From e1c13c256a52d4964b87b59d5f1b6113e9246e1c Mon Sep 17 00:00:00 2001
From: george <george@ac1d8469-bf42-47a9-8791-bf33cf982152>
Date: Wed, 25 Mar 2009 16:24:20 +0000
Subject: [PATCH] Test files for AIM that passed comparison of mjdgges and AIM
 dr.ghx and dr.ghu being equal down to near 0 differences on e-15

git-svn-id: https://www.dynare.org/svn/dynare/trunk@2519 ac1d8469-bf42-47a9-8791-bf33cf982152
---
 tests/AIM/fs2000_b1L1L.mod   | 106 +++++++++++++++++++++++++++++++++++
 tests/AIM/fs2000x10L9_L.mod  |  94 +++++++++++++++++++++++++++++++
 tests/AIM/fs2000x10_L9_L.mod |  96 +++++++++++++++++++++++++++++++
 tests/AIM/ls2003_2L0L.mod    |  70 +++++++++++++++++++++++
 tests/AIM/ls2003_2L2L.mod    |  68 ++++++++++++++++++++++
 5 files changed, 434 insertions(+)
 create mode 100644 tests/AIM/fs2000_b1L1L.mod
 create mode 100644 tests/AIM/fs2000x10L9_L.mod
 create mode 100644 tests/AIM/fs2000x10_L9_L.mod
 create mode 100644 tests/AIM/ls2003_2L0L.mod
 create mode 100644 tests/AIM/ls2003_2L2L.mod

diff --git a/tests/AIM/fs2000_b1L1L.mod b/tests/AIM/fs2000_b1L1L.mod
new file mode 100644
index 000000000..4e542fede
--- /dev/null
+++ b/tests/AIM/fs2000_b1L1L.mod
@@ -0,0 +1,106 @@
+// This file replicates the estimation of the CIA model from 
+// Frank Schorfheide (2000) "Loss function-based evaluation of DSGE models" 
+// Journal of  Applied Econometrics, 15, 645-670.
+// the data are the ones provided on Schorfheide's web site with the programs.
+// http://www.econ.upenn.edu/~schorf/programs/dsgesel.ZIP
+// You need to have fsdat.m in the same directory as this file.
+// This file replicates: 
+// -the posterior mode as computed by Frank's Gauss programs
+// -the parameter mean posterior estimates reported in the paper
+// -the model probability (harmonic mean) reported in the paper
+// This file was tested with dyn_mat_test_0218.zip
+// the smooth shocks are probably stil buggy
+//
+// 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.
+//
+// Michel Juillard, February 2004
+options_.usePartInfo=0;
+var m P c e W R k d n l gy_obs gp_obs Y_obs P_obs y dA P2 c2;
+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)))))/(c2(+1)*P2(+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;
+Y_obs/Y_obs(-1) = gy_obs;
+P_obs/P_obs(-1) = gp_obs;
+P2 = P(+1);
+c2 = c(+1);
+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;
+
+unit_root_vars P_obs Y_obs;
+
+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 P_obs Y_obs;
+
+observation_trends;
+P_obs (log(mst)-gam);
+Y_obs (gam);
+end;
+
+
+options_.useAIM = 1;
+estimation(datafile=fsdat,nobs=192,loglinear,mh_replic=2000,
+	mode_compute=4,mh_nblocks=2,mh_drop=0.45,mh_jscale=0.65);
+
diff --git a/tests/AIM/fs2000x10L9_L.mod b/tests/AIM/fs2000x10L9_L.mod
new file mode 100644
index 000000000..91ad57c76
--- /dev/null
+++ b/tests/AIM/fs2000x10L9_L.mod
@@ -0,0 +1,94 @@
+// This file replicates the estimation of the CIA model from 
+// Frank Schorfheide (2000) "Loss function-based evaluation of DSGE models" 
+// Journal of  Applied Econometrics, 15, 645-670.
+// the data are the ones provided on Schorfheide's web site with the programs.
+// http://www.econ.upenn.edu/~schorf/programs/dsgesel.ZIP
+// You need to have fsdat.m in the same directory as this file.
+// This file replicates: 
+// -the posterior mode as computed by Frank's Gauss programs
+// -the parameter mean posterior estimates reported in the paper
+// -the model probability (harmonic mean) reported in the paper
+// This file was tested with dyn_mat_test_0218.zip
+// the smooth shocks are probably stil buggy
+//
+// 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.
