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AnSchorfheide_pruned_state_space.mod: remove test part that only showcases that in Andreasen's code there is an error

time-shift
Johannes Pfeifer 2020-07-15 15:37:49 +02:00
parent 9e92dfd7c4
commit 8a00ee3dff
1 changed files with 48 additions and 48 deletions
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96
tests/pruning/AnSchorfheide_pruned_state_space.mod
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@ -143,51 +143,51 @@ for iorder = 1:3
error('Something wrong with pruned_state_space.m compared to Andreasen et al 2018 Toolbox v2 at order %d.',iorder);
end
end
skipline();
fprintf('Note that at third order, there is an error in the computation of Var_z in Andreasen et al (2018)''s toolbox, @wmutschl is in contact to clarify this.\n');
fprintf('EXAMPLE:\n')
fprintf(' Consider Var[kron(kron(xf,xf),xf)] = E[kron(kron(kron(kron(kron(xf,xf),xf),xf),xf),xf)] - E[kron(kron(xf,xf),xf)]*E[kron(kron(xf,xf),xf)].''\n');
fprintf(' Now note that xf=hx*xf(-1)+hu*u is Gaussian, that is E[kron(kron(xf,xf),xf)]=0, and Var[kron(kron(xf,xf),xf)] are the sixth-order product moments\n');
fprintf(' which can be computed using the prodmom.m function by providing E[xf*xf''] as covariance matrix.\n');
fprintf(' In order to replicate this you have to change UnconditionalMoments_3rd_Lyap.m to also output Var_z.\n')
dynare_nx = M_.nspred;
dynare_E_xf2 = pruned_state_space.order_3.Var_z(1:dynare_nx,1:dynare_nx);
dynare_E_xf6 = pruned_state_space.order_3.Var_z((end-dynare_nx^3+1):end,(end-dynare_nx^3+1):end);
dynare_E_xf6 = dynare_E_xf6(:);
Andreasen_nx = M_.nspred+M_.exo_nbr;
Andreasen_E_xf2 = outAndreasenetal.order_3.Var_z(1:Andreasen_nx,1:Andreasen_nx);
Andreasen_E_xf6 = outAndreasenetal.order_3.Var_z((end-Andreasen_nx^3+1):end,(end-Andreasen_nx^3+1):end);
Andreasen_E_xf6 = Andreasen_E_xf6(:);
fprintf('Second-order product moments of xf and u are the same:\n')
norm_E_xf2 = norm(dynare_E_xf2-Andreasen_E_xf2(1:M_.nspred,1:M_.nspred),Inf)
norm_E_uu = norm(M_.Sigma_e-Andreasen_E_xf2(M_.nspred+(1:M_.exo_nbr),M_.nspred+(1:M_.exo_nbr)),Inf)
% Compute unique sixth-order product moments of xf, i.e. unique(E[kron(kron(kron(kron(kron(xf,xf),xf),xf),xf),xf)],'stable')
dynare_nx6 = dynare_nx*(dynare_nx+1)/2*(dynare_nx+2)/3*(dynare_nx+3)/4*(dynare_nx+4)/5*(dynare_nx+5)/6;
dynare_Q6Px = Q6_plication(dynare_nx);
dynare_COMBOS6 = flipud(allVL1(dynare_nx, 6)); %all possible (unique) combinations of powers that sum up to six
dynare_true_E_xf6 = zeros(dynare_nx6,1); %only unique entries
for j6 = 1:size(dynare_COMBOS6,1)
dynare_true_E_xf6(j6) = prodmom(dynare_E_xf2, 1:dynare_nx, dynare_COMBOS6(j6,:));
end
dynare_true_E_xf6 = dynare_Q6Px*dynare_true_E_xf6; %add duplicate entries
norm_dynare_E_xf6 = norm(dynare_true_E_xf6 - dynare_E_xf6, Inf);
Andreasen_nx6 = Andreasen_nx*(Andreasen_nx+1)/2*(Andreasen_nx+2)/3*(Andreasen_nx+3)/4*(Andreasen_nx+4)/5*(Andreasen_nx+5)/6;
Andreasen_Q6Px = Q6_plication(Andreasen_nx);
Andreasen_COMBOS6 = flipud(allVL1(Andreasen_nx, 6)); %all possible (unique) combinations of powers that sum up to six
Andreasen_true_E_xf6 = zeros(Andreasen_nx6,1); %only unique entries
for j6 = 1:size(Andreasen_COMBOS6,1)
Andreasen_true_E_xf6(j6) = prodmom(Andreasen_E_xf2, 1:Andreasen_nx, Andreasen_COMBOS6(j6,:));
end
Andreasen_true_E_xf6 = Andreasen_Q6Px*Andreasen_true_E_xf6; %add duplicate entries
norm_Andreasen_E_xf6 = norm(Andreasen_true_E_xf6 - Andreasen_E_xf6, Inf);
fprintf('Sixth-order product moments of xf and u are not the same!\n');
fprintf(' Dynare maximum absolute deviations of sixth-order product moments of xf: %d\n',norm_dynare_E_xf6)
