From df54e8fcab5c0cbad0e64b9a75a9ed648cb5a814 Mon Sep 17 00:00:00 2001 From: Johannes Pfeifer Date: Sat, 7 Mar 2015 14:18:18 +0100 Subject: [PATCH] Add unit tests for correctness of smoother results --- tests/Makefile.am | 6 + .../compare_results_simulation/fs2000.mod | 158 ++++++++++++++++ .../compare_results_simulation/fs2000_ML.mod | 163 ++++++++++++++++ .../fs2000_ML_loglinear.mod | 150 +++++++++++++++ .../fs2000_loglinear.mod | 176 ++++++++++++++++++ 5 files changed, 653 insertions(+) create mode 100644 tests/kalman_filter_smoother/compare_results_simulation/fs2000.mod create mode 100644 tests/kalman_filter_smoother/compare_results_simulation/fs2000_ML.mod create mode 100644 tests/kalman_filter_smoother/compare_results_simulation/fs2000_ML_loglinear.mod create mode 100644 tests/kalman_filter_smoother/compare_results_simulation/fs2000_loglinear.mod diff --git a/tests/Makefile.am b/tests/Makefile.am index f60294d48..bcc3680ba 100644 --- a/tests/Makefile.am +++ b/tests/Makefile.am @@ -191,6 +191,11 @@ MODFILES = \ kalman/likelihood_from_dynare/fs2000_uncorr_ME.mod \ kalman/likelihood_from_dynare/fs2000_uncorr_ME_missing.mod \ second_order/burnside_1.mod \ + kalman_filter_smoother/compare_results_simulation/fs2000_ML.mod \ + kalman_filter_smoother/compare_results_simulation/fs2000_ML_loglinear.mod \ + kalman_filter_smoother/compare_results_simulation/fs2000.mod \ + kalman_filter_smoother/compare_results_simulation/fs2000_loglinear.mod \ + second_order/burnside_1.mod \ second_order/ds1.mod \ second_order/ds2.mod \ ep/rbc.mod \ @@ -479,6 +484,7 @@ EXTRA_DIST = \ kalman/likelihood_from_dynare/fsdat_simul_corr_ME_missing.m \ kalman/likelihood_from_dynare/fsdat_simul_uncorr_ME.m \ kalman/likelihood_from_dynare/fsdat_simul_uncorr_ME_missing.m \ + kalman_filter_smoother/compare_results_simulation/fsdat_simul_logged.m \ identification/kim/kim2_steadystate.m \ identification/as2007/as2007_steadystate.m \ estimation/fsdat_simul.m \ diff --git a/tests/kalman_filter_smoother/compare_results_simulation/fs2000.mod b/tests/kalman_filter_smoother/compare_results_simulation/fs2000.mod new file mode 100644 index 000000000..d2410c55b --- /dev/null +++ b/tests/kalman_filter_smoother/compare_results_simulation/fs2000.mod @@ -0,0 +1,158 @@ +/* + * This file replicates the estimation of the cash in advance model described + * Frank Schorfheide (2000): "Loss function-based evaluation of DSGE models", + * Journal of Applied Econometrics, 15(6), 645-670. + * + * The data are in file "fsdat_simul.m", and have been artificially generated. + * They are therefore different from the original dataset used by Schorfheide. + * + * The equations are taken from J. Nason and T. Cogley (1994): "Testing the + * implications of long-run neutrality for monetary business cycle models", + * Journal of Applied Econometrics, 9, S37-S70. + * Note that there is an initial minus sign missing in equation (A1), p. S63. + * + * This implementation was written by Michel Juillard. Please note that the + * following copyright notice only applies to this Dynare implementation of the + * model. + */ + +/* + * Copyright (C) 2004-2010 Dynare Team + * + * This file is part of Dynare. + * + * Dynare is free software: you can redistribute it and/or modify + * it under the terms of the GNU General Public License as published by + * the Free Software Foundation, either version 3 of the License, or + * (at your option) any later version. + * + * Dynare is distributed in the hope that it will be useful, + * but