From 747f90d89bef95400dfd71976b422c2c762959db Mon Sep 17 00:00:00 2001 From: Johannes Pfeifer Date: Fri, 31 Oct 2014 11:36:37 +0100 Subject: [PATCH] Add unit tests for correct dimension of filtered, smoothed, forecasted, and updated variables and shocks --- tests/Makefile.am | 2 + .../check_variable_dimensions/fs2000.mod | 193 ++++++++++++++++++ .../check_variable_dimensions/fs2000_ML.mod | 161 +++++++++++++++ 3 files changed, 356 insertions(+) create mode 100644 tests/kalman_filter_smoother/check_variable_dimensions/fs2000.mod create mode 100644 tests/kalman_filter_smoother/check_variable_dimensions/fs2000_ML.mod diff --git a/tests/Makefile.am b/tests/Makefile.am index b3520b738..0f124062c 100644 --- a/tests/Makefile.am +++ b/tests/Makefile.am @@ -150,6 +150,8 @@ MODFILES = \ kalman_filter_smoother/fs2000_1.mod \ kalman_filter_smoother/fs2000_2.mod \ kalman_filter_smoother/fs2000a.mod \ + kalman_filter_smoother\check_variable_dimensions\fs2000.mod \ + kalman_filter_smoother\check_variable_dimensions\fs2000_ML.mod \ second_order/burnside_1.mod \ second_order/ds1.mod \ second_order/ds2.mod \ diff --git a/tests/kalman_filter_smoother/check_variable_dimensions/fs2000.mod b/tests/kalman_filter_smoother/check_variable_dimensions/fs2000.mod new file mode 100644 index 000000000..f13639d24 --- /dev/null +++ b/tests/kalman_filter_smoother/check_variable_dimensions/fs2000.mod @@ -0,0 +1,193 @@ +/* + * This file replicates the estimation of the cash in advance model described + * Frank Schorfheide (2000): "Loss function-based evaluation of DSGE models", + * Journal of Applied Econometrics, 15(6), 645-670. + * + * The data are in file "fsdat_simul.m", and have been artificially generated. + * They are therefore different from the original dataset used by Schorfheide. + * + * The equations are taken from J. Nason and T. Cogley (1994): "Testing the + * implications of long-run neutrality for monetary business cycle models", + * Journal of Applied Econometrics, 9, S37-S70. + * Note that there is an initial minus sign missing in equation (A1), p. S63. + * + * This implementation was written by Michel Juillard. Please note that the + * following copyright notice only applies to this Dynare implementation of the + * model. + */ + +/* + * Copyright (C) 2004-2010 Dynare Team + * + * This file is part of Dynare. + * + * Dynare is free software: you can redistribute it and/or modify + * it under the terms of the GNU General Public License as published by + * the Free Software Foundation, either version 3 of the License, or + * (at your option) any later version. + * + * Dynare is distributed in the hope that it will be useful, + * but WITHOUT ANY WARRANTY; without even the implied warranty of + * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the + * GNU General Public License for more details. + * + * You should have received a copy of the GNU General Public License + * along with Dynare. If not, see . + */ + +var m P c e W R k d n l gy_obs gp_obs y dA; +varexo e_a e_m; + +parameters alp bet gam mst rho psi del; + +alp = 0.33; +bet = 0.99; +gam = 0.003; +mst = 1.011; +rho = 0.7; +psi = 0.787; +del = 0.02; + +model; +dA = exp(gam+e_a); +log(m) = (1-rho)*log(mst) + rho*log(m(-1))+e_m; +-P/(c(+1)*P(+1)*m)+bet*P(+1)*(alp*exp(-alp*(gam+log(e(+1))))*k^(alp-1)*n(+1)^(1-alp)+(1-del)*exp(-(gam+log(e(+1)))))/(c(+2)*P(+2)*m(+1))=0; +W = l/n; +-(psi/(1-psi))*(c*P/(1-n))+l/n = 0; +R = P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(-alp)/W; +1/(c*P)-bet*P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)/(m*l*c(+1)*P(+1)) = 