+//
+// Michel Juillard, February 2004
+
+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(0.5*m(-1)+0.25*m(-2)+0.13*m(-3)+0.06*m(-4)+0.03*m(-5)+0.015*m(-6)+0.007*m(-7)+0.004*m(-8)+0.003*m(-9)+0.001*m(-10))+e_m;
+-P/(((1.3*c(+1)+c(+5)+0.7*c(+9))*(1.3*P(+1)+P(+5)+0.7*P(+9)))*m/9)+bet*((1.3*P(+1)+P(+5)+0.7*P(+9))/3)*(alp*exp(-alp*(gam+log((1.3*e(+1)+e(+5)+0.7*e(+9))/3)))*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* (1.3*c(+1)+c(+5)+0.7*c(+9))*(1.3*P(+1)+P(+5)+0.7*P(+9))/9) = 0;
+c+k = exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)+(1-del)*exp(-(gam+e_a)*4)*k(-4);
+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;
+
+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;
+
+options_.useAIM = 1;
+//stoch_simul m P c e W R k l y
+
+estimation(datafile=fsdat,nobs=192,loglinear,mh_replic=2000,mh_nblocks=5,mh_jscale=0.8);
\ No newline at end of file
diff --git a/tests/AIM/fs2000x10_L9_L.mod b/tests/AIM/fs2000x10_L9_L.mod
new file mode 100644
index 000000000..42e9f2c5c
--- /dev/null
+++ b/tests/AIM/fs2000x10_L9_L.mod
@@ -0,0 +1,96 @@
+// This file replicates the estimation of the CIA model from 
+// Frank Schorfheide (2000) "Loss function-based evaluation of DSGE models" 
+// Journal of  Applied Econometrics, 15, 645-670.
+// the data are the ones provided on Schorfheide's web site with the programs.
+// http://www.econ.upenn.edu/~schorf/programs/dsgesel.ZIP
+// You need to have fsdat.m in the same directory as this file.
+// This file replicates: 
+// -the posterior mode as computed by Frank's Gauss programs
+// -the parameter mean posterior estimates reported in the paper
+// -the model probability (harmonic mean) reported in the paper
+// This file was tested with dyn_mat_test_0218.zip
+// the smooth shocks are probably stil buggy
+//
+// 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.
+//
+// Michel Juillard, February 2004
+
+//Model with up to 10 lags and leads up to 9 - but not all, with some missing
+
+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);   % missing 0.06*m(-4) and +0.25*m(-2)
+log(m) = (1-rho)*log(mst) + rho*log(0.75*m(-1)+0.13*m(-3)+0.09*m(-5)+0.015*m(-6)+0.007*m(-7)+0.004*m(-8)+0.003*m(-9)+0.001*m(-10))+e_m;
+-P/(((1.3*c(+1)+c(+5)+0.7*c(+9))*(1.3*P(+1)+P(+5)+0.7*P(+9)))*m/9)+bet*((1.3*P(+1)+P(+5)+0.7*P(+9))/3)*(alp*exp(-alp*(gam+log((1.3*e(+1)+e(+5)+0.7*e(+9))/3)))*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* (1.3*c(+1)+c(+5)+0.7*c(+9))*(1.3*P(+1)+P(+5)+0.7*P(+9))/9) = 0;
+c+k = exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)+(1-del)*exp(-(gam+e_a)*4)*k(-4);
