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Add unit test for Lyapunov solver 

- tests whether they run within a mod-file
- tests whether they yield the same result for a simple state-space model
time-shift
Johannes Pfeifer 2014-09-20 08:28:02 +02:00 committed by Stéphane Adjemian (Karaba)
parent b90f3deed2
commit 7605820dff
4 changed files with 614 additions and 0 deletions
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3
tests/Makefile.am
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@ -133,6 +133,7 @@ MODFILES = \
ms-sbvar/test_ms_variances.mod \
ms-sbvar/test_ms_variances_repeated_runs.mod \
ms-dsge/test_ms_dsge.mod \
kalman/lyapunov/fs2000_lyap.mod \
kalman_filter_smoother/gen_data.mod \
kalman_filter_smoother/algo1.mod \
kalman_filter_smoother/algo2.mod \
@ -336,6 +337,8 @@ EXTRA_DIST = \
ms-sbvar/archive-files/specification_2v.dat \
ms-sbvar/archive-files/specification_2v2c.dat \
recursive/data_ca1.m \
kalman/lyapunov/fsdat_simul.m \
kalman/lyapunov/fs2000_mode.mat \
kalman_filter_smoother/fsdat_simul.m \
kalman_filter_smoother/fs2000a_steadystate.m \
identification/kim/kim2_steadystate.m \

195
tests/kalman/lyapunov/fs2000_kalman.mod Normal file
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@ -0,0 +1,195 @@
/*
* 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 <http://www.gnu.org/licenses/>.
*/
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;
end;
varobs gp_obs gy_obs;
options_.plot_priors=0;
options_.lyapunov_fp = 0;
options_.lyapunov_db = 0;
options_.lyapunov_srs = 0;
estimation(lyapunov=doubling,mode_compute=0,mode_file=fs2000_mode,order=1,datafile=fsdat_simul, nobs=192, loglinear, mh_replic=0, mh_nblocks=1, mh_jscale=0.8,nograph);
options_.lyapunov_fp = 0;
options_.lyapunov_db = 0;
options_.lyapunov_srs = 0;
estimation(lyapunov=square_root_solver,mode_compute=0,mode_file=fs2000_mode,order=1,datafile=fsdat_simul, nobs=192, loglinear, mh_replic=0, mh_nblocks=1, mh_jscale=0.8,nograph);
options_.lyapunov_fp = 0;
options_.lyapunov_db = 0;
options_.lyapunov_srs = 0;
estimation(lyapunov=fixed_point,mode_compute=0,mode_file=fs2000_mode,order=1,datafile=fsdat_simul, nobs=192, loglinear, mh_replic=0, mh_nblocks=1, mh_jscale=0.8,nograph);
//**************** Do pure Lyapunov tests***********
verbatim;
clear all
options_.lyapunov_complex_threshold = 1e-15;
options_.qz_zero_threshold = 1e-6;
options_.qz_criterium=1-options_.qz_zero_threshold;
options_.lyapunov_fixed_point_tol = 1e-10;
options_.lyapunov_doubling_tol = 1e-16;
n_small=8;
m_small=10;
T_small=randn(n_small,n_small);
T_small=0.99*T_small/max(abs(eigs(T_small)));
tmp2=randn(m_small,m_small);
Q_small=tmp2*tmp2';
R_small=randn(n_small,m_small);
n_large=9;
m_large=11;
T_large=randn(n_large,n_large);
T_large=0.99*T_large/max(abs(eigs(T_large)));
tmp2=randn(m_large,m_large);
Q_large=tmp2*tmp2';
R_large=randn(n_large,m_large);
% DynareOptions.lyapunov_fp == 1
