Add bunch of unit test checking the correctness of Ramsey computation with initval and steady state files
Johannes Pfeifer
parent
27572277d0
commit
6fb7877113
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@ -26,6 +26,9 @@ MODFILES = \
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optimal_policy/nk_ramsey_expectation.mod \
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optimal_policy/nk_ramsey_expectation_a.mod \
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optimal_policy/mult_elimination_test.mod \
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optimal_policy/Ramsey/ramsey_ex_initval.mod \
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optimal_policy/Ramsey/ramsey_ex.mod \
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optimal_policy/Ramsey/ramsey_ex_initval_AR2.mod \
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discretionary_policy/dennis_1.mod \
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ramst_initval_file.mod \
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ramst_normcdf_and_friends.mod \
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@ -182,7 +185,8 @@ MODFILES = \
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reporting/example1.mod
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XFAIL_MODFILES = ramst_xfail.mod \
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estim_param_in_shock_value.mod
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estim_param_in_shock_value.mod \
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optimal_policy/Ramsey/ramsey_ex_wrong_ss_file.mod \
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# Dependencies
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example1_use_dll.m.trs: example1.m.trs
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@ -344,7 +348,9 @@ EXTRA_DIST = \
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filter_step_ahead/fs2000_filter_step_ahead_bayesian_steadystate.m \
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filter_step_ahead/fs2000_filter_step_ahead_ML_steadystate.m \
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loglinear/results_exp.mat \
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smoother2histval/fsdat_simul.m
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smoother2histval/fsdat_simul.m \
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optimal_policy/Ramsey/find_c.m \
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optimal_policy/Ramsey/oo_ramsey_policy_initval.mat \
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TARGETS =
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@ -0,0 +1,63 @@
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/* Mod file tests the correctness of the Ramsey command when used together with a steady state file by
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* - checking whether the results coincide with the ones when used with an initval block
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* - checking whether between stoch_simul and ramsey_planner are consistent
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* The example is taken from Juillard, Michel (2011): User manual for optimal policy package,
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* MONFISPOL FP7 project SSH-225149, Deliverable 1.1.2
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*/
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var pai, c, n, r, a;
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varexo u;
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parameters beta, rho, epsilon, omega, phi, gamma;
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beta=0.99;
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gamma=3;
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omega=17;
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epsilon=8;
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phi=1;
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rho=0.95;
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model;
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a = rho*a(-1)+u;
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1/c = beta*r/(c(+1)*pai(+1));
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pai*(pai-1)/c = beta*pai(+1)*(pai(+1)-1)/c(+1)+epsilon*phi*n^(gamma+1)/omega -exp(a)*n*(epsilon-1)/(omega*c);
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exp(a)*n = c+(omega/2)*(pai-1)^2;
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end;
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initval;
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r=1;
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end;
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steady_state_model;
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a = 0;
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pai = beta*r;
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c = find_c(0.96,pai,beta,epsilon,phi,gamma,omega);
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n = c+(omega/2)*(pai-1)^2;
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end;
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shocks;
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var u; stderr 0.008;
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end;
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planner_objective(ln(c)-phi*((n^(1+gamma))/(1+gamma)));
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ramsey_policy(planner_discount=0.99,order=1,instruments=(r));
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oo_ramsey_policy_steady_state_file=oo_;
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stoch_simul(periods=0, order=1, irf=25, nograph);
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if max(abs((oo_ramsey_policy_steady_state_file.steady_state-oo_.steady_state)))>1e-5 ...
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|| max(abs(oo_ramsey_policy_steady_state_file.dr.ys-oo_.dr.ys))>1e-5 ...
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|| max(max(abs(oo_ramsey_policy_steady_state_file.dr.ghx-oo_.dr.ghx)))>1e-5 ...
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|| max(max(abs(oo_ramsey_policy_steady_state_file.dr.ghu-oo_.dr.ghu)))>1e-5 ...
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|| max(max(abs(oo_ramsey_policy_steady_state_file.dr.Gy-oo_.dr.Gy)))>1e-5 ...
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|| max(abs((oo_ramsey_policy_steady_state_file.planner_objective_value-oo_.planner_objective_value)))>1e-5
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error('Running stoch_simul after ramsey_policy leads to inconsistent results')
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end
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load oo_ramsey_policy_initval;
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if max(abs((oo_ramsey_policy_initval.steady_state-oo_.steady_state)))>1e-5 ...
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|| max(abs(oo_ramsey_policy_initval.dr.ys-oo_.dr.ys))>1e-5 ...
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|| max(max(abs(oo_ramsey_policy_initval.dr.ghx-oo_.dr.ghx)))>1e-5 ...
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|| max(max(abs(oo_ramsey_policy_initval.dr.ghu-oo_.dr.ghu)))>1e-5 ...
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|| max(max(abs(oo_ramsey_policy_initval.dr.Gy-oo_.dr.Gy)))>1e-5 ...