WITHOUT ANY WARRANTY; without even the implied warranty of + * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the + * GNU General Public License for more details. + * + * You should have received a copy of the GNU General Public License + * along with Dynare. If not, see . + */ + +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; +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(+1)*P(+1)*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)); +exp(gy_obs) = dA*y/y(-1); +exp(gp_obs) = (P/P(-1))*m(-1)/dA; +end; + +shocks; +var e_a; stderr 0.014; +var e_m; stderr 0.005; +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 = log(m/dA); + gy_obs = log(dA); +end; + +steady; + +check; + +estimated_params; +alp, beta_pdf, 0.356, 0.02; +bet, beta_pdf, 0.993, 0.002; +gam, normal_pdf, 0.0085, 0.003; +mst, normal_pdf, 1.0002, 0.007; +rho, beta_pdf, 0.129, 0.223; +psi, beta_pdf, 0.65, 0.05; +del, beta_pdf, 0.01, 0.005; +stderr e_a, inv_gamma_pdf, 0.035449, inf; +stderr e_m, inv_gamma_pdf, 0.008862, inf; +end; + +varobs gp_obs gy_obs; + +estimation(order=1,datafile=fsdat_simul_logged,consider_all_endogenous,nobs=192,mh_replic=2000, mh_nblocks=1,smoother, mh_jscale=0.8); + +ex_=[]; +for shock_iter=1:M_.exo_nbr +ex_=[ex_ oo_.SmoothedShocks.Mean.(deblank(M_.exo_names(shock_iter,:)))]; +end + +ex_ = ex_(2:end,:); +% ex_ = zeros(size(ex_)); +y0=[]; +for endo_iter=1:M_.endo_nbr +y0 = [y0; +oo_.SmoothedVariables.Mean.(deblank(M_.endo_names(endo_iter,:)))(1)]; +end; + +%make sure decision rules were updated +[oo_.dr,info,M_,options_] = resol(0,M_,options_,oo_); + +dr = oo_.dr; +iorder=1; +y_=simult_(y0,dr,ex_,iorder); + +fsdat_simul_logged; + +%Needs bigger tolerance than ML, because transformation from parameters to steady states is not linear and steady state at mean parameters is not mean of steady states +if mean(abs(y_(strmatch('gy_obs',M_.endo_names,'exact'),:)'-(gy_obs(1:options_.nobs))))>1e-3 ||... + mean(abs(y_(strmatch('gy_obs',M_.endo_names,'exact'),:)'-oo_.SmoothedVariables.Mean.gy_obs))>1e-3 ||... + mean(abs(y_(strmatch('gp_obs',M_.endo_names,'exact'),:)'-(gp_obs(1:options_.nobs))))>1e-1 ||... + mean(abs(y_(strmatch('gp_obs',M_.endo_names,'exact'),:)'-oo_.SmoothedVariables.Mean.gp_obs))>1e-2 +error('Smoother is wrong') +end + + +% figure +% plot((gy_obs)) +% hold on +% plot(y_(strmatch('gy_obs',M_.endo_names,'exact'),:),'r--') +% +% figure +% plot((gp_obs)) +% hold on +% plot(y_(strmatch('gp_obs',M_.endo_names,'exact'),:),'r--') \ No newline at end of file diff --git a/tests/kalman_filter_smoother/compare_results_simulation/fs2000_ML.mod b/tests/kalman_filter_smoother/compare_results_simulation/fs2000_ML.mod new file mode 100644 index 000000000..388d2b7a3 --- /dev/null +++ b/tests/kalman_filter_smoother/compare_results_simulation/fs2000_ML.mod @@ -0,0 +1,163 @@ +/* + * This file replicates the estimation of the cash in advance model described + * Frank Schorfheide (2000): "Loss function-based evaluation of DSGE models", + * Journal of Applied Econometrics, 15(6), 645-670. + * + * The data are in file "fsdat_simul.m", and have been artificially generated. + * They are therefore different from the original dataset used by Schorfheide. + * + * The equations are taken from J. Nason and T. Cogley (1994): "Testing the + * implications of long-run neutrality for monetary business cycle models", + * Journal of Applied Econometrics, 9, S37-S70. + * Note that there is an initial minus sign missing in equation (A1), p. S63. + * + * This