fs2000_corr_ME.mod: switch to simulated, longer data set
parent
5a3ae27b13
commit
a67cd58d1f
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@ -772,8 +772,7 @@ mod_and_m_tests = [
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'pruning/AS_pruned_state_space_red_shock.mod' ],
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'extra' : [ 'pruning/Andreasen_et_al_2018_Dynare44Pruning_v2.mat'] },
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{ 'test' : [ 'pruning/fs2000_pruning.mod' ] },
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{ 'test' : [ 'measurement_errors/fs2000_corr_me_ml_mcmc/fs2000_corr_ME.mod' ],
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'extra' : [ 'measurement_errors/fs2000_corr_me_ml_mcmc/fsdat_simul.m'] },
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{ 'test' : [ 'measurement_errors/fs2000_corr_me_ml_mcmc/fs2000_corr_ME.mod' ] },
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{ 'test' : [ 'TeX/fs2000_corr_ME.mod' ],
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'extra' : [ 'fs2000/fsdat_simul.m'] },
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{ 'test' : [ 'estimation/MH_recover/fs2000_recover.mod',
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@ -94,26 +94,32 @@ varobs gp_obs gy_obs;
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shocks;
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var e_a; stderr 0.014;
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var e_m; stderr 0.005;
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corr gy_obs,gp_obs = 0.5;
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corr gy_obs,gp_obs = 0.25;
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end;
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steady;
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stoch_simul(order=1,irf=0,nomoments,nofunctions,periods=1000);
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verbatim;
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temp=oo_.endo_simul([strmatch('gy_obs',M_.endo_names,'exact'),strmatch('gp_obs',M_.endo_names,'exact')],:);
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exo_simul = randn(2,options_.periods)'*chol([0.005 0.25*sqrt(0.005*0.01); 0.25*sqrt(0.005*0.01) 0.01]);
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temp=temp'+exo_simul;
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gy_obs=temp(:,1);
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gp_obs=temp(:,2);
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save('fsdat_simul_corr.mat','gy_obs','gp_obs')
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end;
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estimated_params;
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alp, 0.356;
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gam, 0.0085;
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del, 0.01;
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stderr e_a, 0.035449;
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stderr e_m, 0.008862;
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corr e_m, e_a, 0;
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stderr gp_obs, 1;
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stderr gy_obs, 1;
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corr gp_obs, gy_obs,0;
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alp, 0.33, 0.2, 0.4;
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gam, 0.0085, 0 , 0.1;
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del, 0.01, 0, 0.1;
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stderr e_a, 0.014, 0, Inf;
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stderr e_m, 0.005, 0, Inf;
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corr e_m, e_a, 0, 0, 1;
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stderr gp_obs, 1, 0, Inf;
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stderr gy_obs, 1, 0, Inf;
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corr gp_obs, gy_obs,0, 0 , 1;
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end;
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warning('off','MATLAB:nearlySingularMatrix')
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estimation(order=1,datafile=fsdat_simul,silent_optimizer,prior_trunc=0,mode_check,smoother,filter_decomposition,forecast = 8,filtered_vars,filter_step_ahead=[1,3],irf=20,tex) m P c e W R k d y gy_obs;
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estimation(order=1,datafile=fsdat_simul_corr,silent_optimizer,prior_trunc=0,mode_check,smoother,filter_decomposition,forecast = 8,filtered_vars,filter_step_ahead=[1,3],irf=20,tex) m P c e W R k d y gy_obs;
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@ -121,14 +127,14 @@ estimated_params(overwrite);
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//alp, beta_pdf, 0.356, 0.02;
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gam, normal_pdf, 0.0085, 0.003;
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//del, beta_pdf, 0.01, 0.005;
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stderr e_a, inv_gamma_pdf, 0.035449, inf;
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stderr e_a, inv_gamma_pdf, 0.05449, inf;
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stderr e_m, inv_gamma_pdf, 0.008862, inf;
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corr e_m, e_a, normal_pdf, 0, 0.2;
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stderr gp_obs, inv_gamma_pdf, 0.001, inf;
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corr e_m, e_a, , -1, 1, normal_pdf, 0, 0.2;
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stderr gp_obs, 0.1, inv_gamma_pdf, 0.001, inf;
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//stderr gy_obs, inv_gamma_pdf, 0.001, inf;
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//corr gp_obs, gy_obs,normal_pdf, 0, 0.2;
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end;
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estimation(mode_compute=5,silent_optimizer,order=1,datafile=fsdat_simul,mode_check,smoother,filter_decomposition,mh_replic=2000, mh_nblocks=1, mh_jscale=0.8,forecast = 8,bayesian_irf,filtered_vars,filter_step_ahead=[1,3],irf=20) m P c e W R k d y;
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estimation(mode_compute=5,silent_optimizer,order=1,datafile=fsdat_simul_corr,mode_check,smoother,filter_decomposition,mh_replic=2000, mh_nblocks=1, mh_jscale=0.8,forecast = 8,bayesian_irf,filtered_vars,filter_step_ahead=[1,3],irf=20) m P c e W R k d y;
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shock_decomposition y W R;
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//identification(advanced=1,max_dim_cova_group=3,prior_mc=250);
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@ -1,416 +0,0 @@
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% Generated data, used by fs2000.mod
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gy_obs =[
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1.0030045
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1.0002599
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0.99104664
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1.0321162
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1.0223545
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1.0043614
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0.98626929
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1.0092127
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1.0357197
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1.0150827
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1.0051548
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0.98465775
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0.99132132
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0.99904153
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1.0044641
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1.0179198
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1.0113462
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0.99409421
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0.99904293
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1.0448336
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0.99932433
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1.0057004
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0.99619787
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1.0267504
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1.0077645
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1.0058026
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1.0025891
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0.9939097
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0.99604693
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0.99908569
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1.0151094
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0.99348134
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1.0039124
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1.0145805
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0.99800868
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0.98578138
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1.0065771
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0.99843919
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0.97979062
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0.98413351
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0.96468174
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1.0273857
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1.0225211
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0.99958667
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1.0111157
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1.0099585
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0.99480311
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1.0079265
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0.98924573
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1.0070613
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1.0075706
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0.9937151
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1.0224711
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1.0018891
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0.99051863
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1.0042944
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1.0184055
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0.99419508
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0.99756624
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1.0015983
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0.9845772
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1.0004407
