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Fixed integration test for trend component model (equation ordering).

time-shift
Stéphane Adjemian(Charybdis) 2018-09-28 17:39:14 +02:00
parent bbbaabc702
commit a680cea095
Signed by untrusted user who does not match committer: stepan
GPG Key ID: A6D44CB9C64CE77B
3 changed files with 170 additions and 32 deletions
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4
tests/Makefile.am
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@ -368,6 +368,7 @@ MODFILES = \
trend-component-and-var-models/tcm4.mod \
trend-component-and-var-models/tcm5.mod \
trend-component-and-var-models/tcm6.mod \
trend-component-and-var-models/tcm7.mod \
trend-component-and-var-models/legacy/vm1.mod \
trend-component-and-var-models/legacy/vm2.mod \
trend-component-and-var-models/legacy/vm3.mod \
@ -595,6 +596,9 @@ lmmcp/sw_newton.o.trs: lmmcp/sw_lmmcp.o.trs
var-expectations/4/example.m.trs: var-expectations/3/example.m.trs
var-expectations/4/example.o.trs: var-expectations/3/example.o.trs
trend-component-and-var-models/tcm7.m.trs: trend-component-and-var-models/tcm6.m.trs
trend-component-and-var-models/tcm7.o.trs: trend-component-and-var-models/tcm6.o.trs
observation_trends_and_prefiltering/MCMC: m/observation_trends_and_prefiltering/MCMC o/observation_trends_and_prefiltering/MCMC
m/observation_trends_and_prefiltering/MCMC: $(patsubst %.mod, %.m.trs, $(filter observation_trends_and_prefiltering/MCMC/%.mod, $(MODFILES)))
o/observation_trends_and_prefiltering/MCMC: $(patsubst %.mod, %.o.trs, $(filter observation_trends_and_prefiltering/MCMC/%.mod, $(MODFILES)))

60
tests/trend-component-and-var-models/tcm6.mod
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@ -34,7 +34,7 @@ parameters u2_q_yed_ecm_u2_q_yed_L1
u2_stn_ecm_u2_stn_L1
u2_stn_u2_q_yed_L1
u2_stn_u2_g_yer_L1
u2_q_yed_ecm_u2_g_yer_L1
u2_q_yed_ecm_u2_g_yer_L1
u2_g_yer_ecm_u2_g_yer_L1
u2_stn_ecm_u2_g_yer_L1
u2_hh_ocor_ecm_u2_q_yed_L1
@ -57,33 +57,33 @@ u2_hh_cor_pac_u2_hh_cor_L1 = 0.4;
model;
[name='U2_Q_YED', data_type='nonstationary']
diff(U2_Q_YED) = u2_q_yed_ecm_u2_q_yed_L1 * (U2_Q_YED(-1) - U2_EHIC(-1))
diff(U2_Q_YED) = u2_q_yed_ecm_u2_q_yed_L1 * (U2_Q_YED(-1) - U2_EHIC(-1))
+ u2_q_yed_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
+ u2_q_yed_ecm_u2_g_yer_L1 * (U2_G_YER(-1)- U2_G_EYER(-1))
+ u2_q_yed_u2_q_yed_L1 * diff(U2_Q_YED(-1))