implementation was written by Michel Juillard. Please note that the + * following copyright notice only applies to this Dynare implementation of the + * model. + */ + +/* + * Copyright (C) 2004-2010 Dynare Team + * + * This file is part of Dynare. + * + * Dynare is free software: you can redistribute it and/or modify + * it under the terms of the GNU General Public License as published by + * the Free Software Foundation, either version 3 of the License, or + * (at your option) any later version. + * + * Dynare is distributed in the hope that it will be useful, + * but WITHOUT ANY WARRANTY; without even the implied warranty of + * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the + * GNU General Public License for more details. + * + * You should have received a copy of the GNU General Public License + * along with Dynare. If not, see . + */ + +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 theta; + +alp = 0.33; +bet = 0.99; +gam = 0.003; +mst = 1.011; +rho = 0.7; +psi = 0.787; +del = 0.02; +theta=0; + +model; +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)); +exp(gy_obs) = dA*y/y(-1); +exp(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 = log(m/dA); + gy_obs = log(dA); +end; + + +shocks; +var e_a; stderr 0.014; +var e_m; stderr 0.005; +end; + +varobs gp_obs gy_obs; + +steady; +check; + +estimated_params; +alp, 0.356; +gam, 0.0085; +mst, 1.0002; +rho, 0.129; +psi, 0.65; +del, 0.02; +stderr e_a, 0.035449; +stderr e_m, 0.008862; +end; + +estimation(order=1,datafile='fsdat_simul_logged', nobs=192, forecast=8,smoother,filtered_vars,filter_step_ahead=[1,2,4],filter_decomposition,selected_variables_only) m P c e W R k d y gy_obs; + +% write shock matrix +ex_=[]; +for shock_iter=1:M_.exo_nbr +ex_=[ex_ oo_.SmoothedShocks.(deblank(M_.exo_names(shock_iter,:)))]; +end + +%select shocks happening after initial period +ex_ = ex_(2:end,:); + +%get state variables at t=0 +y0=[]; +for endo_iter=1:M_.endo_nbr +y0 = [y0; +oo_.SmoothedVariables.(deblank(M_.endo_names(endo_iter,:)))(1)]; +end; + +%make sure decision rules were updated +[oo_.dr,info,M_,options_] = resol(0,M_,options_,oo_); + +dr = oo_.dr; +iorder=1; +%run simulation +y_=simult_(y0,dr,ex_,iorder); + +fsdat_simul_logged; + +if max(abs(y_(strmatch('gy_obs',M_.endo_names,'exact'),:)'-gy_obs(1:options_.nobs)))>1e-10 ||... + max(abs(y_(strmatch('gy_obs',M_.endo_names,'exact'),:)'-oo_.SmoothedVariables.gy_obs))>1e-10 ||... + max(abs(y_(strmatch('gp_obs',M_.endo_names,'exact'),:)'-gp_obs(1:options_.nobs)))>1e-10 ||... + max(abs(y_(strmatch('gp_obs',M_.endo_names,'exact'),:)'-oo_.SmoothedVariables.gp_obs))>1e-10 +error('Smoother is wrong') +end + +% figure +% subplot(2,1,1) +% plot(log(gy_obs)) +% hold on +% plot(y_(strmatch('gy_obs',M_.endo_names,'exact'),:),'r--') +% +% figure +% subplot(2,1,2) +% plot(log(gp_obs)) +% hold on +% plot(y_(strmatch('gp_obs',M_.endo_names,'exact'),:),'r--') + diff --git a/tests/kalman_filter_smoother/compare_results_simulation/fs2000_ML_loglinear.mod b/tests/kalman_filter_smoother/compare_results_simulation/fs2000_ML_loglinear.mod new file mode 100644 index 000000000..a2b3b3ea4 --- /dev/null +++ b/tests/kalman_filter_smoother/compare_results_simulation/fs2000_ML_loglinear.mod @@ -0,0 +1,150 @@ +/* + * This file replicates the estimation of the cash in advance model described + * Frank Schorfheide (2000): "Loss function-based evaluation of DSGE models", + * Journal of Applied Econometrics, 15(6), 645-670. + * + * The data are in file "fsdat_simul.m", and