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k_order_perturbation: fixing bug in making of tensor of 3rd order derivatives 

modifying tests and adding a new test against dynare++ output (fs2000k4.mod)
time-shift
Michel Juillard 2010-05-22 16:12:39 +02:00
parent 7f74639cc1
commit a3d798836e
4 changed files with 109 additions and 11 deletions
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26
mex/sources/k_order_perturbation/k_ord_dynare.cc
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@ -211,11 +211,27 @@ KordpDynare::populateDerivativesContainer(const TwoDMatrix &g, int ord, const ve
s[2] = revOrder[s2];
else
s[2] = s2;
if ((s[2] >= s[1]) && (s[1] >= s[0]))
{
double x = g.get(i, 2);
mdTi->insert(s, j, x);
}
// reordering symmetry indices in increasing order
if (s[0] > s[1])
{
int temp = s[0];
s[0] = s[1];
s[1] = temp;
}
if (s[1] > s[2])
{
int temp = s[1];
s[1] = s[2];
s[2] = temp;
}
if (s[0] > s[1])
{
int temp = s[0];
s[0] = s[1];
s[1] = temp;
}
double x = g.get(i, 2);
mdTi->insert(s, j, x);
}
}

8
tests/k_order_perturbation/fs2000k++.mod
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@ -1,6 +1,6 @@
/* Used to check that Dynare++ and Dynare with k_order_solver=1 give the same result */
var m m_1 P P_1 c e W R k d n l gy_obs gp_obs y dA P2 c2;
var m m_1 P P_1 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;
@ -16,7 +16,7 @@ del = 0.02;
model;
dA = exp(gam+e_a);
log(m) = (1-rho)*log(mst) + rho*log(m_1(-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)))))/(c2(+1)*P2(+1)*m(+1))=0;
-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;
@ -28,8 +28,6 @@ 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(-1))*m_1(-1)/dA;
P2 = P(+1);
c2 = c(+1);
m_1 = m;
P_1 = P;
end;
@ -51,8 +49,6 @@ y = 0.6;
gy_obs = exp(gam);
gp_obs = exp(-gam);
dA = exp(gam);
P2=P;
c2=c;
end;
vcov = [0.014, 0;0, 0.005];

85
tests/k_order_perturbation/fs2000k4.mod Normal file
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@ -0,0 +1,85 @@
// checks whether second order coefficients are the same with order=2 and order=3 with k_order_solver=1
var m m_1 P P_1 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;
gst = 1/exp(gam);
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 );
model(use_dll);
dA = exp(gam+e_a);
log(m) = (1-rho)*log(mst) + rho*log(m_1(-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(-1))*m_1(-1)/dA;
m_1 = m;
P_1 = P;
end;
initval;
dA = exp(gam);
m = mst;
m_1=mst;
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;
P_1 = P;
m_1 = m;
end;
shocks;
var e_a; stderr 0.014;
var e_m; stderr 0.005;
end;
steady;
stoch_simul(order=3,irf=100);
if ~exist('fs2000k++.mat','file');
error('fs2000k++ must be run first');
end;
oo1 = load('fs2000k++');
kk=[];
for i=1:M_.orig_endo_nbr;
kk(i) = strmatch(deblank(M_.endo_names(oo_.dr.order_var(i),:)),oo1.dyn_vars,'exact');
end
kk(17) = 17;
if max(max(abs(oo_.dr.g_3-oo1.dyn_g_3(kk,:)))) < 1e-12;
disp('OK');
else;
error('comparing 3rd order with dynare++ fails');
end;

1
tests/k_order_perturbation/run_fs2000kplusplus.m Normal file
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@ -0,0 +1 @@
system('../../dynare++/src/dynare++ --order 3 --no-centralize fs2000k++.mod')