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shock decomposition: adding test case for groups

time-shift
Michel Juillard 2016-04-15 09:06:26 +02:00
parent 98b53553c6
commit 920d212d95
2 changed files with 81 additions and 0 deletions
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1
tests/Makefile.am
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@ -244,6 +244,7 @@ MODFILES = \
shock_decomposition/example1_calib_shock_decomp.mod \
shock_decomposition/fs2000_est.mod \
shock_decomposition/fs2000_est_varlist.mod \
shock_decomposition/fs2000_cal_groups.mod \
stochastic_purely_forward/stochastic_purely_forward.mod \
stochastic_purely_forward/stochastic_purely_forward_with_static.mod \
forecast/Hansen_exo_det_forecast.mod \

80
tests/shock_decomposition/fs2000_cal_groups.mod Normal file
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@ -0,0 +1,80 @@
// 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;
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;
e = 1;
gp_obs = m/dA;
gy_obs = dA;
end;
steady;
check;
//stoch_simul(irf=0);
varobs gy_obs gp_obs;
shock_groups;
supply = e_a ;
demand = e_m ;
end;
mymap = [144/255 212/255 164/255;1 128/255 0; 51/255 51/255 1];
shock_decomposition(datafile=fsdat_simul,parameter_set=calibration,use_shock_groups,colormap=mymap) gp_obs gy_obs;