have been artificially generated. + * They are therefore different from the original dataset used by Schorfheide. + * + * The equations are taken from J. Nason and T. Cogley (1994): "Testing the + * implications of long-run neutrality for monetary business cycle models", + * Journal of Applied Econometrics, 9, S37-S70. + * Note that there is an initial minus sign missing in equation (A1), p. S63. + * + * This implementation was written by Michel Juillard. Please note that the + * following copyright notice only applies to this Dynare implementation of the + * model. + */ + +/* + * Copyright (C) 2004-2010 Dynare Team + * + * This file is part of Dynare. + * + * Dynare is free software: you can redistribute it and/or modify + * it under the terms of the GNU General Public License as published by + * the Free Software Foundation, either version 3 of the License, or + * (at your option) any later version. + * + * Dynare is distributed in the hope that it will be useful, + * but WITHOUT ANY WARRANTY; without even the implied warranty of + * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the + * GNU General Public License for more details. + * + * You should have received a copy of the GNU General Public License + * along with Dynare. If not, see . + */ + +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 theta; + +alp = 0.33; +bet = 0.99; +gam = 0.003; +mst = 1.011; +rho = 0.7; +psi = 0.787; +del = 0.02; +theta=0; + +model; +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; + + +shocks; +var e_a; stderr 0.014; +var e_m; stderr 0.005; +end; + +varobs gp_obs gy_obs; + +steady; +check; + +estimated_params; +alp, 0.356; +gam, 0.0085; +mst, 1.0002; +rho, 0.129; +psi, 0.65; +del, 0.02; +stderr e_a, 0.035449; +stderr e_m, 0.008862; +end; + +estimation(order=1,datafile='../fsdat_simul',loglinear, nobs=192, forecast=8,smoother,filtered_vars,filter_step_ahead=[1,2,4],filter_decomposition,selected_variables_only) m P c e W R k d y gy_obs; + +% write shock matrix +ex_=[]; +for shock_iter=1:M_.exo_nbr +ex_=[ex_ oo_.SmoothedShocks.(deblank(M_.exo_names(shock_iter,:)))]; +end + +%select shocks happening after initial period +ex_ = ex_(2:end,:); + +%get state variables at t=0 +y0=[]; +for endo_iter=1:M_.endo_nbr +y0 = [y0; +oo_.SmoothedVariables.(deblank(M_.endo_names(endo_iter,:)))(1)]; +end; + +%make sure decision rules were updated +[oo_.dr,info,M_,options_] = resol(0,M_,options_,oo_); + +dr = oo_.dr; +iorder=1; +%run simulation +y_=simult_(y0,dr,ex_,iorder); + +fsdat_simul; + +if max(abs(y_(strmatch('gy_obs',M_.endo_names,'exact'),:)'-log(gy_obs(1:options_.nobs))))>1e-10 ||... + max(abs(y_(strmatch('gy_obs',M_.endo_names,'exact'),:)'-oo_.SmoothedVariables.gy_obs))>1e-10 ||... + max(abs(y_(strmatch('gp_obs',M_.endo_names,'exact'),:)'-log(gp_obs(1:options_.nobs))))>1e-10 ||... + max(abs(y_(strmatch('gp_obs',M_.endo_names,'exact'),:)'-oo_.SmoothedVariables.gp_obs))>1e-10 +error('Smoother is wrong') +end \ No newline at end of file diff --git a/tests/kalman_filter_smoother/compare_results_simulation/fs2000_loglinear.mod b/tests/kalman_filter_smoother/compare_results_simulation/fs2000_loglinear.mod new file mode 100644 index 000000000..4c4cc98e8 --- /dev/null +++ b/tests/kalman_filter_smoother/compare_results_simulation/fs2000_loglinear.mod @@ -0,0 +1,176 @@ +/* + * This file replicates the estimation of the cash in advance model described + * Frank Schorfheide (2000): "Loss function-based evaluation of DSGE models", + * Journal of Applied