0; +c+k = exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)+(1-del)*exp(-(gam+e_a))*k(-1); +P*c = m; +m-1+d = l; +e = exp(e_a); +y = k(-1)^alp*n^(1-alp)*exp(-alp*(gam+e_a)); +gy_obs = dA*y/y(-1); +gp_obs = (P/P(-1))*m(-1)/dA; +end; + +shocks; +var e_a; stderr 0.014; +var e_m; stderr 0.005; +end; + +steady_state_model; + dA = exp(gam); + gst = 1/dA; + m = mst; + khst = ( (1-gst*bet*(1-del)) / (alp*gst^alp*bet) )^(1/(alp-1)); + xist = ( ((khst*gst)^alp - (1-gst*(1-del))*khst)/mst )^(-1); + nust = psi*mst^2/( (1-alp)*(1-psi)*bet*gst^alp*khst^alp ); + n = xist/(nust+xist); + P = xist + nust; + k = khst*n; + + l = psi*mst*n/( (1-psi)*(1-n) ); + c = mst/P; + d = l - mst + 1; + y = k^alp*n^(1-alp)*gst^alp; + R = mst/bet; + W = l/n; + ist = y-c; + q = 1 - d; + + e = 1; + + gp_obs = m/dA; + gy_obs = dA; +end; + +steady; + +check; + +estimated_params; +alp, beta_pdf, 0.356, 0.02; +bet, beta_pdf, 0.993, 0.002; +gam, normal_pdf, 0.0085, 0.003; +mst, normal_pdf, 1.0002, 0.007; +rho, beta_pdf, 0.129, 0.223; +psi, beta_pdf, 0.65, 0.05; +del, beta_pdf, 0.01, 0.005; +stderr e_a, inv_gamma_pdf, 0.035449, inf; +stderr e_m, inv_gamma_pdf, 0.008862, inf; +stderr gp_obs, inv_gamma_pdf, 0.001, inf; +end; + +varobs gp_obs gy_obs; + +estimation(order=1,datafile='../fsdat_simul', nobs=192, loglinear, mh_replic=2000, mh_nblocks=1, mh_jscale=0.8,forecast=8,smoother,filtered_vars,filter_step_ahead=[1:2],filter_decomposition) m P c e W R k d y gy_obs; + +if size(oo_.PointForecast.deciles.gy_obs,1)~=9 + error('Number of deciles must be 9') +end + +if size(oo_.PointForecast.deciles.gy_obs,2)~=options_.forecast || ... + size(oo_.PointForecast.Mean.gy_obs,1)~=options_.forecast || ... + size(oo_.PointForecast.Median.gy_obs,1)~=options_.forecast || ... + size(oo_.PointForecast.Var.gy_obs,1)~=options_.forecast || ... + size(oo_.PointForecast.HPDinf.gy_obs,1)~=options_.forecast || ... + size(oo_.PointForecast.HPDsup.gy_obs,1)~=options_.forecast || ... + size(oo_.MeanForecast.deciles.gy_obs,2)~=options_.forecast || ... + size(oo_.MeanForecast.Mean.gy_obs,1)~=options_.forecast || ... + size(oo_.MeanForecast.Median.gy_obs,1)~=options_.forecast || ... + size(oo_.MeanForecast.Var.gy_obs,1)~=options_.forecast || ... + size(oo_.MeanForecast.HPDinf.gy_obs,1)~=options_.forecast || ... + size(oo_.MeanForecast.HPDsup.gy_obs,1)~=options_.forecast + error('Forecasts have the wrong length') +end + +if size(oo_.UpdatedVariables.deciles.gy_obs,2)~=options_.nobs || ... + size(oo_.UpdatedVariables.Mean.gy_obs,1)~=options_.nobs || ... + size(oo_.UpdatedVariables.Median.gy_obs,1)~=options_.nobs || ... + size(oo_.UpdatedVariables.Var.gy_obs,1)~=options_.nobs || ... + size(oo_.UpdatedVariables.HPDinf.gy_obs,1)~=options_.nobs || ... + size(oo_.UpdatedVariables.HPDsup.gy_obs,1)~=options_.nobs + error('Updated Variables have the wrong length') +end + +if size(oo_.Filtered_Variables_1_step_ahead.deciles.gy_obs,2)~=options_.nobs || ... + size(oo_.Filtered_Variables_1_step_ahead.Mean.gy_obs,1)~=options_.nobs || ... + size(oo_.Filtered_Variables_1_step_ahead.Median.gy_obs,1)~=options_.nobs || ... + size(oo_.Filtered_Variables_1_step_ahead.Var.gy_obs,1)~=options_.nobs || ... + size(oo_.Filtered_Variables_1_step_ahead.HPDinf.gy_obs,1)~=options_.nobs || ... + size(oo_.Filtered_Variables_1_step_ahead.HPDsup.gy_obs,1)~=options_.nobs + error('Filtered_Variables_1_step_ahead have the wrong length') +end + + +if size(oo_.SmoothedVariables.deciles.gy_obs,2)~=options_.nobs || ... + size(oo_.SmoothedVariables.Mean.gy_obs,1)~=options_.nobs || ... + size(oo_.SmoothedVariables.Median.gy_obs,1)~=options_.nobs || ... + size(oo_.SmoothedVariables.Var.gy_obs,1)~=options_.nobs || ... + size(oo_.SmoothedVariables.HPDinf.gy_obs,1)~=options_.nobs || ... + size(oo_.SmoothedVariables.HPDsup.gy_obs,1)~=options_.nobs + error('Smoothed Variables have the wrong length') +end + +if size(oo_.SmoothedShocks.deciles.e_a,2)~=options_.nobs || ... + size(oo_.SmoothedShocks.Mean.e_a,1)~=options_.nobs || ... + size(oo_.SmoothedShocks.Median.e_a,1)~=options_.nobs || ... + size(oo_.SmoothedShocks.Var.e_a,1)~=options_.nobs || ... + size(oo_.SmoothedShocks.HPDinf.e_a,1)~=options_.nobs || ... + size(oo_.SmoothedShocks.HPDsup.e_a,1)~=options_.nobs + error('Smoothed Shocks have the wrong length') +end + +if size(oo_.FilteredVariables.deciles.gy_obs,2)~=options_.nobs || ... + size(oo_.FilteredVariables.Mean.gy_obs,1)~=options_.nobs || ... + size(oo_.FilteredVariables.Median.gy_obs,1)~=options_.nobs || ... + size(oo_.FilteredVariables.Var.gy_obs,1)~=options_.nobs || ... + size(oo_.FilteredVariables.HPDinf.gy_obs,1)~=options_.nobs || ... + size(oo_.FilteredVariables.HPDsup.gy_obs,1)~=options_.nobs + error('Filtered Variables have the wrong length') +end + +if size(oo_.SmoothedMeasurementErrors.deciles.SE_EOBS_gp_obs,2)~=options_.nobs || ... + size(oo_.SmoothedMeasurementErrors.Mean.SE_EOBS_gp_obs,1)~=options_.nobs || ... + size(oo_.SmoothedMeasurementErrors.Median.SE_EOBS_gp_obs,1)~=options_.nobs || ... + size(oo_.SmoothedMeasurementErrors.Var.SE_EOBS_gp_obs,1)~=options_.nobs || ... + size(oo_.SmoothedMeasurementErrors.HPDinf.SE_EOBS_gp_obs,1)~=options_.nobs || ... + size(oo_.SmoothedMeasurementErrors.HPDsup.SE_EOBS_gp_obs,1)~=options_.nobs + error('SmoothedMeasurementErrors have the wrong length') +end + diff --git a/tests/kalman_filter_smoother/check_variable_dimensions/fs2000_ML.mod b/tests/kalman_filter_smoother/check_variable_dimensions/fs2000_ML.mod new file mode 100644 index 000000000..6b396682c --- /dev/null +++ b/tests/kalman_filter_smoother/check_variable_dimensions/fs2000_ML.mod @@ -0,0 +1,161 @@ +/* + * This file replicates the estimation of the cash in advance model described + * Frank Schorfheide (2000): "Loss function-based evaluation of DSGE models", + * Journal of Applied Econometrics, 15(6), 645-670. + * + * The data are in file "fsdat_simul.m", and have been artificially generated. + * They are therefore different from the original dataset used by Schorfheide. + * + * The equations are taken from J. Nason and T. Cogley (1994): "Testing the + * implications of long-run neutrality for monetary business cycle models", + * Journal of Applied Econometrics, 9, S37-S70. + * Note that there is an initial minus sign missing in equation (A1), p. S63. + * + * This implementation was written by Michel Juillard. Please note that the + * following copyright notice only applies to this Dynare implementation of the + * model. + */ + +/* + * Copyright (C) 2004-2010 Dynare Team + * + * This file is part of Dynare. + * + * Dynare is free software: you can redistribute it and/or modify + * it under the terms of the GNU General Public License as published by + * the Free Software Foundation, either version 3 of the License, or + * (at your option) any later version. + * + * Dynare is distributed in the hope that it will be useful, + * but WITHOUT ANY WARRANTY; without even the implied warranty of + * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the + * GNU General Public License for more details. + * + * You should have received a copy of the GNU General