Add unit test for conditional_forecast with trends and loglinear
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1d13a5dd02
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5b1a97f777
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@ -523,7 +523,8 @@ EXTRA_DIST = \
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observation_trends_and_prefiltering/Trend_exp_model_calib_no_prefilter_common.inc \
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observation_trends_and_prefiltering/Trend_model_calib_prefilter_common.inc \
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observation_trends_and_prefiltering/Trend_model_calib_no_prefilter_common.inc \
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observation_trends_and_prefiltering/Trend_load_data_common.inc
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observation_trends_and_prefiltering/Trend_load_data_common.inc \
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observation_trends_and_prefiltering/Trend_no_prefilter_conditional_forecast.inc \
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optimal_policy/Ramsey/oo_ramsey_policy_initval.mat \
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optimizers/optimizer_function_wrapper.m \
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optimizers/fs2000.common.inc \
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@ -20,3 +20,6 @@ y_forecast_100_periods=loaded_par.orig_params(strmatch('const_y',M_.param_names,
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p_forecast_100_periods=loaded_par.orig_params(strmatch('const_p',M_.param_names,'exact'))+(options_.first_obs+options_.nobs-1+options_.forecast)*loaded_par.orig_params(strmatch('g_p',M_.param_names,'exact'));
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@#include "../Trend_diagnostics_ML_common.inc"
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@#include "../Trend_no_prefilter_conditional_forecast.inc"
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@ -20,3 +20,5 @@ y_forecast_100_periods=loaded_par.orig_params(strmatch('const_y',M_.param_names,
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p_forecast_100_periods=loaded_par.orig_params(strmatch('const_p',M_.param_names,'exact'))+(options_.first_obs+options_.nobs-1+options_.forecast)*loaded_par.orig_params(strmatch('g_p',M_.param_names,'exact'));
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@#include "../Trend_diagnostics_ML_common.inc"
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@#include "../Trend_no_prefilter_conditional_forecast.inc"
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@ -21,3 +21,4 @@ y_forecast_100_periods=loaded_par.orig_params(strmatch('const_y',loaded_par.para
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p_forecast_100_periods=loaded_par.orig_params(strmatch('const_p',loaded_par.param_names,'exact'))+(options_.first_obs+options_.nobs-1+options_.forecast)*loaded_par.orig_params(strmatch('g_p',loaded_par.param_names,'exact'));
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@#include "../Trend_diagnostics_ML_common.inc"
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@ -19,3 +19,5 @@ y_forecast_100_periods=loaded_par.orig_params(strmatch('const_y',M_.param_names,
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p_forecast_100_periods=loaded_par.orig_params(strmatch('const_p',M_.param_names,'exact'))+(options_.first_obs+options_.nobs-1+options_.forecast)*loaded_par.orig_params(strmatch('g_p',M_.param_names,'exact'))
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@#include "../Trend_diagnostics_ML_common.inc"
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@#include "../Trend_no_prefilter_conditional_forecast.inc"
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@ -0,0 +1,39 @@
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conditional_forecast_paths;
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var P_obs;
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periods 1 2 3:5;
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values 1.01 0.98 1;
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var Y_obs;
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periods 1 2 3:5;
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values 3 3.04 2.98;
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end;
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conditional_forecast(periods=100,parameter_set=posterior_mode,replic=1000, controlled_varexo=(e_y,e_p));
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plot_conditional_forecast(periods=100) Y_obs P_obs;
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%compare unconditional forecasts
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cond_forecast=load('conditional_forecasts.mat');
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if max(abs(cond_forecast.forecasts.uncond.Mean.P_obs(2:end)-oo_.forecast.Mean.P_obs))>1e-8
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error('Unconditional Forecasts do not match')
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end
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%compare conditional forecasts; histval here sets initval condition for capital different from steady state
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initial_condition_states=NaN(size(oo_.dr.ys));
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initial_condition_states(strmatch('Y_obs',M_.endo_names,'exact')) = oo_.SmoothedVariables.Y_obs(end)-oo_.Smoother.Trend.Y_obs(end);
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initial_condition_states(strmatch('P_obs',M_.endo_names,'exact')) = oo_.SmoothedVariables.P_obs(end)-oo_.Smoother.Trend.P_obs(end);
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initial_condition_states(strmatch('junk1',M_.endo_names,'exact')) = oo_.SmoothedVariables.junk1(end);
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initial_condition_states(strmatch('junk2',M_.endo_names,'exact')) = oo_.SmoothedVariables.junk2(end)-oo_.Smoother.Trend.junk2(end);
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shock_matrix = zeros(options_cond_fcst_.periods ,M_.exo_nbr); %create shock matrix with found controlled shocks
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shock_matrix(1:5,strmatch('e_y',M_.exo_names,'exact')) = cond_forecast.forecasts.controlled_exo_variables.Mean.e_y; %set controlled shocks to their values
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shock_matrix(1:5,strmatch('e_p',M_.exo_names,'exact')) = cond_forecast.forecasts.controlled_exo_variables.Mean.e_p; %set controlled shocks to their values
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y_simult = simult_(initial_condition_states,oo_.dr,shock_matrix,1);
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if max(abs(y_simult(strmatch('Y_obs',M_.endo_names,'exact'),:)'+(options_.first_obs-1+options_.nobs:options_.first_obs-1+options_.nobs+options_.forecast)'*g_y-cond_forecast.forecasts.cond.Mean.Y_obs))>1e-8
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error('Conditional Forecasts do not match')
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end
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if max(abs(y_simult(strmatch('P_obs',M_.endo_names,'exact'),:)'+(options_.first_obs-1+options_.nobs:options_.first_obs-1+options_.nobs+options_.forecast)'*g_p-cond_forecast.forecasts.cond.Mean.P_obs))>1e-8
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error('Conditional Forecasts do not match')
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end
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