_bar*gamma)) * (i(-1) + (beta_bar * gamma) * i(1) + (1/(gamma^2*phi)) * q) + eps_i;
|
||||
q = ((1-delta)/(Rk+(1-delta)))*q(1) + (Rk/(Rk+(1-delta))) * rk(1) - r + pinf(+1) + (1/((1-lambda/gamma)/(sigma_c*(1+lambda/gamma)))) * eps_b ;
|
||||
c = (lambda/gamma)/(1+lambda/gamma) * c(-1) + (1/(1+lambda/gamma)) * c(+1) + ((sigma_c-1)*WL_C/(sigma_c*(1+lambda/gamma))) * (l - l(+1)) - (1-lambda/gamma)/(sigma_c*(1+lambda/gamma)) * (r - pinf(+1)) + eps_b;
|
||||
y = C_Y * c + I_Y * i + eps_g + Z_Y * zcap;
|
||||
y = phi_p * (alpha * k_s + (1-alpha) * l + eps_a);
|
||||
pinf = (1/(1+beta_bar*gamma*iota_p)) * (beta_bar*gamma*pinf(+1) + iota_p * pinf(-1) + ((1-xi_p)*(1-beta_bar*gamma*xi_p)/xi_p)/((phi_p-1)*curv_p+1) * mc) + eps_p ;
|
||||
w = (1/(1+beta_bar*gamma))*w(-1)
|
||||
+(beta_bar*gamma/(1+beta_bar*gamma))*w(1)
|
||||
+(iota_w/(1+beta_bar*gamma))*pinf(-1)
|
||||
-(1+beta_bar*gamma*iota_w)/(1+beta_bar*gamma)*pinf
|
||||
+(beta_bar*gamma)/(1+beta_bar*gamma)*pinf(1)
|
||||
+(1-xi_w)*(1-beta_bar*gamma*xi_w)/((1+beta_bar*gamma)*xi_w)*(1/((phi_w-1)*curv_w+1))*
|
||||
(sigma_l*l + (1/(1-lambda/gamma))*c - ((lambda/gamma)/(1-lambda/gamma))*c(-1) -w)
|
||||
+ 1*eps_w ;
|
||||
r = max(r_pi * (1-rho) * pinf + r_y * (1-rho) * (y-yf) + r_dy * ( y - yf - (y(-1) - yf(-1))) + rho * r(-1) + eps_r, -r_bar);
|
||||
eps_a = rho_a * eps_a(-1) + eta_a;
|
||||
eps_b = rho_b * eps_b(-1) + eta_b;
|
||||
eps_g = rho_g * eps_g(-1) + eta_g + rho_ga * eta_a;
|
||||
eps_i = rho_i * eps_i(-1) + eta_i;
|
||||
eps_r = rho_r * eps_r(-1) + eta_r;
|
||||
eps_p = rho_p * eps_p(-1) + eta_p_ma - Mu_p * eta_p_ma(-1);
|
||||
eta_p_ma = eta_p;
|
||||
eps_w = rho_w * eps_w(-1) + eta_w_ma - Mu_w * eta_w_ma(-1);
|
||||
eta_w_ma = eta_w;
|
||||
k = (1-I_K_bar) * k(-1) + I_K_bar * i + I_K_bar*gamma^2*phi*eps_i;
|
||||
dy = y - y(-1) + gamma_bar;
|
||||
dc = c - c(-1) + gamma_bar;
|
||||
dinve = i - i(-1) + gamma_bar;
|
||||
dw = w - w(-1) + gamma_bar;
|
||||
pinfobs = pinf + pi_bar;
|
||||
robs = r + r_bar;
|
||||
labobs = l + l_bar;
|
||||
end;
|
||||
|
||||
shocks;
|
||||
var eta_a;
|
||||
periods 1:2;
|
||||
values 10;
|
||||
end;
|
||||
|
||||
steady;
|
||||
|
||||
check;
|
||||
|
||||
simul(periods=1000);
|
||||
|
||||
lmmcp = load('sw_lmmcp_results');
|
||||
|
||||
if max(max(abs(lmmcp.oo_.endo_simul-oo_.endo_simul)))>options_.dynatol.x
|
||||
error('LMMCP and Newton algorithms return different results!')
|
||||
end
|
Loading…
Reference in New Issue