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1.0116237
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0.9861885
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1.0073094
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0.99273355
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1.0013224
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0.99777979
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1.0301686
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0.96809556
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0.99917088
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0.99949253
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0.96590004
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1.0083938
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0.96662298
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1.0221454
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1.0069792
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1.0343996
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1.0066531
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1.0072525
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0.99743563
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0.99723703
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1.000372
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0.99013917
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1.0095223
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0.98864268
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0.98092242
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0.98886488
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1.0030341
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1.01894
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0.99155059
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0.99533235
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0.99734316
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1.0047356
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1.0082737
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0.98425116
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0.99949212
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1.0055899
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1.0065075
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0.99385069
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0.98867975
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0.99804843
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1.0184038
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0.99301902
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1.0177222
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1.0051924
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1.0187852
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1.0098985
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1.0097172
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1.0145811
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0.98721038
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1.0361722
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1.0105821
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0.99469309
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0.98626785
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1.013871
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0.99858924
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0.99302637
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1.0042186
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0.99623745
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0.98545708
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1.0225435
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1.0011861
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1.0130321
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0.97861347
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1.0228193
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0.99627435
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1.0272779
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1.0075172
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1.0096762
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1.0129306
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0.99966549
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1.0262882
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1.0026914
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1.0061475
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1.009523
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1.0036127
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0.99762992
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0.99092634
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1.0058469
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0.99887292
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1.0060653
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0.98673557
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0.98895709
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0.99111967
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0.990118
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0.99788054
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0.97054709
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1.0099157
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1.0107431
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0.99518695
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1.0114048
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0.99376019
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1.0023369
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0.98783327
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1.0051727
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1.0100462
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0.98607387
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1.0000064
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0.99692442
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1.012225
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0.99574078
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0.98642833
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0.99008207
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1.0197359
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1.0112849
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0.98711069
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0.99402748
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1.0242141
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1.0135349
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0.99842505
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1.0130714
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0.99887044
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1.0059058
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1.0185998
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1.0073314
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0.98687706
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1.0084551
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0.97698964
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0.99482714
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1.0015302
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1.0105331
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1.0261767
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1.0232822
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1.0084176
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0.99785167
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0.99619733
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1.0055223
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1.0076326
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0.99205461
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1.0030587
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1.0137012
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1.0145878
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1.0190297
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1.0000681
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1.0153894
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1.0140649
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1.0007236
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0.97961463
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1.0125257
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1.0169503
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1.0197363
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1.0221185
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];
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gp_obs =[
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1.0079715
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1.0115853
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1.0167502
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1.0068957
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1.0138189
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1.0258364
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1.0243817
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1.017373
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1.0020171
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1.0003742
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1.0008974
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1.0104804
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1.0116393
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1.0114294
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0.99932124
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0.99461459
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1.0170349
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1.0051446
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1.020639
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1.0051964
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1.0093042
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1.007068
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1.01086
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0.99590086
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1.0014883
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1.0117332
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0.9990095
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1.0108284
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1.0103672
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1.0036722
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1.0005124
