ls2003.mod: factorize tests
Johannes Pfeifer
Sébastien Villemot
parent
bf6d88a472
commit
e68793030c
10
meson.build
10
meson.build
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@ -804,10 +804,12 @@ mod_and_m_tests = [
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'estimation/fsdat_simul.m' ] },
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{ 'test' : [ 'estimation/fs2000.mod' ],
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'extra' : [ 'estimation/fsdat_simul.m' ] },
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{ 'test' : [ 'gsa/ls2003a.mod' ],
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'extra' : [ 'gsa/data_ca1.m' ] },
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{ 'test' : [ 'gsa/ls2003.mod' ],
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'extra' : [ 'gsa/data_ca1.m' ] },
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{ 'test' : [ 'gsa/ls2003a.mod',
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'gsa/ls2003.mod',
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'gsa/ls2003scr.mod',
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'gsa/ls2003ide.mod' ],
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'extra' : [ 'gsa/data_ca1.m',
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'gsa/ls2003_model.inc' ] },
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{ 'test' : [ 'gsa/cod_ML_morris/cod_ML_morris.mod' ] },
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{ 'test' : [ 'gsa/morris/nk_est.mod' ],
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'extra' : [ 'gsa/morris/nk_est_data.m' ] },
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@ -1,45 +1,4 @@
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var y y_s R pie $\pi$ dq pie_s de A y_obs pie_obs R_obs ${R^{obs}}$;
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varexo e_R ${e^R}$ e_q e_ys e_pies e_A;
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parameters psi1 psi2 psi3 rho_R ${\rho_R}$ tau alpha rr k rho_q rho_A rho_ys rho_pies;
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psi1 = 1.54;
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psi2 = 0.25;
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psi3 = 0.25;
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rho_R = 0.5;
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alpha = 0.3;
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rr = 2.51;
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k = 0.5;
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tau = 0.5;
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rho_q = 0.4;
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rho_A = 0.2;
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rho_ys = 0.9;
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rho_pies = 0.7;
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model(linear);
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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);
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pie = exp(-rr/400)*pie(+1)+alpha*exp(-rr/400)*dq(+1)-alpha*dq+(k/(tau+alpha*(2-alpha)*(1-tau)))*y+k*alpha*(2-alpha)*(1-tau)/(tau*(tau+alpha*(2-alpha)*(1-tau)))*y_s;
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pie = de+(1-alpha)*dq+pie_s;
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R = rho_R*R(-1)+(1-rho_R)*(psi1*pie+psi2*(y+alpha*(2-alpha)*((1-tau)/tau)*y_s)+psi3*de)+e_R;
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dq = rho_q*dq(-1)+e_q;
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y_s = rho_ys*y_s(-1)+e_ys;
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pie_s = rho_pies*pie_s(-1)+e_pies;
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A = rho_A*A(-1)+e_A;
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y_obs = y-y(-1)+A;
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pie_obs = 4*pie;
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R_obs = 4*R;
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end;
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shocks;
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var e_R = 1.25^2;
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var e_q = 2.5^2;
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var e_A = 1.89;
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var e_ys = 1.89;
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var e_pies = 1.89;
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end;
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varobs y_obs R_obs pie_obs dq de;
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@#include "ls2003_model.inc"
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estimated_params;
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psi1 , gamma_pdf,1.5,0.5;
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@ -66,7 +25,7 @@ options_.TeX=true;
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disp(' ');
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disp('NOW I DO STABILITY MAPPING and prepare sample for Reduced form Mapping');
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disp(' ');
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disp('Press ENTER to continue'); pause(5);
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% disp('Press ENTER to continue'); pause(5);
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dynare_sensitivity(redform=1,nodisplay,Nsam=512); //create sample of reduced form coefficients
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// NOTE: since namendo is empty by default,
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@ -75,7 +34,7 @@ dynare_sensitivity(redform=1,nodisplay,Nsam=512); //create sample of reduced for
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disp(' ');
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disp('ANALYSIS OF REDUCED FORM COEFFICIENTS');
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disp(' ');
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disp('Press ENTER to continue'); pause(5);
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% disp('Press ENTER to continue'); pause(5);
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dynare_sensitivity(nodisplay, load_stab=1, // load previously generated sample analysed for stability
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redform=1, // do the reduced form mapping
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@ -87,6 +46,7 @@ stab=0, // don't repeat again the stability mapping
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Nsam=512);