Public License + * along with Dynare. If not, see . + */ + +var m P c e W R k d n l gy_obs gp_obs y dA; +varexo e_a e_m; + +parameters alp bet gam mst rho psi del theta; + +alp = 0.33; +bet = 0.99; +gam = 0.003; +mst = 1.011; +rho = 0.7; +psi = 0.787; +del = 0.02; +theta=0; + +model; +dA = exp(gam+e_a); +log(m) = (1-rho)*log(mst) + rho*log(m(-1))+e_m; +-P/(c(+1)*P(+1)*m)+bet*P(+1)*(alp*exp(-alp*(gam+log(e(+1))))*k^(alp-1)*n(+1)^(1-alp)+(1-del)*exp(-(gam+log(e(+1)))))/(c(+2)*P(+2)*m(+1))=0; +W = l/n; +-(psi/(1-psi))*(c*P/(1-n))+l/n = 0; +R = P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(-alp)/W; +1/(c*P)-bet*P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)/(m*l*c(+1)*P(+1)) = 0; +c+k = exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)+(1-del)*exp(-(gam+e_a))*k(-1); +P*c = m; +m-1+d = l; +e = exp(e_a); +y = k(-1)^alp*n^(1-alp)*exp(-alp*(gam+e_a)); +gy_obs = dA*y/y(-1); +gp_obs = (P/P(-1))*m(-1)/dA; +end; + +steady_state_model; + dA = exp(gam); + gst = 1/dA; + m = mst; + khst = ( (1-gst*bet*(1-del)) / (alp*gst^alp*bet) )^(1/(alp-1)); + xist = ( ((khst*gst)^alp - (1-gst*(1-del))*khst)/mst )^(-1); + nust = psi*mst^2/( (1-alp)*(1-psi)*bet*gst^alp*khst^alp ); + n = xist/(nust+xist); + P = xist + nust; + k = khst*n; + + l = psi*mst*n/( (1-psi)*(1-n) ); + c = mst/P; + d = l - mst + 1; + y = k^alp*n^(1-alp)*gst^alp; + R = mst/bet; + W = l/n; + ist = y-c; + q = 1 - d; + + e = 1; + + gp_obs = m/dA; + gy_obs = dA; +end; + + +shocks; +var e_a; stderr 0.014; +var e_m; stderr 0.005; +end; + +varobs gp_obs gy_obs; + +steady; +check; + +estimated_params; +alp, 0.356; +gam, 0.0085; +mst, 1.0002; +rho, 0.129; +psi, 0.65; +del, 0.02; +stderr e_a, 0.035449; +stderr e_m, 0.008862; +corr e_m, e_a, 0; +stderr gp_obs, 0.01; +end; +options_.prior_trunc=0; +estimation(order=1,datafile='../fsdat_simul', nobs=192, loglinear, forecast=8,smoother,filtered_vars,filter_step_ahead=[1,2,4],filter_decomposition,selected_variables_only) m P c e W R k d y gy_obs; + + +if size(oo_.FilteredVariablesKStepAhead,3)~=(options_.nobs+max(options_.filter_step_ahead)) || ... + size(oo_.FilteredVariablesKStepAhead,1)~=(length(options_.filter_step_ahead)) + error('FilteredVariablesKStepAhead has the wrong length') +end + +if size(oo_.FilteredVariablesKStepAheadVariances,4)~=(options_.nobs+max(options_.filter_step_ahead)) || ... + size(oo_.FilteredVariablesKStepAheadVariances,1)~=(length(options_.filter_step_ahead)) + error('FilteredVariablesKStepAhead has the wrong length') +end + +if size(oo_.FilteredVariablesShockDecomposition,4)~=(options_.nobs+max(options_.filter_step_ahead)) || ... + size(oo_.FilteredVariablesShockDecomposition,1)~=(length(options_.filter_step_ahead)) + error('FilteredVariablesShockDecomposition has the wrong length') +end + +if size(oo_.SmoothedVariables.gy_obs,1)~=options_.nobs + error('SmoothedVariables has the wrong length') +end + +if size(oo_.FilteredVariables.gy_obs,1)~=options_.nobs + error('FilteredVariables has the wrong length') +end + +if size(oo_.UpdatedVariables.gy_obs,1)~=options_.nobs + error('UpdatedVariables has the wrong length') +end + +if size(oo_.SmoothedShocks.e_a,1)~=options_.nobs + error('SmoothedShocks has the wrong length') +end + +if size(oo_.SmoothedMeasurementErrors.gy_obs,1)~=options_.nobs + error('SmoothedShocks has the wrong length') +end + +if size(oo_.forecast.Mean.gy_obs,1)~=options_.forecast || ... + size(oo_.forecast.HPDinf.gy_obs,1)~=options_.forecast || ... + size(oo_.forecast.HPDsup.gy_obs,1)~=options_.forecast + error('Forecasts have the wrong length') +end