Improvements to smoother2histval (ref #594)
- fix handling of auxiliary variables related to lagged endogenous - add preprocessor interface - add histval_file - add tests (for smoother2histval with outfile, and for histval_file)time-shift
Sébastien Villemot
parent
c24ae80ae2
commit
9eebfc87b0
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@ -0,0 +1,60 @@
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function histvalf(fname)
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% Copyright (C) 2014 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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global M_ oo_
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if ~exist(fname)
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error(['Can''t find datafile: ' fname ]);
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end
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M_.endo_histval = repmat(oo_.steady_state, 1, M_.maximum_endo_lag);
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S = load(fname);
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outvars = fieldnames(S);
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for i = 1:length(outvars)
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ov_ = outvars{i};
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if ov_(end) == '_'
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ov = ov_(1:end-1);
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j = strmatch(ov, M_.endo_names, 'exact');
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if isempty(j)
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error(['smoother2histval: output variable ' ov ' does not exist.'])
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end
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else
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% Lagged endogenous, search through aux vars
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z = strsplit(ov_, '_');
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ov = z{1};
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lead_lag = str2num(z{2});
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j = [];
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for i = 1:length(M_.aux_vars)
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if M_.aux_vars(i).type ~= 1
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continue
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end
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orig_var = deblank(M_.endo_names(M_.aux_vars(i).orig_index, :));
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if strcmp(orig_var, ov) && M_.aux_vars(i).orig_lead_lag == lead_lag
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j = M_.aux_vars(i).endo_index;
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end
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end
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if isempty(j)
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continue
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end
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end
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M_.endo_histval(j, :) = getfield(S, ov_);
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end
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@ -1,12 +1,12 @@
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function smoother2histval(infile, invars, period, outfile, outvars)
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function smoother2histval(opts)
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% This function takes values from oo_.SmoothedVariables and copies them into
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% M_.histval.
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%
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% INPUTS
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% Optional fields in 'opts' structure:
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% infile: An optional *_results MAT file created by Dynare.
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% If present, oo_.SmoothedVariables is read from there.
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% Otherwise, it is read from the global workspace.
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% invars: An optional cell array listing variables to read in
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% invars: An optional char or cell array listing variables to read in
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% oo_.SmoothedVariables. If absent, all the endogenous
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% variables present in oo_.SmoothedVariables are used.
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% period: An optional period number to use as the starting point
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@ -15,7 +15,7 @@ function smoother2histval(infile, invars, period, outfile, outvars)
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% smoothed values. If absent, the last observation is used.
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% outfile: An optional MAT file in which to save the histval structure.
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% If absent, the output will be written in M_.endo_histval
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% outvars: An optional cell array listing variables to be written in
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% outvars: An optional char or cell array listing variables to be written in
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% outfile or M_.endo_histval. This cell must be of same
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% length than invars, and there is a mapping between the input
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% variable at the i-th position in invars, and the output
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@ -43,13 +43,13 @@ function smoother2histval(infile, invars, period, outfile, outvars)
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global M_ options_ oo_
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if nargin == 0 || isempty(infile)
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if ~isfield(opts, 'infile')
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if ~isfield(oo_, 'SmoothedVariables')
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error('Could not find smoothed variables; did you set the "smoother" option?')
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end
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smoothedvals = oo_.SmoothedVariables;
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else
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S = load(infile);
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S = load(opts.infile);
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if ~isfield(S, 'oo_') || ~isfield(S.oo_, 'SmoothedVariables')
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error('Could not find smoothed variables in file; is this a Dynare results file, and did you set the "smoother" option when producing it?')