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|| max(abs((oo_ramsey_policy_initval.planner_objective_value-oo_.planner_objective_value)))>1e-5
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error('Initval and steady state file yield different results')
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end
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@ -0,0 +1,52 @@
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/* Mod file tests the functioning of the Ramsey command when used together with an initval-block
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* - Tests whether subsequent calls to ramsey_policy and stoch_simul are possible
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* The example is taken from Juillard, Michel (2011): User manual for optimal policy package,
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* MONFISPOL FP7 project SSH-225149, Deliverable 1.1.2
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*/
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var pai, c, n, r, a;
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varexo u;
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parameters beta, rho, epsilon, omega, phi, gamma;
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beta=0.99;
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gamma=3;
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omega=17;
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epsilon=8;
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phi=1;
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rho=0.95;
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model;
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a = rho*a(-1)+u;
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1/c = beta*r/(c(+1)*pai(+1));
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pai*(pai-1)/c = beta*pai(+1)*(pai(+1)-1)/c(+1)+epsilon*phi*n^(gamma+1)/omega -exp(a)*n*(epsilon-1)/(omega*c);
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exp(a)*n = c+(omega/2)*(pai-1)^2;
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end;
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initval;
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r=1;
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end;
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initval;
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a = 0;
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pai = beta;
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c = 0.9665;
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n = 0.9673;
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end;
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shocks;
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var u; stderr 0.008;
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end;
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planner_objective(ln(c)-phi*((n^(1+gamma))/(1+gamma)));
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ramsey_policy(planner_discount=0.99,order=1,instruments=(r));
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oo_ramsey_policy_initval=oo_;
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%save oo_ramsey_policy_initval oo_ramsey_policy_initval
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stoch_simul(periods=0, order=1, irf=25, nograph);
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if max(abs((oo_ramsey_policy_initval.steady_state-oo_.steady_state)))>1e-5 ...
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|| max(abs(oo_ramsey_policy_initval.dr.ys-oo_.dr.ys))>1e-5 ...
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|| max(max(abs(oo_ramsey_policy_initval.dr.ghx-oo_.dr.ghx)))>1e-5 ...
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|| max(max(abs(oo_ramsey_policy_initval.dr.ghu-oo_.dr.ghu)))>1e-5 ...
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|| max(max(abs(oo_ramsey_policy_initval.dr.Gy-oo_.dr.Gy)))>1e-5 ...
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|| max(abs((oo_ramsey_policy_initval.planner_objective_value-oo_.planner_objective_value)))>1e-5
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error('Running stoch_simul after ramsey_policy leads to inconsistent results')
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end
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@ -0,0 +1,50 @@
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/* Mod file tests the correctness of the Ramsey command when Auxiliary variables for AR2 are used
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* The example is adapted from Juillard, Michel (2011): User manual for optimal policy package,
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* MONFISPOL FP7 project SSH-225149, Deliverable 1.1.2
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*/
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var pai, c, n, r, a;
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varexo u;
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parameters beta, rho, epsilon, omega, phi, gamma;
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beta=0.99;
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gamma=3;
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omega=17;
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epsilon=8;
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phi=1;
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rho=0.95;
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model;
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log(a) = rho*log(a(-2))+u;
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1/c = beta*r/(c(+1)*pai(+1));
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pai*(pai-1)/c = beta*pai(+1)*(pai(+1)-1)/c(+1)+epsilon*phi*n^(gamma+1)/omega -a*n*(epsilon-1)/(omega*c);
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a*n = c+(omega/2)*(pai-1)^2;
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end;
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initval;
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r=1;
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end;
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initval;
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a = 1;
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pai = beta;
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c = 0.9665;
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n = 0.9673;
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end;
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shocks;
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var u; stderr 0.008;
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end;
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planner_objective(ln(c)-phi*((n^(1+gamma))/(1+gamma)));
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ramsey_policy(planner_discount=0.99,order=1,instruments=(r));
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oo_ramsey_policy_initval_AR2=oo_;
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stoch_simul(periods=0, order=1, irf=25, nograph);
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if max(abs((oo_ramsey_policy_initval_AR2.steady_state-oo_.steady_state)))>1e-5 ...
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|| max(abs(oo_ramsey_policy_initval_AR2.dr.ys-oo_.dr.ys))>1e-5 ...
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|| max(max(abs(oo_ramsey_policy_initval_AR2.dr.ghx-oo_.dr.ghx)))>1e-5 ...
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|| max(max(abs(oo_ramsey_policy_initval_AR2.dr.ghu-oo_.dr.ghu)))>1e-5 ...
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|| max(max(abs(oo_ramsey_policy_initval_AR2.dr.Gy-oo_.dr.Gy)))>1e-5 ...
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|| max(abs((oo_ramsey_policy_initval_AR2.planner_objective_value-oo_.planner_objective_value)))>1e-5
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error('Running stoch_simul after ramsey_policy leads to inconsistent results')
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end
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@ -0,0 +1,41 @@
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/* Mod file tests whether the Ramsey command correctly filters out an incorrect steady state
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* The example is taken from Juillard, Michel (2011): User manual for optimal policy package,
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* MONFISPOL FP7 project SSH-225149, Deliverable 1.1.2
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*/
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var pai, c, n, r, a;
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varexo u;
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parameters beta, rho, epsilon, omega, phi, gamma;
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beta=0.99;
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gamma=3;
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omega=17;
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epsilon=8;
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phi=1;
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rho=0.95;
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model;
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a = rho*a(-1)+u;
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1/c = beta*r/(c(+1)*pai(+1));
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pai*(pai-1)/c = beta*pai(+1)*(pai(+1)-1)/c(+1)+epsilon*phi*n^(gamma+1)/omega -exp(a)*n*(epsilon-1)/(omega*c);
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exp(a)*n = c+(omega/2)*(pai-1)^2;
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end;
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initval;
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r=1;
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end;
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steady_state_model;
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a = 1;
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pai = beta*r;
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c = find_c(0.96,pai,beta,epsilon,phi,gamma,omega);
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n = c+(omega/2)*(pai-1)^2;
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end;
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shocks;
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var u; stderr 0.008;
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end;
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planner_objective(ln(c)-phi*((n^(1+gamma))/(1+gamma)));
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ramsey_policy(planner_discount=0.99,order=1,instruments=(r));
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