+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;
+
+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;
+
+options_.useAIM = 0;
+//stoch_simul m P c e W R k l y
+
+estimation(datafile=fsdat,nobs=192,loglinear,mh_replic=2000,mh_nblocks=5,mh_jscale=0.8);
\ No newline at end of file
diff --git a/tests/AIM/ls2003_2L0L.mod b/tests/AIM/ls2003_2L0L.mod
new file mode 100644
index 000000000..e6c9531b5
--- /dev/null
+++ b/tests/AIM/ls2003_2L0L.mod
@@ -0,0 +1,70 @@
+var y y_s R pie dq pie_s de A y_obs pie_obs R_obs;
+varexo e_R e_q e_ys e_pies e_A;
+
+parameters psi1 psi2 psi3 rho_R tau alpha rr k rho_q rho_A rho_ys rho_pies;
+
+psi1 = 1.54;
+psi2 = 0.25;
+psi3 = 0.25;
+rho_R = 0.5;
+alpha = 0.3;
+rr = 2.51;
+k = 0.5;
+tau = 0.5;
+rho_q = 0.4;
+rho_A = 0.2;
+rho_ys = 0.9;
+rho_pies = 0.7;
+
+// GP extended to see effect of 2 lags and 2 leads
+model(linear);
+//y = y(+1) - (tau +alpha*(2-alpha)*(1-tau))*(R-pie(+1))-alpha*(tau +alpha*(2-alpha)*(1-tau))*dq(+1) + alpha*(2-alpha)*((1-tau)/tau)*(y_s-y_s(+1))-A(+1);
+y = 0.3*y  +0.3*y(-1) +0.3*y(-2)-(tau +alpha*(2-alpha)*(1-tau))*(R-pie)-alpha*(tau +alpha*(2-alpha)*(1-tau))*dq + alpha*(2-alpha)*((1-tau)/tau)*(y_s(11)-y_s)-A;
+//y = 0.3*y(+2)+0.3*y(+1)+0.3*y(-2) - (tau +alpha*(2-alpha)*(1-tau))*(R-pie(+1))-alpha*(tau +alpha*(2-alpha)*(1-tau))*dq(+1) + alpha*(2-alpha)*((1-tau)/tau)*(y_s-y_s(+1))-A(+1);
+//pie = exp(-rr/400)*pie(+1)+alpha*exp(-rr/400)*dq(+1)-alpha*dq+(k/(tau+alpha*(2-alpha)*(1-tau)))*y+alpha*(2-alpha)*(1-tau)/(tau*(tau+alpha*(2-alpha)*(1-tau)))*y_s;
+pie = exp(-rr/400)*pie(-1)+alpha*exp(-rr/400)*dq-alpha*dq(-1)+(k/(tau+alpha*(2-alpha)*(1-tau)))*y+alpha*(2-alpha)*(1-tau)/(tau*(tau+alpha*(2-alpha)*(1-tau)))*y_s;
+pie = de+(1-alpha)*dq+pie_s;
+R = rho_R*R(-1)+(1-rho_R)*(psi1*pie+psi2*(y+alpha*(2-alpha)*((1-tau)/tau)*y_s)+psi3*de)+e_R;
+dq = rho_q*dq(-1)+e_q;
+y_s = rho_ys*y_s(-1)+e_ys;
+//pie_s = rho_pies*pie_s(-1)+e_pies;
+pie_s = rho_pies*pie_s(-1)+(1-rho_pies)*pie_s(-2)+e_pies;
+A = rho_A*A(-1)+e_A;
+y_obs = y-y(-1)+A;
+pie_obs = 4*pie;
+R_obs = 4*R;
+end;
+
+shocks;
+var e_R = 1.25^2;
+var e_q = 2.5^2;
+var e_A = 1.89;
+var e_ys = 1.89;
+var e_pies = 1.89;
+end;
+
+varobs y_obs R_obs pie_obs dq de;
+check;
+estimated_params;
+psi1 , gamma_pdf,1.5,0.5;
+psi2 , gamma_pdf,0.25,0.125;
+psi3 , gamma_pdf,0.25,0.125;
+rho_R ,beta_pdf,0.5,0.2;
+alpha ,beta_pdf,0.3,0.1;
+rr ,gamma_pdf,2.5,1;
+k , gamma_pdf,0.5,0.25;
+tau ,gamma_pdf,0.5,0.2;
+rho_q ,beta_pdf,0.4,0.2;
+rho_A ,beta_pdf,0.5,0.2;
+rho_ys ,beta_pdf,0.8,0.1;
+rho_pies,beta_pdf,0.7,0.15;
+stderr e_R,inv_gamma_pdf,1.2533,0.6551;