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end
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@ -100,49 +100,92 @@ if n < M_.maximum_endo_lag
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error('Not enough observations to create initial conditions')
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end
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if nargin < 2 || isempty(invars)
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if isfield(opts, 'invars')
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invars = opts.invars;
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if ischar(invars)
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invars = cellstr(invars);
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end
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else
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invars = fieldnames(smoothedvals);
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end
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if nargin < 3 || isempty(period)
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period = n;
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else
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if isfield(opts, 'period')
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period = opts.period;
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if period > n
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error('The period that you indicated is beyond the data sample')
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end
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if period < M_.maximum_endo_lag
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error('The period that you indicated is too small to construct initial conditions')
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end
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else
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period = n;
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end
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if nargin < 5 || isempty(outvars)
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outvars = invars;
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else
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if isfield(opts, 'outvars')
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outvars = opts.outvars;
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if ischar(outvars)
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outvars = cellstr(outvars);
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end
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if length(invars) ~= length(outvars)
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error('The number of input and output variables is not the same')
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end
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else
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outvars = invars;
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end
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endo_histval = repmat(oo_.steady_state, 1, M_.maximum_endo_lag);
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% Initialize outputs
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if ~isfield(opts, 'outfile')
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% Output to M_.endo_histval
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M_.endo_histval = repmat(oo_.steady_state, 1, M_.maximum_endo_lag);
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else
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% Output to a file
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o = struct();
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end
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% Handle all variables to be copied
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for i = 1:length(invars)
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s = getfield(smoothedvals, invars{i});
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j = strmatch(outvars{i}, M_.endo_names, 'exact');
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if isempty(j)
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if strncmp('AUX_', outvars{i}, 4)
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warning(['smoother2histval: output auxiliary variable ' outvars{i} ' does not exist, ignoring.'])
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else
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v = s((period-M_.maximum_endo_lag+1):period);
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if ~isfield(opts, 'outfile')
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j = strmatch(outvars{i}, M_.endo_names, 'exact');
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if isempty(j)
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error(['smoother2histval: output variable ' outvars{i} ' does not exist.'])
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else
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M_.endo_histval(j, :) = v;
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end
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else
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endo_histval(j, :) = s((period-M_.maximum_endo_lag+1):period);
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% When saving to a file, x(-1) is in the variable called "x_"
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o = setfield(o, [ outvars{i} '_' ], v);
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end
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end
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if nargin < 4 || isempty(outfile)
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M_.endo_histval = endo_histval;
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else
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save(outfile, 'endo_histval')
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% Handle auxiliary variables for lags
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for i = 1:length(M_.aux_vars)
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if M_.aux_vars(i).type ~= 1
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continue
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end
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orig_var = deblank(M_.endo_names(M_.aux_vars(i).orig_index, :));
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[m, k] = ismember(orig_var, outvars);
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if m
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s = getfield(smoothedvals, invars{k});
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l = M_.aux_vars(i).orig_lead_lag;
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if period-M_.maximum_endo_lag+1+l < 1
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error('The period that you indicated is too small to construct initial conditions')
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end
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v = s((period-M_.maximum_endo_lag+1+l):(period+l));
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if ~isfield(opts, 'outfile')
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j = M_.aux_vars(i).endo_index;
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M_.endo_histval(j, :) = v;
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else
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% When saving to a file, x(-2) is in the variable called "x_-2"
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o = setfield(o, [ orig_var '_' num2str(l) ], v);
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end
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end
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end
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% Finalize output
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if isfield(opts, 'outfile')
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save(opts.outfile, '-struct', 'o')
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end
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end
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@ -2822,3 +2822,15 @@ CorrOptionsStatement::writeCOutput(ostream &output, const string &basename)
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output << "msdsgeinfo->addMeasurementErrorCorrOption(new ModFileMeasurementErrorCorrOption(";
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output << "index, index1, init));" << endl;
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}
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Smoother2histvalStatement::Smoother2histvalStatement(const OptionsList &options_list_arg) :
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options_list(options_list_arg)
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{
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}
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void
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Smoother2histvalStatement::writeOutput(ostream &output, const string &basename) const
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{
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options_list.writeOutput(output, "options_smoother2histval");
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output << "smoother2histval(options_smoother2histval);" << endl;
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}
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@ -1,5 +1,5 @@
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/*
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* Copyright (C) 2003-2012 Dynare Team
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* Copyright (C) 2003-2014 Dynare Team
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*
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* This file is part of Dynare.
