From cf17040915f16d82312779101db4e734411b0c73 Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?St=C3=A9phane=20Adjemian=20=28Charybdis=29?= Date: Fri, 16 Oct 2015 17:20:35 +0200 Subject: [PATCH] Added integration test for PR #1062 (conditional forecasts). --- tests/Makefile.am | 1 + tests/conditional_forecasts/5/fs2000_cal.mod | 94 ++++++++++++++++++++ 2 files changed, 95 insertions(+) create mode 100644 tests/conditional_forecasts/5/fs2000_cal.mod diff --git a/tests/Makefile.am b/tests/Makefile.am index ef4df9c81..75187b902 100644 --- a/tests/Makefile.am +++ b/tests/Makefile.am @@ -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 \ diff --git a/tests/conditional_forecasts/5/fs2000_cal.mod b/tests/conditional_forecasts/5/fs2000_cal.mod new file mode 100644 index 000000000..a835c403b --- /dev/null +++ b/tests/conditional_forecasts/5/fs2000_cal.mod @@ -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'); + +