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Added integration test for PR #1062 (conditional forecasts).

time-shift
Stéphane Adjemian (Charybdis) 2015-10-16 17:20:35 +02:00
parent 36992933d2
commit cf17040915
2 changed files with 95 additions and 0 deletions
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1
tests/Makefile.am
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@ -148,6 +148,7 @@ MODFILES = \
conditional_forecasts/2/fs2000_est.mod \
conditional_forecasts/3/fs2000_conditional_forecast_initval.mod \
conditional_forecasts/4/fs2000_conditional_forecast_histval.mod \
conditional_forecasts/5/fs2000_cal.mod \
recursive/ls2003.mod \
recursive/ls2003_bayesian.mod \
recursive/ls2003_bayesian_xls.mod \

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tests/conditional_forecasts/5/fs2000_cal.mod Normal file
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@ -0,0 +1,94 @@
// 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(bytecode);
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;
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;
ist = y-c;
q = 1 - d;
e = 1;
gp_obs = m/dA;
gy_obs = dA;
end;
steady;
f = dseries(kron([oo_.steady_state; oo_.exo_steady_state],ones(1,34))',2012Q3:2020Q4,[cellstr(M_.endo_names) ; cellstr(M_.exo_names)]);
f_r = f;
frng = 2015Q3:2016Q4;
disp('computing the conditional forecast');
fplan = init_plan(frng);
fplan = flip_plan(fplan, 'gy_obs', 'e_a', 'surprise', frng(1:5), 1.003 + [0.001 -0.002 0 0 0]);
fplan = flip_plan(fplan, 'gp_obs', 'e_m', 'surprise', frng(1:5), 1.00797 + [0.005 0.005 0.005 0.005 0.005]);
options_.simul.maxit = 20;
options_.periods = 25;
f = det_cond_forecast(fplan, f, frng);
disp('computing the forecast using the shocks computed withe the conditional forecast');
fplan_r = init_plan(frng);
fplan_r = basic_plan(fplan_r, 'e_a', 'surprise', frng(1:5), f.e_a(frng(1:5)).data);
fplan_r = basic_plan(fplan_r, 'e_m', 'surprise', frng(1:5), f.e_m(frng(1:5)).data);
f_r = det_cond_forecast(fplan_r, f_r, frng);
e_r = f_r(frng(1:5)).data(:,1:M_.orig_endo_nbr) - f(frng(1:5)).data(:,1:M_.orig_endo_nbr);
assert(max(max(abs(e_r))) < options_.dynatol.f,'Error in conditional forecats');