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*
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@ -846,4 +846,13 @@ public:
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virtual void writeOutput(ostream &output, const string &basename) const;
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};
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class Smoother2histvalStatement : public Statement
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{
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private:
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const OptionsList options_list;
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public:
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Smoother2histvalStatement(const OptionsList &options_list_arg);
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virtual void writeOutput(ostream &output, const string &basename) const;
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};
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#endif
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@ -97,8 +97,8 @@ class ParsingDriver;
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%token DEFAULT FIXED_POINT
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%token FORECAST K_ORDER_SOLVER INSTRUMENTS SHIFT MEAN STDEV VARIANCE MODE INTERVAL SHAPE DOMAINN
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%token GAMMA_PDF GRAPH GRAPH_FORMAT CONDITIONAL_VARIANCE_DECOMPOSITION NOCHECK STD
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%token HISTVAL HOMOTOPY_SETUP HOMOTOPY_MODE HOMOTOPY_STEPS HOMOTOPY_FORCE_CONTINUE HP_FILTER HP_NGRID HYBRID
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%token IDENTIFICATION INF_CONSTANT INITVAL INITVAL_FILE BOUNDS JSCALE INIT
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%token HISTVAL HISTVAL_FILE HOMOTOPY_SETUP HOMOTOPY_MODE HOMOTOPY_STEPS HOMOTOPY_FORCE_CONTINUE HP_FILTER HP_NGRID HYBRID
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%token IDENTIFICATION INF_CONSTANT INITVAL INITVAL_FILE BOUNDS JSCALE INIT INFILE INVARS
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%token <string_val> INT_NUMBER
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%token INV_GAMMA_PDF INV_GAMMA1_PDF INV_GAMMA2_PDF IRF IRF_SHOCKS IRF_PLOT_THRESHOLD IRF_CALIBRATION
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%token KALMAN_ALGO KALMAN_TOL SUBSAMPLES OPTIONS TOLF
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@ -110,14 +110,14 @@ class ParsingDriver;
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%token <string_val> NAME
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%token NAN_CONSTANT NO_STATIC NOBS NOCONSTANT NODISPLAY NOCORR NODIAGNOSTIC NOFUNCTIONS
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%token NOGRAPH NOMOMENTS NOPRINT NORMAL_PDF SAVE_DRAWS
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%token OBSERVATION_TRENDS OPTIM OPTIM_WEIGHTS ORDER OSR OSR_PARAMS MAX_DIM_COVA_GROUP ADVANCED
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%token PARALLEL_LOCAL_FILES PARAMETERS PARAMETER_SET PARTIAL_INFORMATION PERFECT_FORESIGHT PERIODS PLANNER_OBJECTIVE PLOT_CONDITIONAL_FORECAST PLOT_PRIORS PREFILTER PRESAMPLE
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%token OBSERVATION_TRENDS OPTIM OPTIM_WEIGHTS ORDER OSR OSR_PARAMS MAX_DIM_COVA_GROUP ADVANCED OUTFILE OUTVARS
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%token PARALLEL_LOCAL_FILES PARAMETERS PARAMETER_SET PARTIAL_INFORMATION PERFECT_FORESIGHT PERIODS PERIOD PLANNER_OBJECTIVE PLOT_CONDITIONAL_FORECAST PLOT_PRIORS PREFILTER PRESAMPLE
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%token PRINT PRIOR_MC PRIOR_TRUNC PRIOR_MODE PRIOR_MEAN POSTERIOR_MODE POSTERIOR_MEAN POSTERIOR_MEDIAN PRUNING
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%token <string_val> QUOTED_STRING
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%token QZ_CRITERIUM QZ_ZERO_THRESHOLD FULL DSGE_VAR DSGE_VARLAG DSGE_PRIOR_WEIGHT TRUNCATE
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%token RELATIVE_IRF REPLIC SIMUL_REPLIC RPLOT SAVE_PARAMS_AND_STEADY_STATE PARAMETER_UNCERTAINTY
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%token SHOCKS SHOCK_DECOMPOSITION SIGMA_E SIMUL SIMUL_ALGO SIMUL_SEED ENDOGENOUS_TERMINAL_PERIOD
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%token SMOOTHER SQUARE_ROOT_SOLVER STACK_SOLVE_ALGO STEADY_STATE_MODEL SOLVE_ALGO SOLVER_PERIODS