Pstar1_small = lyapunov_symm(T_small,R_small*Q_small*R_small',options_.lyapunov_fixed_point_tol,options_.lyapunov_fixed_point_tol,3);
Pstar1_large = lyapunov_symm(T_large,R_large*Q_large*R_large',options_.lyapunov_fixed_point_tol,options_.lyapunov_fixed_point_tol,3);
% Dynareoptions.lyapunov_db == 1
Pstar2_small = disclyap_fast(T_small,R_small*Q_small*R_small',options_.lyapunov_doubling_tol);
Pstar2_large = disclyap_fast(T_large,R_large*Q_large*R_large',options_.lyapunov_doubling_tol);
% Dynareoptions.lyapunov_srs == 1
Pstar3_small = lyapunov_symm(T_small,Q_small,options_.lyapunov_fixed_point_tol,options_.lyapunov_complex_threshold,4,R_small);
Pstar3_large = lyapunov_symm(T_large,Q_large,options_.lyapunov_fixed_point_tol,options_.lyapunov_complex_threshold,4,R_large);
% Standard
Pstar4_small = lyapunov_symm(T_small,R_small*Q_small*R_small',options_.qz_criterium,options_.lyapunov_complex_threshold);
Pstar4_large = lyapunov_symm(T_large,R_large*Q_large*R_large',options_.qz_criterium,options_.lyapunov_complex_threshold);
if max(max(abs(Pstar1_small-Pstar2_small)))>1e-8
error('Results do not match')
end
if max(max(abs(Pstar1_small-Pstar3_small)))>1e-8
error('Results do not match')
end
if max(max(abs(Pstar1_small-Pstar4_small)))>1e-8
error('Results do not match')
end
if max(max(abs(Pstar1_large-Pstar2_large)))>1e-8
error('Results do not match')
end
if max(max(abs(Pstar1_large-Pstar3_large)))>1e-8
error('Results do not match')
end
if max(max(abs(Pstar1_large-Pstar4_large)))>1e-8
error('Results do not match')
end
oo_=[];
M_=[];
end;

BIN
tests/kalman/lyapunov/fs2000_mode.mat Normal file
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416
tests/kalman/lyapunov/fsdat_simul.m Normal file
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@ -0,0 +1,416 @@
% Generated data, used by fs2000.mod
gy_obs =[
1.0030045
1.0002599
0.99104664
1.0321162
1.0223545
1.0043614
0.98626929
1.0092127
1.0357197
1.0150827
1.0051548
0.98465775
0.99132132
0.99904153
1.0044641
1.0179198
1.0113462
0.99409421
0.99904293
1.0448336
0.99932433
1.0057004
0.99619787
1.0267504
1.0077645
1.0058026
1.0025891
0.9939097
0.99604693
0.99908569
1.0151094
0.99348134
1.0039124
1.0145805
0.99800868
0.98578138
1.0065771
0.99843919
0.97979062
0.98413351
0.96468174
1.0273857
1.0225211
0.99958667
1.0111157
1.0099585
0.99480311
1.0079265
0.98924573
1.0070613
1.0075706
0.9937151
1.0224711
1.0018891
0.99051863
1.0042944
1.0184055
0.99419508
0.99756624
1.0015983
0.9845772
1.0004407
1.0116237
0.9861885
1.0073094
0.99273355
1.0013224
0.99777979
1.0301686
0.96809556
0.99917088
0.99949253
0.96590004
1.0083938
0.96662298
1.0221454
1.0069792
1.0343996
1.0066531
1.0072525
0.99743563
0.99723703
1.000372
0.99013917
1.0095223
0.98864268
0.98092242
0.98886488
1.0030341
1.01894
0.99155059
0.99533235
0.99734316
1.0047356
1.0082737
0.98425116
0.99949212
1.0055899
1.0065075
0.99385069
0.98867975
0.99804843
1.0184038
0.99301902
1.0177222
1.0051924
1.0187852
1.0098985
1.0097172
1.0145811
0.98721038
1.0361722
1.0105821
0.99469309
0.98626785
1.013871