Econometrics, 15(6), 645-670. + * + * The data are in file "fsdat_simul.m", and have been artificially generated. + * They are therefore different from the original dataset used by Schorfheide. + * + * The equations are taken from J. Nason and T. Cogley (1994): "Testing the + * implications of long-run neutrality for monetary business cycle models", + * Journal of Applied Econometrics, 9, S37-S70. + * Note that there is an initial minus sign missing in equation (A1), p. S63. + * + * This implementation was written by Michel Juillard. Please note that the + * following copyright notice only applies to this Dynare implementation of the + * model. + */ + +/* + * Copyright (C) 2004-2010 Dynare Team + * + * This file is part of Dynare. + * + * Dynare is free software: you can redistribute it and/or modify + * it under the terms of the GNU General Public License as published by + * the Free Software Foundation, either version 3 of the License, or + * (at your option) any later version. + * + * Dynare is distributed in the hope that it will be useful, + * but WITHOUT ANY WARRANTY; without even the implied warranty of + * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the + * GNU General Public License for more details. + * + * You should have received a copy of the GNU General Public License + * along with Dynare. If not, see . + */ + +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; +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(+1)*P(+1)*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; + +initval; +k = 6; +m = mst; +P = 2.25; +c = 0.45; +e = 1; +W = 4; +R = 1.02; +d = 0.85; +n = 0.19; +l = 0.86; +y = 0.6; +gy_obs = exp(gam); +gp_obs = exp(-gam); +dA = exp(gam); +end; + +shocks; +var e_a; stderr 0.014; +var e_m; stderr 0.005; +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; + +check; + +estimated_params; +alp, beta_pdf, 0.356, 0.02; +bet, beta_pdf, 0.993, 0.002; +gam, normal_pdf, 0.0085, 0.003; +mst, normal_pdf, 1.0002, 0.007; +rho, beta_pdf, 0.129, 0.223; +psi, beta_pdf, 0.65, 0.05; +del, beta_pdf, 0.01, 0.005; +stderr e_a, inv_gamma_pdf, 0.035449, inf; +stderr e_m, inv_gamma_pdf, 0.008862, inf; +end; + +varobs gp_obs gy_obs; + +estimation(order=1, datafile='../fsdat_simul', nobs=192, loglinear, mh_replic=2000, mh_nblocks=1,smoother, mh_jscale=0.8); + +ex_=[]; +for shock_iter=1:M_.exo_nbr +ex_=[ex_ oo_.SmoothedShocks.Mean.(deblank(M_.exo_names(shock_iter,:)))]; +end + +ex_ = ex_(2:end,:); +% ex_ = zeros(size(ex_)); +y0=[]; +for endo_iter=1:M_.endo_nbr +y0 = [y0; +oo_.SmoothedVariables.Mean.(deblank(M_.endo_names(endo_iter,:)))(1)]; +end; + +%make sure decision rules were updated +[oo_.dr,info,M_,options_] = resol(0,M_,options_,oo_); + +dr = oo_.dr; +iorder=1; +% if options_.loglinear +% y0=exp(y0); +% end +y_=simult_(y0,dr,ex_,iorder); + +fsdat_simul; + +if mean(abs(y_(strmatch('gy_obs',M_.endo_names,'exact'),:)'-log(gy_obs(1:options_.nobs))))>1e-3 ||... + mean(abs(y_(strmatch('gy_obs',M_.endo_names,'exact'),:)'-oo_.SmoothedVariables.Mean.gy_obs))>1e-3 ||... + mean(abs(y_(strmatch('gp_obs',M_.endo_names,'exact'),:)'-log(gp_obs(1:options_.nobs))))>1e-3 ||... + mean(abs(y_(strmatch('gp_obs',M_.endo_names,'exact'),:)'-oo_.SmoothedVariables.Mean.gp_obs))>1e-3 +error('Smoother is wrong') +end + +% figure +% plot(log(gy_obs)) +% hold on +% plot(y_(strmatch('gy_obs',M_.endo_names,'exact'),:),'r--') +% +% figure +% plot(log(gp_obs)) +% hold on +% plot(y_(strmatch('gp_obs',M_.endo_names,'exact'),:),'r--') \ No newline at end of file