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SWZ: adding new tests and identification/exclusions.m

time-shift
Michel Juillard 2010-03-10 08:40:52 +01:00
parent 591e426110
commit 5b1ebc821c
6 changed files with 112 additions and 0 deletions
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22
matlab/swz/identification/exclusions.m Normal file
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function [Ui,Vi,n0,np,ixmC0Pres] = exclusions(nvar,nexo,options_ms)
indxC0Pres = options_ms.cross_restrictions;
nlags = options_ms.nlags;
Qi = options_ms.Qi;
Ri1 = options_ms.Ri;
k = nlags*nvar+1;
Ri = zeros(k,k,nvar);
sR = size(Ri1);
Ri(1:sR(1),1:sR(2),1:sR(3)) = Ri1;
for n=1:nvar
Ui{n} = null(Qi(:,:,n));
Vi{n} = null(Ri(:,:,n));
n0(n) = size(Ui{n},2);
np(n) = size(Vi{n},2);
end
ixmC0Pres = NaN;

20
tests/swz/test_exclusions.mod Normal file
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// same as test_lower_cholesky.mod, but using exclusion syntax
addpath '../../matlab/swz';
var R Pie Y;
model;
Y = 0;
Pie = 0;
R = 0;
end;
varobs Y Pie R;
svar_identification;
exclusion lag 0;
equation 1, Pie, Y;
equation 2, Y;
end;
sbvar(datafile = data,freq=4,initial_year=1959,final_year=2005,nlags=4);

15
tests/swz/test_lower_cholesky.mod Normal file
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// same as test_upper_cholesky.mod, but with reordered variables. Results must be the same.
addpath '../../matlab/swz';
var R Pie Y;
model;
Y = 0;
Pie = 0;
R = 0;
end;
varobs Y Pie R;
sbvar(datafile = data,freq=4,initial_year=1959,final_year=2005,nlags=4,restriction_fname=lower_cholesky);

18
tests/swz/test_lower_cholesky_a.mod Normal file
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// same as test_upper_cholesky.mod, but with reordered variables. Results must be the same.
addpath '../../matlab/swz';
var R Pie Y;
model;
Y = 0;
Pie = 0;
R = 0;
end;
varobs Y Pie R;
svar_identification;
lower_cholesky;
end;
sbvar(datafile = data,freq=4,initial_year=1959,final_year=2005,nlags=4);

15
tests/swz/test_ms.mod Normal file
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// same as test_upper_cholesky.mod, but with reordered variables. Results must be the same.
addpath '../../matlab/swz';
var R Pie Y;
model;
Y = 0;
Pie = 0;
R = 0;
end;
varobs Y Pie R;
sbvar(datafile = data,freq=4,initial_year=1959,final_year=2005,nlags=4,restriction_fname=lower_cholesky);

22
tests/swz/test_ms_variances.mod Normal file
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// same as test_upper_cholesky.mod, but with reordered variables. Results must be the same.
addpath '../../matlab/swz';
var R Pie Y;
model;
Y = 0;
Pie = 0;
R = 0;
end;
varobs Y Pie R;
svar_identification;
lower_cholesky;
end;
markov_switching(chain=1,number_of_states=2,duration=2.5);
svar(variances, chain=1);
ms_sbvar(datafile = data,freq=4,initial_year=1959,final_year=2005,nlags=4,draws_nbr_modified_harmonic_mean=10000);