+ u2_q_yed_u2_g_yer_L1 * diff(U2_G_YER(-1))
+ u2_q_yed_u2_stn_L1 * diff(U2_STN(-1))
+ res_U2_Q_YED ;
+ u2_q_yed_ecm_u2_g_yer_L1 * (U2_G_YER(-1)- U2_G_EYER(-1))
+ u2_q_yed_u2_q_yed_L1 * diff(U2_Q_YED(-1))
+ u2_q_yed_u2_g_yer_L1 * diff(U2_G_YER(-1))
+ u2_q_yed_u2_stn_L1 * diff(U2_STN(-1))
+ res_U2_Q_YED ;
[name='U2_G_YER', data_type='nonstationary']
diff(U2_G_YER) = u2_g_yer_ecm_u2_q_yed_L1 * (U2_Q_YED(-1) - U2_EHIC(-1))
diff(U2_G_YER) = u2_g_yer_ecm_u2_q_yed_L1 * (U2_Q_YED(-1) - U2_EHIC(-1))
+ u2_g_yer_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
+ u2_g_yer_ecm_u2_g_yer_L1 * (U2_G_YER(-1) - U2_G_EYER(-1))
+ u2_g_yer_u2_q_yed_L1 * diff(U2_Q_YED(-1))
+ u2_g_yer_u2_g_yer_L1 * diff(U2_G_YER(-1))
+ u2_g_yer_u2_stn_L1 * diff(U2_STN(-1))
+ u2_g_yer_ecm_u2_g_yer_L1 * (U2_G_YER(-1) - U2_G_EYER(-1))
+ u2_g_yer_u2_q_yed_L1 * diff(U2_Q_YED(-1))
+ u2_g_yer_u2_g_yer_L1 * diff(U2_G_YER(-1))
+ u2_g_yer_u2_stn_L1 * diff(U2_STN(-1))
+ res_U2_G_YER ;
[name='U2_STN', data_type='nonstationary']
diff(U2_STN) = u2_stn_ecm_u2_q_yed_L1 * (U2_Q_YED(-1) - U2_EHIC(-1))
diff(U2_STN) = u2_stn_ecm_u2_q_yed_L1 * (U2_Q_YED(-1) - U2_EHIC(-1))
+ u2_stn_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
+ u2_stn_ecm_u2_g_yer_L1 * (U2_G_YER(-1) - U2_G_EYER(-1))
+ u2_stn_u2_q_yed_L1 * diff(U2_Q_YED(-1))
+ u2_stn_u2_g_yer_L1 * diff(U2_G_YER(-1))
+ u2_stn_ecm_u2_g_yer_L1 * (U2_G_YER(-1) - U2_G_EYER(-1))
+ u2_stn_u2_q_yed_L1 * diff(U2_Q_YED(-1))
+ u2_stn_u2_g_yer_L1 * diff(U2_G_YER(-1))
+ res_U2_STN ;
[name='U2_ESTN', data_type='nonstationary']
U2_ESTN = U2_ESTN(-1) + res_U2_ESTN ;
U2_ESTN = U2_ESTN(-1) + res_U2_ESTN ;
[name='U2_EHIC', data_type='nonstationary']
U2_EHIC = U2_EHIC(-1) + res_U2_EHIC ;
@ -92,46 +92,42 @@ U2_EHIC = U2_EHIC(-1) + res_U2_EHIC ;
U2_G_EYER = U2_G_EYER(-1) + res_U2_G_EYER ;
[name='U2_HH_OCOR', data_type='nonstationary']
diff(diff(log(U2_HH_OCOR))) = u2_hh_ocor_ecm_u2_q_yed_L1 * (U2_Q_YED(-1) - U2_EHIC(-1))
diff(diff(log(U2_HH_OCOR))) = u2_hh_ocor_ecm_u2_q_yed_L1 * (U2_Q_YED(-1) - U2_EHIC(-1))
+ u2_hh_ocor_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
+ u2_hh_ocor_ecm_u2_g_yer_L1 * (U2_G_YER(-1) - U2_G_EYER(-1))
+ u2_hh_ocor_ecm_u2_hh_ocor_L1 * (diff(log(U2_HH_OCOR(-1))) - U2_H_Q_YER400(-1))
+ u2_hh_ocor_u2_q_yed_L1 * diff(U2_Q_YED(-1))
+ u2_hh_ocor_u2_g_yer_L1 * diff(U2_G_YER(-1))
+ u2_hh_ocor_u2_stn_L1 * diff(U2_STN(-1))