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1.0190331
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1.0130978
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1.007842
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1.0285436
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1.0322054
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1.0213403
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1.0246486
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1.0419306
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1.0258867
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1.0156316
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0.99818589
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0.9894107
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1.0127584
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1.0146882
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1.0136529
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1.0340107
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1.0343652
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1.02971
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1.0077932
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1.0198114
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1.013971
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1.0061083
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1.0089573
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1.0037926
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1.0082071
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0.99498155
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0.99735772
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0.98765026
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1.006465
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1.0196088
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1.0053233
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1.0119974
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1.0188066
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1.0029302
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1.0183459
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1.0034218
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1.0158799
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0.98824798
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1.0274357
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1.0168832
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1.0180641
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1.0294657
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0.98864091
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1.0358326
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0.99889969
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1.0178322
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0.99813566
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1.0073549
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1.0215985
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1.0084245
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1.0080939
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1.0157021
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1.0075815
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1.0032633
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1.0117871
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1.0209276
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1.0077569
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0.99680958
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1.0120266
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1.0017625
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1.0138811
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1.0198358
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1.0059629
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1.0115416
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1.0319473
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1.0167074
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1.0116111
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1.0048627
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1.0217622
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1.0125221
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1.0142045
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0.99792469
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0.99823971
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0.99561547
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0.99850373
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0.9898464
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1.0030963
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1.0051373
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1.0004213
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1.0144117
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0.97185592
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0.9959518
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1.0073529
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1.0051603
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0.98642572
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0.99433423
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1.0112131
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1.0007695
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1.0176867
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1.0134363
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0.99926191
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0.99879835
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0.99878754
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1.0331374
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1.0077797
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1.0127221
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1.0047393
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1.0074106
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0.99784213
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1.0056495
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1.0057708
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0.98817494
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0.98742176
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0.99930555
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1.0000687
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1.0129754
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1.009529
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1.0226731
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1.0149534
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1.0164295
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1.0239469
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1.0293458
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1.026199
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1.0197525
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1.0126818
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1.0054473
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1.0254423
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1.0069461
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1.0153135
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1.0337515
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1.0178187
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1.0240469
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1.0079489
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1.0186953
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1.0008628
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1.0113799
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1.0140118
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1.0168007
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1.011441
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0.98422774
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0.98909729
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1.0157859
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1.0151586
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0.99756232
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0.99497777
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1.0102841
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1.0221659
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0.9937759
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0.99877193
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1.0079433
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0.99667692
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1.0095959
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1.0128804
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1.0156949
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1.0111951
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1.0228887
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1.0122083
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1.0190197
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1.0074927
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1.0268096
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0.99689352
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0.98948474
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1.0024938
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1.0105543
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1.014116
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1.0141217
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1.0056504
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1.0101026
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1.0105069
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0.99619053
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1.0059439
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0.99449473
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0.99482458
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1.0037702
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1.0068087
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0.99575975
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1.0030815
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1.0334014
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0.99879386
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0.99625634
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1.0171195
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0.99233844
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];
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