Add unit tests for perfect foresight to detect issues with histval
Johannes Pfeifer
parent
939ac02bad
commit
d84bf3e107
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@ -203,6 +203,7 @@ MODFILES = \
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deterministic_simulations/rbc_det5.mod \
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deterministic_simulations/rbc_det6.mod \
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deterministic_simulations/homotopy.mod \
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deterministic_simulations/homotopy_histval.mod \
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deterministic_simulations/rbc_det_exo_lag_2a.mod \
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deterministic_simulations/rbc_det_exo_lag_2b.mod \
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deterministic_simulations/rbc_det_exo_lag_2c.mod \
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@ -215,6 +216,9 @@ MODFILES = \
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deterministic_simulations/multiple_lead_lags/sim_lead_lag.mod \
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deterministic_simulations/lola_solve_one_boundary.mod \
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deterministic_simulations/linear_approximation/sw.mod \
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deterministic_simulations/multiple_lead_lags/AR2.mod \
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deterministic_simulations/multiple_lead_lags/AR2_forward.mod \
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deterministic_simulations/multiple_lead_lags/ramst_augmented_histval.mod \
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walsh.mod \
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measurement_errors/fs2000_corr_me_ml_mcmc/fs2000_corr_ME.mod \
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trend_var/fs2000_nonstationary.mod \
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@ -364,6 +368,9 @@ deterministic_simulations/multiple_lead_lags/sim_lead_lag_aux_vars.o.trs: determ
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deterministic_simulations/multiple_lead_lags/sim_lead_lag.m.trs: deterministic_simulations/multiple_lead_lags/sim_base.m.trs deterministic_simulations/multiple_lead_lags/sim_lead_lag_aux_vars.m.trs
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deterministic_simulations/multiple_lead_lags/sim_lead_lag.o.trs: deterministic_simulations/multiple_lead_lags/sim_base.o.trs deterministic_simulations/multiple_lead_lags/sim_lead_lag_aux_vars.o.trs
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deterministic_simulations/multiple_lead_lags/ramst_augmented_histval.m.trs: ramst.m.trs
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deterministic_simulations/multiple_lead_lags/ramst_augmented_histval.o.trs: ramst.o.trs
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# Matlab TRS Files
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M_TRS_FILES = $(patsubst %.mod, %.m.trs, $(MODFILES))
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M_TRS_FILES += run_block_byte_tests_matlab.m.trs run_reporting_test_matlab.m.trs run_all_unitary_tests.m.trs
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@ -0,0 +1,60 @@
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// Example that triggers homotopy in perfect foresight simulation.
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var Consumption, Capital, LoggedProductivity;
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varexo LoggedProductivityInnovation;
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parameters beta, alpha, delta, rho;
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beta = .985;
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alpha = 1/3;
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delta = alpha/10;
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rho = .9;
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model;
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[name='Euler equation'] // This is an equation tag!
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1/Consumption = beta/Consumption(1)*(alpha*exp(LoggedProductivity(1))*Capital^(alpha-1)+1-delta);
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[name='Physical capital stock law of motion']
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Capital = exp(LoggedProductivity)*Capital(-1)^alpha+(1-delta)*Capital(-1)-Consumption;
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[name='Logged productivity law of motion']
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LoggedProductivity = rho*LoggedProductivity(-1)+LoggedProductivityInnovation;
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end;
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% steady_state_model;
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% LoggedProductivity = LoggedProductivityInnovation/(1-rho);
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% Capital = (exp(LoggedProductivity)*alpha/(1/beta-1+delta))^(1/(1-alpha));
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% Consumption = exp(LoggedProductivity)*Capital^alpha-delta*Capital;
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% end;
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set_time(1Q1);
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initval;
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LoggedProductivityInnovation = 0;
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LoggedProductivity = 10;
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Capital = 1;
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Consumption=2.02049;
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end;
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steady;
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histval;
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Capital(0)=17.9836;
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LoggedProductivity(0)=10;
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end;
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// endval;
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// LoggedProductivityInnovation = 0;
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// end;
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// steady;
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simul(periods=200);
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plot(Simulated_time_series.Capital(1Q1:25Q4));
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if max(abs(oo_.endo_simul(:,1)-M_.endo_histval))>1e-6
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error('Homotopy changed initial conditions')
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end
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@ -0,0 +1,57 @@
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var y_backward;
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// Exogenous variable: technology level
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varexo x;
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parameters rho_1 rho_2;
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rho_1=0.2;
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rho_2=0.1;
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// Equilibrium conditions
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model;
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y_backward=rho_1*y_backward(-1)+rho_2*y_backward(-2);
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end;
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// Set starting value for solver
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initval;
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y_backward=1;
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end;
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steady;
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// Set initial conditions for state variables
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histval;
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y_backward(0)=1;
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y_backward(-1)=2;
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end;
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// Check the Blanchard-Kahn conditions
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check;
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// Declare a positive technological shock in period 1
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shocks;
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var x;
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periods 1;
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values 1.2;
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end;
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// Deterministic simulation of the model for 200 periods
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options_.solve_tolf=1e-12;
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simul(periods=100);
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// Display the path of consumption and capital
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rplot y_backward;
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junk=zeros(1,options_.periods+M_.maximum_lag);
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junk(1)=2;
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junk(2)=1;
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for ii=3:options_.periods+2
