diff --git a/tests/AIM/fs2000x10_L9_L.mod b/tests/AIM/fs2000x10_L9_L.mod index 42e9f2c5c..78ced6ccf 100644 --- a/tests/AIM/fs2000x10_L9_L.mod +++ b/tests/AIM/fs2000x10_L9_L.mod @@ -1,22 +1,3 @@ -// 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 @@ -74,23 +55,6 @@ 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 +stoch_simul(order=1,irf=0); -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_AIM.mod b/tests/AIM/fs2000x10_L9_L_AIM.mod new file mode 100644 index 000000000..2806957c7 --- /dev/null +++ b/tests/AIM/fs2000x10_L9_L_AIM.mod @@ -0,0 +1,67 @@ + +//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; + +options_.useAIM = 1; +stoch_simul(order=1,irf=0); + +benchmark = load('fs2000x10_L9_L_results'); + +if max(max(abs(benchmark.oo_.dr.ghx-dr.ghx) > 1e-12)); + exit('error in ghx'); +elseif max(max(abs(benchmark.oo_.dr.ghu-dr.ghu) > 1e-12)); + exit('error in ghy'); +end;