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disp(' ');
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disp('THE PREVIOUS TWO CALLS COULD BE DONE TOGETHER');
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disp('BY USING THE COMBINED CALL');
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@ -94,7 +54,7 @@ disp(' ');
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disp('dynare_sensitivity(redform=1,')
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disp('threshold_redform=[-1 0], namendo=(pie,R), namexo=(e_R), namlagendo=(R));')
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disp(' ');
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disp('Press ENTER to continue'); pause(5);
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% disp('Press ENTER to continue'); pause(5);
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//dynare_sensitivity(
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//redform=1, //create sample of reduced form coefficients
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//logtrans_redform=1, // estimate log-transformed reduced form coefficients (default=0)
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@ -107,7 +67,7 @@ disp('Press ENTER to continue'); pause(5);
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disp(' ');
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disp('MC FILTERING(rmse=1), TO MAP THE FIT FROM PRIORS');
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disp('Press ENTER to continue'); pause(5);
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%disp('Press ENTER to continue'); pause(5);
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dynare_sensitivity(nodisplay, datafile='data_ca1.m',first_obs=8,nobs=79,prefilter=1, // also presample=2,loglinear, are admissible
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load_stab=1, // load prior sample
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@ -125,7 +85,7 @@ disp('logtrans_redform=1, namendo=(pie,R), namexo=(e_R), namlagendo=(R),')
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disp('datafile=data_ca1.m,first_obs=8,nobs=79,prefilter=1,')
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disp('istart_rmse=2, rmse=1);')
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disp(' ');
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disp('Press ENTER to continue'); pause(5);
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% disp('Press ENTER to continue'); pause(5);
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//dynare_sensitivity(
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//redform=1, //create sample of reduced form coefficients
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//logtrans_redform=1, // estimate log-transformed reduced form coefficients (default=0)
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@ -142,14 +102,13 @@ disp('Press ENTER to continue'); pause(5);
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disp(' ');
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disp('I ESTIMATE THE MODEL');
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disp(' ');
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disp('Press ENTER to continue'); pause(5);
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% disp('Press ENTER to continue'); pause(5);
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// run this to generate posterior mode and Metropolis files if not yet done
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estimation(datafile='data_ca1.m',first_obs=8,nobs=79,mh_nblocks=1,
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prefilter=1,mh_jscale=0.5,mh_replic=5000,silent_optimizer, mode_compute=4, mh_drop=0.6, nodisplay,
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bayesian_irf, filtered_vars, smoother) y_obs R_obs pie_obs dq de;
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// run this to produce posterior samples of filtered, smoothed and irf variables, if not yet done
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//estimation(datafile='data_ca1.m',first_obs=8,nobs=79,mh_nblocks=2,prefilter=1,mh_jscale=0.3,
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// mh_replic=0, mode_file='ls2003/Output/ls2003_mode', mode_compute=0, load_mh_file, bayesian_irf,
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@ -160,7 +119,7 @@ disp('WE DO STABILITY MAPPING AGAIN, EXPLORING AROUND THE MODE BY A WIDTH +- 0.2
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disp('THEN WE DO RMSE analysis in this neighborhood');
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disp('Typical for ML estimation, also feasible for posterior mode');
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disp(' ');
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disp('Press ENTER to continue'); pause(5);
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% disp('Press ENTER to continue'); pause(5);
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dynare_sensitivity(nodisplay, pprior=0,Nsam=512,neighborhood_width=0.2,
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mode_file='ls2003/Output/ls2003_mode', // specifies the mode file where the mode and Hessian are stored
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@ -171,7 +130,7 @@ disp(' ');
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disp('WE DO STABILITY MAPPING AGAIN, BUT FOR MULTIVARIATE SAMPLE AT THE POSTERIOR MODE (or ML) and Hessian (pprior=0 & ppost=0)');
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disp('Typical for ML estimation, also feasible for posterior mode');
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disp(' ');
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disp('Press ENTER to continue'); pause(5);
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% disp('Press ENTER to continue'); pause(5);
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dynare_sensitivity(nodisplay, pprior=0,Nsam=512,
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mode_file='ls2003/Output/ls2003_mode' // specifies the mode file where the mode and Hessian are stored
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@ -181,7 +140,7 @@ mode_file='ls2003/Output/ls2003_mode' // specifies the mode file where the mode
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disp(' ');
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disp('RMSE ANALYSIS FOR MULTIVARIATE SAMPLE AT THE POSTERIOR MODE');
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disp(' ');
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disp('Press ENTER to continue'); pause(5);
