var_forecast tests

tests/ECB/nkm.mod

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+var i, pi, y;
+varexo ee, nu;
+parameters bet, bet1, gam, sig, phi, psi;
+
+
+bet = 0.99;
+bet1 = 0.99;
+gam = 0.1275;
+sig = 1;
+phi = 1.5;
+psi = 0.125;
+
+
+model;
+
+% Taylor Rule
+  i = phi*pi + psi*y + ee;
+
+% Phillips Curve
+  pi = bet*pi(1) + gam*y;
+
+% IS
+  y = y(1) + y(-1) - 1/sig*(i - pi(1)) + nu;
+
+end;
+
+shocks;
+var ee; stderr 0.0205;
+var nu; stderr 0.898;
+end;
+
+stoch_simul(order=1, periods=200);
+

tests/ECB/nkm_var.mod

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+var i, pi, y;
+varexo ee, nu;
+parameters bet, gam, sig, phi, psi;
+
+
+bet = 0.99;
+gam = 0.1275;
+sig = 1;
+phi = 1.5;
+psi = 0.125;
+
+var_model(model_name=my_var_est, order=1) pi y;
+
+model;
+
+% Taylor Rule
+  i = phi*pi + psi*y + ee;
+
+% Phillips Curve
+  pi = bet*pi(1) + gam*y;
+
+% IS
+  y = var_expectation(y, model_name=my_var_est) + y(-1) - 1/sig*(i - var_expectation(pi, model_name=my_var_est)) + nu;
+
+end;
+
+shocks;
+var ee; stderr 0.0205;
+var nu; stderr 0.0305;
+end;
+
+stoch_simul(order=1, periods=200);
+

tests/ECB/run_var_comparison.m

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+clearvars
+clearvars -global
+!rm nkm_saved_data.mat
+!rm my_var_est.mat
+!rm nkm_var_saved_data.mat
+
+%% Call Dynare without VAR
+dynare nkm.mod
+save('nkm_saved_data.mat')
+
+%% Estimate VAR using simulated data
+disp('VAR Estimation');
+Y = oo_.endo_simul(2:3, 2:end);
+Z = [ones(1, size(Y,2)); oo_.endo_simul(2:3, 1:end-1)];
+
+% OLS
+B = Y*transpose(Z)/(Z*transpose(Z));
+
+%% save values
+mu = B(:, 1);
+autoregressive_matrices{1} = B(:, 2:end);
+save('my_var_est.mat', 'mu', 'autoregressive_matrices');
+
+%% Call Dynare with VAR
+clearvars
+clearvars -global
+dynare nkm_var.mod
+save('nkm_var_saved_data.mat')
+
+%% compare values
+clearvars
+clearvars -global
+zerotol = 1e-12;
+
+nv = load('nkm_saved_data.mat');
+wv = load('nkm_var_saved_data.mat');
+
+assert(max(max(abs(nv.y - wv.y))) < zerotol);
+assert(max(max(abs(nv.pi - wv.pi))) < zerotol);
+assert(max(max(abs(nv.i - wv.i))) < zerotol);
+
+fn = fieldnames(nv.oo_.irfs);
+for i=1:length(fn)
+    assert(max(max(abs(nv.oo_.irfs.(fn{i}) - (wv.oo_.irfs.(fn{i}))))) < zerotol);
+end