+ u2_hh_ocor_u2_hh_ocor_L1 * diff(diff(log(U2_HH_OCOR(-1))))
+ u2_hh_ocor_u2_q_yed_L1 * diff(U2_Q_YED(-1))
+ u2_hh_ocor_u2_g_yer_L1 * diff(U2_G_YER(-1))
+ u2_hh_ocor_u2_stn_L1 * diff(U2_STN(-1))
+ u2_hh_ocor_u2_hh_ocor_L1 * diff(diff(log(U2_HH_OCOR(-1))))
+ res_U2_HH_OCOR ;
[name='U2_H_Q_YER400', data_type='nonstationary']
U2_H_Q_YER400 = U2_H_Q_YER400(-1) + res_U2_H_Q_YER;
[name='zpac']
diff(log(U2_HH_COR)) = ecm_pac*(log(U2_HH_COR(-1))-log(U2_HH_OCOR(-1))) +
u2_hh_cor_pac_u2_hh_cor_L1*diff(log(U2_HH_COR(-1))) +
diff(log(U2_HH_COR)) = ecm_pac*(log(U2_HH_COR(-1))-log(U2_HH_OCOR(-1))) +
u2_hh_cor_pac_u2_hh_cor_L1*diff(log(U2_HH_COR(-1))) +
pac_expectation(pacman) +
res_ez;
end;
// Random calibration for the TREND_COMPONENT_MODEL's parameters.
M_.params(1:25) = randn(25, 1);
params = M_.params;
trend_component_model(model_name=toto, eqtags=['U2_Q_YED', 'U2_G_YER', 'U2_STN', 'U2_EHIC', 'U2_G_EYER', 'U2_ESTN', 'U2_HH_OCOR', 'U2_H_Q_YER400'], targets=['U2_EHIC', 'U2_G_EYER', 'U2_ESTN', 'U2_H_Q_YER400']);
pac_model(auxiliary_model_name=toto, discount=beta, model_name=pacman, growth = U2_H_Q_YER400);
pac.initialize('pacman');
C0 = oo_.trend_component.toto.CompanionMatrix;
trend_component_model(model_name=titi, eqtags=['U2_Q_YED', 'U2_G_YER', 'U2_STN', 'U2_EHIC', 'U2_G_EYER', 'U2_ESTN', 'U2_HH_OCOR', 'U2_H_Q_YER400'], targets=['U2_EHIC', 'U2_G_EYER', 'U2_ESTN', 'U2_H_Q_YER400']);
trend_component_model(model_name=titi, eqtags=['U2_Q_YED', 'U2_G_YER', 'U2_STN', 'U2_EHIC', 'U2_G_EYER', 'U2_ESTN', 'U2_HH_OCOR', 'U2_H_Q_YER400'], targets=['U2_G_EYER', 'U2_H_Q_YER400', 'U2_ESTN', 'U2_EHIC']);
pac_model(auxiliary_model_name=titi, discount=beta, model_name=pacman1, growth = U2_H_Q_YER400);
pac.initialize('pacman1');
C1 = oo_.trend_component.titi.CompanionMatrix;
save('tcm6_data.mat', 'C0', 'C1', 'params');
trend_component_model(model_name=tata, eqtags=['U2_Q_YED', 'U2_G_YER', 'U2_STN', 'U2_G_EYER', 'U2_H_Q_YER400', 'U2_EHIC', 'U2_HH_OCOR', 'U2_ESTN'], targets=['U2_EHIC', 'U2_G_EYER', 'U2_ESTN', 'U2_H_Q_YER400']);
pac_model(auxiliary_model_name=tata, discount=beta, model_name=pacman2, growth = U2_H_Q_YER400);
pac.initialize('pacman2');
C2 = oo_.trend_component.tata.CompanionMatrix;
if any(abs(C0(:)-C1(:)))>1e-12 || any(abs(C0(:)-C2(:)))>1e-12
if any(abs(C0(:)-C1(:)))>1e-12
error('Companion matrix is not independent of the ordering of the targets.')