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%token SMOOTHER SMOOTHER2HISTVAL SQUARE_ROOT_SOLVER STACK_SOLVE_ALGO STEADY_STATE_MODEL SOLVE_ALGO SOLVER_PERIODS
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%token STDERR STEADY STOCH_SIMUL SURPRISE SYLVESTER SYLVESTER_FIXED_POINT_TOL REGIMES REGIME
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%token TEX RAMSEY_MODEL RAMSEY_POLICY PLANNER_DISCOUNT DISCRETIONARY_POLICY DISCRETIONARY_TOL
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%token <string_val> TEX_NAME
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@ -270,6 +270,8 @@ statement : parameters
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| model_diagnostics
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| moment_calibration
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| irf_calibration
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| smoother2histval
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| histval_file
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;
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dsample : DSAMPLE INT_NUMBER ';'
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@ -623,6 +625,10 @@ histval_list : histval_list histval_elem
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histval_elem : symbol '(' signed_integer ')' EQUAL expression ';' { driver.hist_val($1, $3, $6); };
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histval_file : HISTVAL_FILE '(' FILENAME EQUAL filename ')' ';'
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{ driver.histval_file($5); }
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;
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model_options : BLOCK { driver.block(); }
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| o_cutoff
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| o_mfs
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@ -2390,6 +2396,23 @@ irf_calibration_item : symbol COMMA symbol COMMA calibration_range ';'
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{ driver.add_irf_calibration_item($1, $3, $6, $8); }
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;
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smoother2histval : SMOOTHER2HISTVAL ';'
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{ driver.smoother2histval(); }
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| SMOOTHER2HISTVAL '(' smoother2histval_options_list ')' ';'
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{ driver.smoother2histval(); }
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;
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smoother2histval_options_list : smoother2histval_option COMMA smoother2histval_options_list
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| smoother2histval_option
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;
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smoother2histval_option : o_infile
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| o_invars
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| o_period
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| o_outfile
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| o_outvars
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;
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o_dr_algo : DR_ALGO EQUAL INT_NUMBER {
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if (*$3 == string("0"))
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driver.warning("dr_algo option is now deprecated, and may be removed in a future version of Dynare");
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@ -2841,6 +2864,12 @@ o_irf_plot_threshold : IRF_PLOT_THRESHOLD EQUAL non_negative_number { driver.opt
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o_consider_all_endogenous : CONSIDER_ALL_ENDOGENOUS { driver.option_str("endo_vars_for_moment_computations_in_estimation", "all_endogenous_variables"); };
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o_consider_only_observed : CONSIDER_ONLY_OBSERVED { driver.option_str("endo_vars_for_moment_computations_in_estimation", "only_observed_variables"); };
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o_infile : INFILE EQUAL filename { driver.option_str("infile", $3); };
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o_invars : INVARS EQUAL '(' symbol_list ')' { driver.option_symbol_list("invars"); };