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disp('Press ENTER to continue'); % pause(5);
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dynare_sensitivity(nodisplay, mode_file='ls2003/Output/ls2003_mode',
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datafile='data_ca1.m',first_obs=8,nobs=79,prefilter=1,
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pprior=0,
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@ -199,10 +158,10 @@ disp('dynare_sensitivity(pprior=0,Nsam=512,alpha2_stab=0.4,mode_file=ls2003_mode
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disp('datafile=data_ca1.m,first_obs=8,nobs=79,prefilter=1,')
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disp('rmse=1, alpha2_rmse=0, alpha_rmse=0);')
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disp(' ');
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disp('Press ENTER to continue'); pause(5);
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% disp('Press ENTER to continue'); pause(5);
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//dynare_sensitivity(pprior=0,Nsam=2048,alpha2_stab=0.4,mode_file='ls2003/Output/ls2003_mode',
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//datafile='data_ca1.m',first_obs=8,nobs=79,prefilter=1,
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//rmse=1,
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//rmse=1pae
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//alpha2_rmse=0, // no correlation analysis
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//alpha_rmse=0 // no Smirnov sensitivity analysis
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//);
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@ -210,7 +169,7 @@ disp('Press ENTER to continue'); pause(5);
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disp(' ');
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disp('RMSE ANALYSIS FOR POSTERIOR MCMC sample (ppost=1)');
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disp('Needs a call to dynare_estimation to load all MH environment');
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disp('Press ENTER to continue'); pause(5);
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% disp('Press ENTER to continue'); pause(5);
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//estimation(datafile='data_ca1.m',first_obs=8,nobs=79,mh_nblocks=2, mode_file='ls2003/Output/ls2003_mode', load_mh_file,
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// prefilter=1,mh_jscale=0.5,mh_replic=0, mode_compute=0, mh_drop=0.6);
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@ -0,0 +1,70 @@
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var y
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y_s
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R
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pie $\pi$
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dq
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pie_s
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de
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A
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y_obs ${y^{obs}}$
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pie_obs ${\pi^{obs}}$
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R_obs ${R^{obs}}$;
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varexo e_R ${\varepsilon^R}$
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e_q ${\varepsilon^q}$
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e_ys ${\varepsilon^{ys}}$
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e_pies ${\varepsilon^\pi}$
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e_A ${\varepsilon^A}$;
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parameters psi1 ${\psi_1}$
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psi2 ${\psi_2}$
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psi3 ${\psi_3}$
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rho_R ${\rho_R}$
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tau ${\tau}$
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alpha ${\alpha}$
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rr
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k
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rho_q ${\rho_q}$
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rho_A ${\rho_A}$
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rho_ys ${\rho_{ys}}$
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rho_pies ${\rho_\pi}$;
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psi1 = 1.54;
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psi2 = 0.25;
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psi3 = 0.25;
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rho_R = 0.5;
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alpha = 0.3;
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rr = 2.51;
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k = 0.5;
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tau = 0.5;
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rho_q = 0.4;
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rho_A = 0.2;
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rho_ys = 0.9;
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rho_pies = 0.7;
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model(linear);
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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);
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pie = exp(-rr/400)*pie(+1)+alpha*exp(-rr/400)*dq(+1)-alpha*dq+(k/(tau+alpha*(2-alpha)*(1-tau)))*y+k*alpha*(2-alpha)*(1-tau)/(tau*(tau+alpha*(2-alpha)*(1-tau)))*y_s;
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pie = de+(1-alpha)*dq+pie_s;
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R = rho_R*R(-1)+(1-rho_R)*(psi1*pie+psi2*(y+alpha*(2-alpha)*((1-tau)/tau)*y_s)+psi3*de)+e_R;
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dq = rho_q*dq(-1)+e_q;
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y_s = rho_ys*y_s(-1)+e_ys;
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pie_s = rho_pies*pie_s(-1)+e_pies;
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A = rho_A*A(-1)+e_A;
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y_obs = y-y(-1)+A;
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pie_obs = 4*pie;
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R_obs = 4*R;
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end;
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shocks;
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var e_R = 1.25^2;