+stderr e_q,inv_gamma_pdf,2.5066,1.3103;
+stderr e_A,inv_gamma_pdf,1.2533,0.6551;
+stderr e_ys,inv_gamma_pdf,1.2533,0.6551;
+stderr e_pies,inv_gamma_pdf,1.88,0.9827;
+end;
+
+options_.useAIM = 1;
+estimation(datafile=data_ca1,first_obs=8,nobs=79,mh_nblocks=10,prefilter=1,mh_jscale=0.5,mh_replic=0);
+
diff --git a/tests/AIM/ls2003_2L2L.mod b/tests/AIM/ls2003_2L2L.mod
new file mode 100644
index 000000000..0aabb2256
--- /dev/null
+++ b/tests/AIM/ls2003_2L2L.mod
@@ -0,0 +1,68 @@
+var y y_s R pie dq pie_s de A y_obs pie_obs R_obs;
+varexo e_R e_q e_ys e_pies e_A;
+
+parameters psi1 psi2 psi3 rho_R tau alpha rr k rho_q rho_A rho_ys rho_pies;
+
+psi1 = 1.54;
+psi2 = 0.25;
+psi3 = 0.25;
+rho_R = 0.5;
+alpha = 0.3;
+rr = 2.51;
+k = 0.5;
+tau = 0.5;
+rho_q = 0.4;
+rho_A = 0.2;
+rho_ys = 0.9;
+rho_pies = 0.7;
+
+// GP extended to see effect of 2 lags and 2 leads
+model(linear);
+//y = y(+1) - (tau +alpha*(2-alpha)*(1-tau))*(R-pie(+1))-alpha*(tau +alpha*(2-alpha)*(1-tau))*dq(+1) + alpha*(2-alpha)*((1-tau)/tau)*(y_s-y_s(+1))-A(+1);
+y = 0.3*y(+2)+0.3*y(+1)+0.3*y(-2) - (tau +alpha*(2-alpha)*(1-tau))*(R-pie(+1))-alpha*(tau +alpha*(2-alpha)*(1-tau))*dq(+1) + alpha*(2-alpha)*((1-tau)/tau)*(y_s-y_s(+1))-A(+1);
+pie = exp(-rr/400)*pie(+1)+alpha*exp(-rr/400)*dq(+1)-alpha*dq+(k/(tau+alpha*(2-alpha)*(1-tau)))*y+alpha*(2-alpha)*(1-tau)/(tau*(tau+alpha*(2-alpha)*(1-tau)))*y_s;
+pie = de+(1-alpha)*dq+pie_s;
+R = rho_R*R(-1)+(1-rho_R)*(psi1*pie+psi2*(y+alpha*(2-alpha)*((1-tau)/tau)*y_s)+psi3*de)+e_R;
+dq = rho_q*dq(-1)+e_q;
+y_s = rho_ys*y_s(-1)+e_ys;
+//pie_s = rho_pies*pie_s(-1)+e_pies;
+pie_s = rho_pies*pie_s(-1)+(1-rho_pies)*pie_s(-2)+e_pies;
+A = rho_A*A(-1)+e_A;
+y_obs = y-y(-1)+A;
+pie_obs = 4*pie;
+R_obs = 4*R;
+end;
+
+shocks;
+var e_R = 1.25^2;
+var e_q = 2.5^2;
+var e_A = 1.89;
+var e_ys = 1.89;
+var e_pies = 1.89;
+end;
+
+varobs y_obs R_obs pie_obs dq de;
+
+estimated_params;
+psi1 , gamma_pdf,1.5,0.5;
+psi2 , gamma_pdf,0.25,0.125;
+psi3 , gamma_pdf,0.25,0.125;
+rho_R ,beta_pdf,0.5,0.2;
+alpha ,beta_pdf,0.3,0.1;
+rr ,gamma_pdf,2.5,1;
+k , gamma_pdf,0.5,0.25;
+tau ,gamma_pdf,0.5,0.2;
+rho_q ,beta_pdf,0.4,0.2;
+rho_A ,beta_pdf,0.5,0.2;
+rho_ys ,beta_pdf,0.8,0.1;
+rho_pies,beta_pdf,0.7,0.15;
+stderr e_R,inv_gamma_pdf,1.2533,0.6551;
+stderr e_q,inv_gamma_pdf,2.5066,1.3103;
+stderr e_A,inv_gamma_pdf,1.2533,0.6551;
+stderr e_ys,inv_gamma_pdf,1.2533,0.6551;
+stderr e_pies,inv_gamma_pdf,1.88,0.9827;
+end;
+
+options_.useAIM = 1;
+estimation(datafile=data_ca1,first_obs=8,nobs=79,mh_nblocks=10,prefilter=1,mh_jscale=0.5,mh_replic=0);
+