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o_period : PERIOD EQUAL INT_NUMBER { driver.option_num("period", $3); };
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o_outfile : OUTFILE EQUAL filename { driver.option_str("outfile", $3); };
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o_outvars : OUTVARS EQUAL '(' symbol_list ')' { driver.option_symbol_list("outvars"); };
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range : symbol ':' symbol
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{
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$1->append(":");
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@ -146,6 +146,7 @@ DATE -?[0-9]+([YyAa]|[Mm]([1-9]|1[0-2])|[Qq][1-4]|[Ww]([1-9]{1}|[1-4][0-9]|5[0-2
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<INITIAL>bvar_forecast {BEGIN DYNARE_STATEMENT; return token::BVAR_FORECAST; }
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<INITIAL>dynare_sensitivity {BEGIN DYNARE_STATEMENT; return token::DYNARE_SENSITIVITY;}
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<INITIAL>initval_file {BEGIN DYNARE_STATEMENT; return token::INITVAL_FILE;}
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<INITIAL>histval_file {BEGIN DYNARE_STATEMENT; return token::HISTVAL_FILE;}
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<INITIAL>forecast {BEGIN DYNARE_STATEMENT; return token::FORECAST;}
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<INITIAL>shock_decomposition {BEGIN DYNARE_STATEMENT; return token::SHOCK_DECOMPOSITION;}
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<INITIAL>sbvar {BEGIN DYNARE_STATEMENT; return token::SBVAR;}
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@ -166,6 +167,7 @@ DATE -?[0-9]+([YyAa]|[Mm]([1-9]|1[0-2])|[Qq][1-4]|[Ww]([1-9]{1}|[1-4][0-9]|5[0-2
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<INITIAL>calib_smoother { BEGIN DYNARE_STATEMENT; return token::CALIB_SMOOTHER; }
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<INITIAL>model_diagnostics {BEGIN DYNARE_STATEMENT; return token::MODEL_DIAGNOSTICS;}
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<INITIAL>extended_path {BEGIN DYNARE_STATEMENT; return token::EXTENDED_PATH;}
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<INITIAL>smoother2histval {BEGIN DYNARE_STATEMENT; return token::SMOOTHER2HISTVAL;}
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<DYNARE_STATEMENT>; {
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if (!sigma_e)
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@ -532,7 +534,11 @@ DATE -?[0-9]+([YyAa]|[Mm]([1-9]|1[0-2])|[Qq][1-4]|[Ww]([1-9]{1}|[1-4][0-9]|5[0-2
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<DYNARE_STATEMENT>long_name {return token::LONG_NAME;}
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<DYNARE_STATEMENT>consider_all_endogenous {return token::CONSIDER_ALL_ENDOGENOUS;}
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<DYNARE_STATEMENT>consider_only_observed {return token::CONSIDER_ONLY_OBSERVED;}
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<DYNARE_STATEMENT>infile {return token::INFILE;}
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<DYNARE_STATEMENT>invars {return token::INVARS;}
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<DYNARE_STATEMENT>period {return token::PERIOD;}
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<DYNARE_STATEMENT>outfile {return token::OUTFILE;}
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<DYNARE_STATEMENT>outvars {return token::OUTVARS;}
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<DYNARE_STATEMENT>[\$][^$]*[\$] {
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strtok(yytext+1, "$");
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@ -341,6 +341,17 @@ InitvalFileStatement::writeOutput(ostream &output, const string &basename) const
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|||
<< "initvalf('" << filename << "');" << endl;
|
||||
}
|
||||
|
||||
HistvalFileStatement::HistvalFileStatement(const string &filename_arg) :
|
||||
filename(filename_arg)
|
||||
{
|
||||
}
|
||||
|
||||
void
|
||||
HistvalFileStatement::writeOutput(ostream &output, const string &basename) const
|
||||
{
|
||||
output << "histvalf('" << filename << "');" << endl;
|
||||
}
|
||||
|
||||
HomotopyStatement::HomotopyStatement(const homotopy_values_t &homotopy_values_arg,
|
||||
const SymbolTable &symbol_table_arg) :
|
||||
homotopy_values(homotopy_values_arg),
|