end

138
tests/trend-component-and-var-models/tcm7.mod Normal file
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@ -0,0 +1,138 @@
// --+ options: stochastic,json=compute +--
var U2_Q_YED
U2_G_YER
U2_STN
U2_EHIC
U2_ESTN
U2_G_EYER
U2_HH_OCOR
U2_HH_COR
U2_H_Q_YER400 ;
varexo res_U2_Q_YED
res_U2_G_YER
res_U2_STN
res_U2_EHIC
res_U2_ESTN
res_U2_G_EYER
res_U2_HH_OCOR
res_U2_H_Q_YER
res_ez ;
parameters u2_q_yed_ecm_u2_q_yed_L1
u2_q_yed_ecm_u2_stn_L1
u2_q_yed_u2_q_yed_L1
u2_q_yed_u2_g_yer_L1
u2_q_yed_u2_stn_L1
u2_g_yer_ecm_u2_q_yed_L1
u2_g_yer_ecm_u2_stn_L1
u2_g_yer_u2_q_yed_L1
u2_g_yer_u2_g_yer_L1
u2_g_yer_u2_stn_L1
u2_stn_ecm_u2_q_yed_L1
u2_stn_ecm_u2_stn_L1
u2_stn_u2_q_yed_L1
u2_stn_u2_g_yer_L1
u2_q_yed_ecm_u2_g_yer_L1
u2_g_yer_ecm_u2_g_yer_L1
u2_stn_ecm_u2_g_yer_L1
u2_hh_ocor_ecm_u2_q_yed_L1
u2_hh_ocor_ecm_u2_stn_L1
u2_hh_ocor_ecm_u2_g_yer_L1
u2_hh_ocor_u2_q_yed_L1
u2_hh_ocor_u2_g_yer_L1
u2_hh_ocor_u2_stn_L1
u2_hh_ocor_ecm_u2_hh_ocor_L1
u2_hh_ocor_u2_hh_ocor_L1
beta
ecm_pac
u2_hh_cor_pac_u2_hh_cor_L1 ;
beta = 0.98 ;
ecm_pac = 0.2;
u2_hh_cor_pac_u2_hh_cor_L1 = 0.4;
model;
[name='U2_G_YER', data_type='nonstationary']
diff(U2_G_YER) = u2_g_yer_ecm_u2_q_yed_L1 * (U2_Q_YED(-1) - U2_EHIC(-1))
+ u2_g_yer_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
+ u2_g_yer_ecm_u2_g_yer_L1 * (U2_G_YER(-1) - U2_G_EYER(-1))
+ u2_g_yer_u2_q_yed_L1 * diff(U2_Q_YED(-1))
+ u2_g_yer_u2_g_yer_L1 * diff(U2_G_YER(-1))
+ u2_g_yer_u2_stn_L1 * diff(U2_STN(-1))
+ res_U2_G_YER ;
[name='U2_Q_YED', data_type='nonstationary']
diff(U2_Q_YED) = u2_q_yed_ecm_u2_q_yed_L1 * (U2_Q_YED(-1) - U2_EHIC(-1))
+ u2_q_yed_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
+ u2_q_yed_ecm_u2_g_yer_L1 * (U2_G_YER(-1)- U2_G_EYER(-1))
+ u2_q_yed_u2_q_yed_L1 * diff(U2_Q_YED(-1))
+ u2_q_yed_u2_g_yer_L1 * diff(U2_G_YER(-1))
+ u2_q_yed_u2_stn_L1 * diff(U2_STN(-1))
+ res_U2_Q_YED ;
[name='U2_ESTN', data_type='nonstationary']
U2_ESTN = U2_ESTN(-1) + res_U2_ESTN ;
[name='U2_EHIC', data_type='nonstationary']
U2_EHIC = U2_EHIC(-1) + res_U2_EHIC ;
[name='U2_G_EYER', data_type='nonstationary']
U2_G_EYER = U2_G_EYER(-1) + res_U2_G_EYER ;
[name='U2_HH_OCOR', data_type='nonstationary']