0.99858924
0.99302637
1.0042186
0.99623745
0.98545708
1.0225435
1.0011861
1.0130321
0.97861347
1.0228193
0.99627435
1.0272779
1.0075172
1.0096762
1.0129306
0.99966549
1.0262882
1.0026914
1.0061475
1.009523
1.0036127
0.99762992
0.99092634
1.0058469
0.99887292
1.0060653
0.98673557
0.98895709
0.99111967
0.990118
0.99788054
0.97054709
1.0099157
1.0107431
0.99518695
1.0114048
0.99376019
1.0023369
0.98783327
1.0051727
1.0100462
0.98607387
1.0000064
0.99692442
1.012225
0.99574078
0.98642833
0.99008207
1.0197359
1.0112849
0.98711069
0.99402748
1.0242141
1.0135349
0.99842505
1.0130714
0.99887044
1.0059058
1.0185998
1.0073314
0.98687706
1.0084551
0.97698964
0.99482714
1.0015302
1.0105331
1.0261767
1.0232822
1.0084176
0.99785167
0.99619733
1.0055223
1.0076326
0.99205461
1.0030587
1.0137012
1.0145878
1.0190297
1.0000681
1.0153894
1.0140649
1.0007236
0.97961463
1.0125257
1.0169503
1.0197363
1.0221185
];
gp_obs =[
1.0079715
1.0115853
1.0167502
1.0068957
1.0138189
1.0258364
1.0243817
1.017373
1.0020171
1.0003742
1.0008974
1.0104804
1.0116393
1.0114294
0.99932124
0.99461459
1.0170349
1.0051446
1.020639
1.0051964
1.0093042
1.007068
1.01086
0.99590086
1.0014883
1.0117332
0.9990095
1.0108284
1.0103672
1.0036722
1.0005124
1.0190331
1.0130978
1.007842
1.0285436
1.0322054
1.0213403
1.0246486
1.0419306
1.0258867
1.0156316
0.99818589
0.9894107
1.0127584
1.0146882
1.0136529
1.0340107
1.0343652
1.02971
1.0077932
1.0198114
1.013971
1.0061083
1.0089573
1.0037926
1.0082071
0.99498155
0.99735772
0.98765026
1.006465
1.0196088
1.0053233
1.0119974
1.0188066
1.0029302
1.0183459
1.0034218
1.0158799
0.98824798
1.0274357
1.0168832
1.0180641
1.0294657
0.98864091
1.0358326
0.99889969
1.0178322
0.99813566
1.0073549
1.0215985
1.0084245
1.0080939
1.0157021
1.0075815
1.0032633
1.0117871
1.0209276
1.0077569
0.99680958
1.0120266
1.0017625
1.0138811
1.0198358
1.0059629
1.0115416
1.0319473
1.0167074
1.0116111
1.0048627
1.0217622
1.0125221
1.0142045
0.99792469
0.99823971
0.99561547
0.99850373
0.9898464
1.0030963
1.0051373
1.0004213
1.0144117
0.97185592
0.9959518
1.0073529
1.0051603
0.98642572
0.99433423
1.0112131
1.0007695
1.0176867
1.0134363
0.99926191
0.99879835
0.99878754
1.0331374
1.0077797
1.0127221
1.0047393
1.0074106
0.99784213
1.0056495
1.0057708
0.98817494
0.98742176
0.99930555
1.0000687
1.0129754
1.009529
1.0226731
1.0149534
1.0164295
1.0239469
1.0293458
1.026199
1.0197525
1.0126818
1.0054473
1.0254423
1.0069461
1.0153135
1.0337515
1.0178187
1.0240469
1.0079489
1.0186953
1.0008628
1.0113799
1.0140118
1.0168007
1.011441
0.98422774
0.98909729
1.0157859
1.0151586
0.99756232
0.99497777
1.0102841
1.0221659
0.9937759
0.99877193
1.0079433
0.99667692
1.0095959
1.0128804
1.0156949
1.0111951
1.0228887
1.0122083
1.0190197
1.0074927
1.0268096
0.99689352
0.98948474
1.0024938
1.0105543
1.014116
1.0141217
1.0056504
1.0101026
1.0105069
0.99619053
1.0059439
0.99449473
0.99482458
1.0037702
1.0068087
0.99575975
1.0030815
1.0334014
0.99879386
0.99625634
1.0171195
0.99233844
];