||||
|
|
|
|||
|
|
@ -1,5 +1,5 @@
|
|||
/*
|
||||
* Copyright (C) 2003-2012 Dynare Team
|
||||
* Copyright (C) 2003-2014 Dynare Team
|
||||
*
|
||||
* This file is part of Dynare.
|
||||
*
|
||||
|
|
@ -122,6 +122,15 @@ public:
|
|||
virtual void writeOutput(ostream &output, const string &basename) const;
|
||||
};
|
||||
|
||||
class HistvalFileStatement : public Statement
|
||||
{
|
||||
private:
|
||||
const string filename;
|
||||
public:
|
||||
HistvalFileStatement(const string &filename_arg);
|
||||
virtual void writeOutput(ostream &output, const string &basename) const;
|
||||
};
|
||||
|
||||
class HomotopyStatement : public Statement
|
||||
{
|
||||
public:
|
||||
|
|
|
|||
|
|
@ -2679,3 +2679,16 @@ void ParsingDriver::end_irf_calibration()
|
|||
irf_calibration_constraints.clear();
|
||||
}
|
||||
|
||||
void
|
||||
ParsingDriver::smoother2histval()
|
||||
{
|
||||
mod_file->addStatement(new Smoother2histvalStatement(options_list));
|
||||
options_list.clear();
|
||||
}
|
||||
|
||||
void
|
||||
ParsingDriver::histval_file(string *filename)
|
||||
{
|
||||
mod_file->addStatement(new HistvalFileStatement(*filename));
|
||||
delete filename;
|
||||
}
|
||||
|
|
|
|||
|
|
@ -665,6 +665,9 @@ public:
|
|||
void add_irf_calibration_item(string *endo, string *periods, string *exo, vector<string *> *range);
|
||||
//! End a moment_calibration statement
|
||||
void end_irf_calibration();
|
||||
|
||||
void smoother2histval();
|
||||
void histval_file(string *filename);
|
||||
};
|
||||
|
||||
#endif // ! PARSING_DRIVER_HH
|
||||
|
|
|
|||
|
|
@ -173,7 +173,9 @@ MODFILES = \
|
|||
gradient/fs2000_numgrad_5.mod \
|
||||
filter_step_ahead/fs2000_filter_step_ahead_bayesian.mod \
|
||||
filter_step_ahead/fs2000_filter_step_ahead_ML.mod \
|
||||
loglinear/example4_loglinear.mod
|
||||
loglinear/example4_loglinear.mod \
|
||||
smoother2histval/fs2000_simul.mod \
|
||||
smoother2histval/fs2000_smooth.mod
|
||||
|
||||
XFAIL_MODFILES = ramst_xfail.mod \
|
||||
estim_param_in_shock_value.mod
|
||||
|
|
@ -244,6 +246,9 @@ dsge-var/dsgevar_forward_estimated_lambda.m.trs: dsge-var/simul_hybrid.m.trs
|
|||
dsge-var/dsgevar_forward_calibrated_lambda.o.trs: dsge-var/simul_hybrid.o.trs
|
||||
dsge-var/dsgevar_forward_estimated_lambda.o.trs: dsge-var/simul_hybrid.o.trs
|
||||
|
||||
smoother2histval/fs2000_simul.m.trs: smoother2histval/fs2000_smooth.m.trs
|
||||
smoother2histval/fs2000_simul.o.trs: smoother2histval/fs2000_smooth.o.trs
|
||||
|
||||
# Matlab TRS Files
|
||||
M_TRS_FILES = $(patsubst %.mod, %.m.trs, $(MODFILES))
|
||||
M_TRS_FILES += run_block_byte_tests_matlab.m.trs run_reporting_test_matlab.m.trs run_all_unitary_tests.m.trs
|
||||
|
|
|
|||
|
|
@ -0,0 +1,60 @@
|
|||
// Test that histval_file works
|
||||
// Note that an observation equation has been modified in order to have an aux var for lagged endo
|
||||
|
||||
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(-2);
|
||||
gp_obs = (P/P(-1))*m(-1)/dA;
|
||||
end;
|
||||
|
||||
initval;
|
||||
k = 6;
|
||||
m = mst;
|
||||
P = 2.25;
|
||||
c = 0.45;
|
||||
e = 1;
|
||||
W = 4;
|
||||
R = 1.02;
|
||||
d = 0.85;
|
||||
n = 0.19;
|
||||
l = 0.86;
|
||||
y = 0.6;
|
||||
gy_obs = exp(gam);
|
||||
gp_obs = exp(-gam);
|
||||
dA = exp(gam);
|
||||
end;
|
||||
|
||||
shocks;
|
||||
var e_a; stderr 0.014;
|
||||
var e_m; stderr 0.005;
|
||||
end;
|
||||
|
||||
steady;
|
||||
|
||||
histval_file(filename = 'fs2000_histval.mat');
|
||||
|
||||
simul(periods = 30);
|
||||
|
|
@ -0,0 +1,78 @@
|
|||
// Test that smoother2histval works (with an outfile)
|
||||
// Note that an observation equation has been modified in order to have an aux var for lagged endo
|
||||
|
||||
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(-2);
|
||||
gp_obs = (P/P(-1))*m(-1)/dA;
|
||||
end;
|
||||
|
||||
initval;
|
||||
k = 6;
|
||||
m = mst;
|
||||
P = 2.25;
|
||||
c = 0.45;
|
||||
e = 1;
|
||||
W = 4;
|
||||
R = 1.02;
|
||||
d = 0.85;
|
||||
n = 0.19;
|
||||
l = 0.86;
|
||||
y = 0.6;
|
||||
gy_obs = exp(gam);
|
||||
gp_obs = exp(-gam);
|
||||
dA = exp(gam);
|
||||
end;
|
||||
|
||||
shocks;
|
||||
var e_a; stderr 0.014;
|
||||
var e_m; stderr 0.005;
|
||||
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_.solve_tolf = 1e-12;
|
||||
|
||||
estimation(order=1,datafile=fsdat_simul,nobs=192,loglinear,mh_replic=1500,mh_nblocks=1,mh_jscale=0.8,smoother);
|
||||
|
||||
smoother2histval(period = 5, outfile = 'fs2000_histval.mat');
|
||||
Loading…
Reference in New Issue