diff(diff(log(U2_HH_OCOR))) = u2_hh_ocor_ecm_u2_q_yed_L1 * (U2_Q_YED(-1) - U2_EHIC(-1))
+ u2_hh_ocor_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
+ u2_hh_ocor_ecm_u2_g_yer_L1 * (U2_G_YER(-1) - U2_G_EYER(-1))
+ u2_hh_ocor_ecm_u2_hh_ocor_L1 * (diff(log(U2_HH_OCOR(-1))) - U2_H_Q_YER400(-1))
+ u2_hh_ocor_u2_q_yed_L1 * diff(U2_Q_YED(-1))
+ u2_hh_ocor_u2_g_yer_L1 * diff(U2_G_YER(-1))
+ u2_hh_ocor_u2_stn_L1 * diff(U2_STN(-1))
+ u2_hh_ocor_u2_hh_ocor_L1 * diff(diff(log(U2_HH_OCOR(-1))))
+ res_U2_HH_OCOR ;
[name='U2_H_Q_YER400', data_type='nonstationary']
U2_H_Q_YER400 = U2_H_Q_YER400(-1) + res_U2_H_Q_YER;
[name='U2_STN', data_type='nonstationary']
diff(U2_STN) = u2_stn_ecm_u2_q_yed_L1 * (U2_Q_YED(-1) - U2_EHIC(-1))
+ u2_stn_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
+ u2_stn_ecm_u2_g_yer_L1 * (U2_G_YER(-1) - U2_G_EYER(-1))
+ u2_stn_u2_q_yed_L1 * diff(U2_Q_YED(-1))
+ u2_stn_u2_g_yer_L1 * diff(U2_G_YER(-1))
+ res_U2_STN ;
[name='zpac']
diff(log(U2_HH_COR)) = ecm_pac*(log(U2_HH_COR(-1))-log(U2_HH_OCOR(-1))) +
u2_hh_cor_pac_u2_hh_cor_L1*diff(log(U2_HH_COR(-1))) +
pac_expectation(pacman) +
res_ez;
end;
// Use the same calibration as in tcm6.mod.
tcm6 = load('tcm6_data.mat');
M_.params = tcm6.params;
trend_component_model(model_name=toto, eqtags=['U2_Q_YED', 'U2_G_YER', 'U2_STN', 'U2_EHIC', 'U2_G_EYER', 'U2_ESTN', 'U2_HH_OCOR', 'U2_H_Q_YER400'], targets=['U2_EHIC', 'U2_G_EYER', 'U2_ESTN', 'U2_H_Q_YER400']);
pac_model(auxiliary_model_name=toto, discount=beta, model_name=pacman, growth = U2_H_Q_YER400);
pac.initialize('pacman');
C0 = oo_.trend_component.toto.CompanionMatrix;
trend_component_model(model_name=titi, eqtags=['U2_Q_YED', 'U2_G_YER', 'U2_STN', 'U2_EHIC', 'U2_G_EYER', 'U2_ESTN', 'U2_HH_OCOR', 'U2_H_Q_YER400'], targets=['U2_G_EYER', 'U2_H_Q_YER400', 'U2_ESTN', 'U2_EHIC']);
pac_model(auxiliary_model_name=titi, discount=beta, model_name=pacman1, growth = U2_H_Q_YER400);
pac.initialize('pacman1');
C1 = oo_.trend_component.titi.CompanionMatrix;
if any(abs(C0(:)-tcm6.C0(:)))>1e-12
error('Companion matrix is not independent of the ordering of the equations.')
end
if any(abs(C1(:)-tcm6.C1(:)))>1e-12
error('Companion matrix is not independent of the ordering of the equations.')
end