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Add unit test for newrat with analytic derivatives and various Kalman algos

time-shift
Johannes Pfeifer 2014-12-04 18:15:39 +01:00
parent 905076fa07
commit e60157e9b8
3 changed files with 908 additions and 0 deletions
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2
tests/Makefile.am
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@ -79,6 +79,7 @@ MODFILES = \
arima/mod2b.mod \
arima/mod2c.mod \
data/mod1a.mod \
analytic_derivatives/fs2000_analytic_derivation.mod \
fs2000/fs2000.mod \
fs2000/fs2000a.mod \
fs2000/fs2000c.mod \
@ -319,6 +320,7 @@ EXTRA_DIST = \
expectations/expectation_ss_old_steadystate.m \
steady_state/walsh1_old_ss_steadystate.m \
data/test.xls \
analytic_derivatives/fsdat_simul.m \
fs2000/fs2000a_steadystate.m \
fs2000/fsdat_simul.m \
k_order_perturbation/run_fs2000kplusplus.m \

78
tests/analytic_derivatives/fs2000_analytic_derivation.mod Normal file
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@ -0,0 +1,78 @@
// Tests the analytic_derivation option
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(+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;
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_.solve_tolf = 1e-12;
estimation(order=1,mode_compute=5,analytic_derivation,kalman_algo=1,datafile=fsdat_simul,nobs=192,mh_replic=0,mh_nblocks=2,mh_jscale=0.8);
estimation(order=1,mode_compute=5,analytic_derivation,kalman_algo=2,datafile=fsdat_simul,nobs=192,mh_replic=0,mh_nblocks=2,mh_jscale=0.8);
estimation(order=1,mode_compute=5,analytic_derivation,kalman_algo=3,datafile=fsdat_simul,nobs=192,mh_replic=0,mh_nblocks=2,mh_jscale=0.8);
estimation(order=1,mode_compute=5,analytic_derivation,kalman_algo=4,datafile=fsdat_simul,nobs=192,mh_replic=0,mh_nblocks=2,mh_jscale=0.8);

828
tests/analytic_derivatives/fsdat_simul.m Normal file
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@ -0,0 +1,828 @@
gy_obs =[
1.0030045
0.99990934
1.0172778
0.99464043
1.0253423
1.0150215
0.97772557
0.97832186
1.0159561
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1.0102649
1.0007604
1.0112596
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1.0173204
1.0103896
1.0006493
0.99447124
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1.0192225
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1.0141362
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0.97483476
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0.99594464
1.0000642
1.0172243
1.0025773
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1.0217815
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1.0091702
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1.0311061
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1.0070088
0.9950913
1.0302318
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1.0072885
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1.0136674
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0.9958619
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1.0210212
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1.0014801
1.011456
1.0124871
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0.99324886
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1.003327
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1.0115223
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0.99212952
1.0214422
0.98716707
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1.0061791
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0.99492949
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1.0112882
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1.0010255
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1.0074455
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0.99959012
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1.0185314
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1.0132605
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0.99490253
1.0101531
1.0004526
1.0059109
0.98974491
1.0062391
1.0216488
0.99398446
0.97786609
1.0019274
0.99587153
1.0095881
1.0111887
0.99457649
0.97896734
1.000172
1.0142951
1.0034224
1.0037242
1.0016059
1.016556
0.99687023
1.0117844
1.0059212
0.98083159
0.98638851
1.0128713
1.0096232
1.0115891
1.0011213
1.0147105
1.0066344
1.0164429
0.99825038
0.99403411
];
gp_obs =[
1.0079715
1.0074573
1.0153107
1.0152677
1.0011653
0.99950061
1.0328311
1.0192317
1.009827
0.99588916
1.007474
1.0113061
0.98696624
0.99978663
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0.98861723
0.99008763
1.0185076
1.0052452
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1.0092685
1.01208
1.0105237
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1.0165628
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1.0050255
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1.0093128
1.0155868
1.0107023
0.99212762
1.0095465
1.0028435
1.0069437
1.0070473
1.0145902
1.0186922
1.0059917
1.0113072
1.0107386
0.99769196
0.99793444
1.0050791
0.98307821
1.0107594
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0.98667064
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0.98274722
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1.0118567
0.99912781
1.0023744
1.0086662
1.0164773
1.0169327
1.0372478
1.0314242
1.0004256
1.0110541
1.0076575
1.0119851
1.0055188
1.0213959
1.0234416
1.0264917
1.0292725
1.0385184
1.0200999
1.0107697
1.008583
1.0200332
1.0030413
1.0108659
1.0185145
1.0168619
1.0180462
1.0239657
1.0205509
1.0189973
1.0246446
1.0135089
1.0352973
1.0099289
1.0266474
1.0279829
1.0101653
1.041216
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1.0179213
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0.9971036
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1.0041114
1.0101247
1.0181588
1.0115712
1.0227509
1.0065104
1.0110902
1.0298169
1.0089532
1.0368733
1.0123033
1.0060763
1.0150937
1.0239325
0.99555536
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1.0076201
0.99941535
1.0119522
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1.0260784
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1.0121985
1.0234916
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1.0002123
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0.9964198
1.0027298
0.99797614
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1.0083214
1.0283732
1.0111102
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1.0229061
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1.0139625
1.01493
1.0113531
1.0114548
0.99833441
0.99648401
0.97645361
1.0154053
1.01703
];
Y_obs =[
1
0.99690484
1.0111781
1.0028141
1.0251518
1.0371688
1.0118899
0.98720726
1.0001589
1.0057481
1.0130085
1.0107643
1.0190194
1.0323428
1.0466587
1.0540438
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1.0657172
1.0592201
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0.92838606
0.932016
0.94545438
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0.93172987
];
P_obs =[
1
0.99948573
1.0068249
1.0141211
1.0073149
0.99884398
1.0237035
1.0349636
1.036819
1.0247366
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1.0275737
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0.92132842
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1.2660431
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1.2910852
1.3012725
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1.3181903
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1.3730377
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1.3985574
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1.4133617
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1.3965683
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1.3855433
1.3755111
1.3758609
1.3962625
1.3994012
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1.4080055
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1.4108374
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1.4468355
1.4412132
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1.4489679
1.4559263
1.4593079
1.4627911
1.453154
1.4416665
1.4101485
1.4175823
1.4266407
];