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Added integration tests.

time-shift
Stéphane Adjemian(Charybdis) 2018-09-27 18:56:41 +02:00
parent 3ad654b9b8
commit 76c4df129c
Signed by untrusted user who does not match committer: stepan
GPG Key ID: A6D44CB9C64CE77B
2 changed files with 84 additions and 0 deletions
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2
tests/Makefile.am
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@ -188,10 +188,12 @@ MODFILES = \
simul/simul_ZLB_purely_forward_no_solution.mod \
simul/Irreversible_investment.mod \
simul/linear_state_space_arma.mod \
conditional_forecasts/1/fs2000_cal.mod \
conditional_forecasts/2/fs2000_est.mod \
conditional_forecasts/3/fs2000_conditional_forecast_initval.mod \
conditional_forecasts/4/fs2000_conditional_forecast_histval.mod \
conditional_forecasts/5/fs2000_cal.mod \
conditional_forecasts/6/fs2000_cal.mod \
recursive/ls2003.mod \
recursive/ls2003_bayesian.mod \
recursive/ls2003_bayesian_xls.mod \

82
tests/conditional_forecasts/6/fs2000_cal.mod Normal file
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@ -0,0 +1,82 @@
// See fs2000.mod in the examples/ directory for details on the model
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;
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;
steady;
check;
stoch_simul(irf=0);
conditional_forecast_paths;
var gy_obs;
periods 1 2 3:5;
values 0.01 -0.02 0;
var gp_obs;
periods 1:7;
values 0.05;
end;
conditional_forecast(parameter_set=calibration, controlled_varexo=(e_a,e_m));
plot_conditional_forecast(periods=10) gy_obs gp_obs;