fprintf(' Andreasen et al maximum absolute deviations of sixth-order product moments of xf: %d\n',norm_Andreasen_E_xf6)
skipline();
fprintf('Note that the standard deviations are set quite high to make the numerical differences more apparent.\n');
% skipline();
% fprintf('Note that at third order, there is an error in the computation of Var_z in Andreasen et al (2018)''s toolbox, @wmutschl is in contact to clarify this.\n');
% fprintf('EXAMPLE:\n')
% fprintf(' Consider Var[kron(kron(xf,xf),xf)] = E[kron(kron(kron(kron(kron(xf,xf),xf),xf),xf),xf)] - E[kron(kron(xf,xf),xf)]*E[kron(kron(xf,xf),xf)].''\n');
% fprintf(' Now note that xf=hx*xf(-1)+hu*u is Gaussian, that is E[kron(kron(xf,xf),xf)]=0, and Var[kron(kron(xf,xf),xf)] are the sixth-order product moments\n');
% fprintf(' which can be computed using the prodmom.m function by providing E[xf*xf''] as covariance matrix.\n');
% fprintf(' In order to replicate this you have to change UnconditionalMoments_3rd_Lyap.m to also output Var_z.\n')
%
% dynare_nx = M_.nspred;
% dynare_E_xf2 = pruned_state_space.order_3.Var_z(1:dynare_nx,1:dynare_nx);
% dynare_E_xf6 = pruned_state_space.order_3.Var_z((end-dynare_nx^3+1):end,(end-dynare_nx^3+1):end);
% dynare_E_xf6 = dynare_E_xf6(:);
%
% Andreasen_nx = M_.nspred+M_.exo_nbr;
% Andreasen_E_xf2 = outAndreasenetal.order_3.Var_z(1:Andreasen_nx,1:Andreasen_nx);
% Andreasen_E_xf6 = outAndreasenetal.order_3.Var_z((end-Andreasen_nx^3+1):end,(end-Andreasen_nx^3+1):end);
% Andreasen_E_xf6 = Andreasen_E_xf6(:);
%
% fprintf('Second-order product moments of xf and u are the same:\n')
% norm_E_xf2 = norm(dynare_E_xf2-Andreasen_E_xf2(1:M_.nspred,1:M_.nspred),Inf)
% norm_E_uu = norm(M_.Sigma_e-Andreasen_E_xf2(M_.nspred+(1:M_.exo_nbr),M_.nspred+(1:M_.exo_nbr)),Inf)
%
% % Compute unique sixth-order product moments of xf, i.e. unique(E[kron(kron(kron(kron(kron(xf,xf),xf),xf),xf),xf)],'stable')
% dynare_nx6 = dynare_nx*(dynare_nx+1)/2*(dynare_nx+2)/3*(dynare_nx+3)/4*(dynare_nx+4)/5*(dynare_nx+5)/6;
% dynare_Q6Px = Q6_plication(dynare_nx);
% dynare_COMBOS6 = flipud(allVL1(dynare_nx, 6)); %all possible (unique) combinations of powers that sum up to six
% dynare_true_E_xf6 = zeros(dynare_nx6,1); %only unique entries
% for j6 = 1:size(dynare_COMBOS6,1)
% dynare_true_E_xf6(j6) = prodmom(dynare_E_xf2, 1:dynare_nx, dynare_COMBOS6(j6,:));
% end
% dynare_true_E_xf6 = dynare_Q6Px*dynare_true_E_xf6; %add duplicate entries
% norm_dynare_E_xf6 = norm(dynare_true_E_xf6 - dynare_E_xf6, Inf);
%
% Andreasen_nx6 = Andreasen_nx*(Andreasen_nx+1)/2*(Andreasen_nx+2)/3*(Andreasen_nx+3)/4*(Andreasen_nx+4)/5*(Andreasen_nx+5)/6;
% Andreasen_Q6Px = Q6_plication(Andreasen_nx);
% Andreasen_COMBOS6 = flipud(allVL1(Andreasen_nx, 6)); %all possible (unique) combinations of powers that sum up to six
% Andreasen_true_E_xf6 = zeros(Andreasen_nx6,1); %only unique entries
% for j6 = 1:size(Andreasen_COMBOS6,1)
% Andreasen_true_E_xf6(j6) = prodmom(Andreasen_E_xf2, 1:Andreasen_nx, Andreasen_COMBOS6(j6,:));
% end
% Andreasen_true_E_xf6 = Andreasen_Q6Px*Andreasen_true_E_xf6; %add duplicate entries
% norm_Andreasen_E_xf6 = norm(Andreasen_true_E_xf6 - Andreasen_E_xf6, Inf);
%
% fprintf('Sixth-order product moments of xf and u are not the same!\n');
% fprintf(' Dynare maximum absolute deviations of sixth-order product moments of xf: %d\n',norm_dynare_E_xf6)
% fprintf(' Andreasen et al maximum absolute deviations of sixth-order product moments of xf: %d\n',norm_Andreasen_E_xf6)
% skipline();
% fprintf('Note that the standard deviations are set quite high to make the numerical differences more apparent.\n');