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junk(ii)=M_.params(strmatch('rho_1',M_.param_names,'exact'))*junk(ii-1)+M_.params(strmatch('rho_2',M_.param_names,'exact'))*junk(ii-2);
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end
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if max(abs(junk(M_.maximum_lag+1:end)-oo_.endo_simul(strmatch('y_backward',M_.endo_names,'exact'),:)))>1e-10
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error('Solution of purely backwards model not correct')
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end
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@ -0,0 +1,59 @@
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var y_backward dummy_var;
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// Exogenous variable: technology level
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varexo x;
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parameters rho_1 rho_2;
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rho_1=0.2;
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rho_2=0.1;
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// Equilibrium conditions
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model;
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y_backward=rho_1*y_backward(-1)+rho_2*y_backward(-2);
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dummy_var=0.9*dummy_var(+1);
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end;
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// Set starting value for solver
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initval;
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y_backward=1;
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end;
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steady;
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// Set initial conditions for state variables
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histval;
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y_backward(0)=1;
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y_backward(-1)=2;
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end;
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// Check the Blanchard-Kahn conditions
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check;
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// Declare a positive technological shock in period 1
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shocks;
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var x;
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periods 1;
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values 1.2;
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end;
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// Deterministic simulation of the model for 200 periods
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options_.solve_tolf=1e-12;
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simul(periods=100);
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// Display the path of consumption and capital
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rplot y_backward;
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junk=zeros(1,options_.periods+M_.maximum_lag);
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junk(1)=2;
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junk(2)=1;
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for ii=3:options_.periods+M_.maximum_lag+M_.maximum_lead
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junk(ii)=M_.params(strmatch('rho_1',M_.param_names,'exact'))*junk(ii-1)+M_.params(strmatch('rho_2',M_.param_names,'exact'))*junk(ii-2);
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end
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if max(abs(junk(M_.maximum_lag+1:end)-oo_.endo_simul(strmatch('y_backward',M_.endo_names,'exact'),1:end-M_.maximum_lead)))>1e-10
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error('Solution of purely backwards model not correct')
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end
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@ -0,0 +1,77 @@
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//Version of the ramst.mod augmented with purely backward looking AR-process that should not
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//alter any dynamics of original
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// Endogenous variables: consumption and capital
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var c k y_backward;
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// Exogenous variable: technology level
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varexo x;
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// Parameters declaration and calibration
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parameters alph gam delt bet aa rho_1 rho_2;
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alph=0.5;
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gam=0.5;
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delt=0.02;
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bet=0.05;
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aa=0.5;
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rho_1=0.2;
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rho_2=0.1;
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// Equilibrium conditions
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model;
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c + k - aa*x*k(-1)^alph - (1-delt)*k(-1); // Resource constraint
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c^(-gam) - (1+bet)^(-1)*(aa*alph*x(+1)*k^(alph-1) + 1 - delt)*c(+1)^(-gam); // Euler equation
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y_backward=0.2*y_backward(-1)+0.1*y_backward(-2);
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end;
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// Set starting value for solver at steady state
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initval;
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x = 1;
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k = ((delt+bet)/(1.0*aa*alph))^(1/(alph-1));
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c = aa*k^alph-delt*k;
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y_backward=1;
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end;
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steady;
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// Set initial conditions for state variables
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histval;
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k(0) = ((delt+bet)/(1.0*aa*alph))^(1/(alph-1));
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y_backward(0)=1;
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y_backward(-1)=2;
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end;
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// Check the Blanchard-Kahn conditions
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check;
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// Declare a positive technological shock in period 1
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shocks;
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var x;
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periods 1;
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values 1.2;
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end;
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// Deterministic simulation of the model for 200 periods
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simul(periods=200);
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junk=zeros(1,options_.periods+M_.maximum_lag);
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junk(1)=2;
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junk(2)=1;
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for ii=3:options_.periods+M_.maximum_lag+M_.maximum_lead
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junk(ii)=M_.params(strmatch('rho_1',M_.param_names,'exact'))*junk(ii-1)+M_.params(strmatch('rho_2',M_.param_names,'exact'))*junk(ii-2);
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end
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if max(abs(junk(M_.maximum_lag+1:end)-oo_.endo_simul(strmatch('y_backward',M_.endo_names,'exact'),1:end-M_.maximum_lead)))>1e-10
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error('Solution of purely backwards model not correct')
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end
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ramst_results=load('../../ramst_results.mat');
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if max(abs(ramst_results.oo_.endo_simul(strmatch('k',ramst_results.M_.endo_names,'exact'),1:end-M_.maximum_lead)-oo_.endo_simul(strmatch('k',M_.endo_names,'exact'),1:end-M_.maximum_lead)))>1e-10
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error('Solution of forward part of the model not correct')
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end
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if max(abs(ramst_results.oo_.endo_simul(strmatch('c',ramst_results.M_.endo_names,'exact'),2:end-M_.maximum_lead)-oo_.endo_simul(strmatch('c',M_.endo_names,'exact'),2:end-M_.maximum_lead)))>1e-10
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error('Solution of forward part of the model not correct')
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end
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