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var e_q = 2.5^2;
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var e_A = 1.89;
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var e_ys = 1.89;
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var e_pies = 1.89;
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end;
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varobs y_obs R_obs pie_obs dq de;
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options_.TeX=1;
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@ -1,45 +1,4 @@
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var y y_s R pie dq pie_s de A y_obs pie_obs R_obs;
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varexo e_R e_q e_ys e_pies e_A;
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parameters psi1 psi2 psi3 rho_R tau alpha rr k rho_q rho_A rho_ys rho_pies;
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psi1 = 1.54;
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psi2 = 0.25;
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psi3 = 0.25;
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rho_R = 0.5;
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alpha = 0.3;
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rr = 2.51;
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k = 0.5;
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tau = 0.5;
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rho_q = 0.4;
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rho_A = 0.2;
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rho_ys = 0.9;
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rho_pies = 0.7;
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model(linear);
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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);
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pie = exp(-rr/400)*pie(+1)+alpha*exp(-rr/400)*dq(+1)-alpha*dq+(k/(tau+alpha*(2-alpha)*(1-tau)))*y+k*alpha*(2-alpha)*(1-tau)/(tau*(tau+alpha*(2-alpha)*(1-tau)))*y_s;
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pie = de+(1-alpha)*dq+pie_s;
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R = rho_R*R(-1)+(1-rho_R)*(psi1*pie+psi2*(y+alpha*(2-alpha)*((1-tau)/tau)*y_s)+psi3*de)+e_R;
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dq = rho_q*dq(-1)+e_q;
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y_s = rho_ys*y_s(-1)+e_ys;
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pie_s = rho_pies*pie_s(-1)+e_pies;
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A = rho_A*A(-1)+e_A;
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y_obs = y-y(-1)+A;
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pie_obs = 4*pie;
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R_obs = 4*R;
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end;
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shocks;
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var e_R = 1.25^2;
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var e_q = 2.5^2;
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var e_A = 1.89;
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var e_ys = 1.89;
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var e_pies = 1.89;
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end;
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varobs y_obs R_obs pie_obs dq de;
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@#include "ls2003_model.inc"
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estimated_params;
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psi1 , gamma_pdf,1.5,0.5;
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@ -1,45 +1,4 @@
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var y y_s R pie dq pie_s de A y_obs pie_obs R_obs;
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varexo e_R e_q e_ys e_pies e_A;
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parameters psi1 psi2 psi3 rho_R tau alpha rr k rho_q rho_A rho_ys rho_pies;
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psi1 = 1.54;
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psi2 = 0.25;
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psi3 = 0.25;
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rho_R = 0.5;
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alpha = 0.3;
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rr = 2.51;
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k = 0.5;
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tau = 0.5;
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rho_q = 0.4;
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rho_A = 0.2;
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rho_ys = 0.9;
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rho_pies = 0.7;
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model(linear);
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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);
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pie = exp(-rr/400)*pie(+1)+alpha*exp(-rr/400)*dq(+1)-alpha*dq+(k/(tau+alpha*(2-alpha)*(1-tau)))*y+k*alpha*(2-alpha)*(1-tau)/(tau*(tau+alpha*(2-alpha)*(1-tau)))*y_s;
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pie = de+(1-alpha)*dq+pie_s;
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R = rho_R*R(-1)+(1-rho_R)*(psi1*pie+psi2*(y+alpha*(2-alpha)*((1-tau)/tau)*y_s)+psi3*de)+e_R;
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dq = rho_q*dq(-1)+e_q;
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y_s = rho_ys*y_s(-1)+e_ys;
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pie_s = rho_pies*pie_s(-1)+e_pies;
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A = rho_A*A(-1)+e_A;
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y_obs = y-y(-1)+A;
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pie_obs = 4*pie;
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R_obs = 4*R;
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end;
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shocks;
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var e_R = 1.25^2;
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var e_q = 2.5^2;
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var e_A = 1.89;
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var e_ys = 1.89;
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var e_pies = 1.89;
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end;
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varobs y_obs R_obs pie_obs dq de;
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@#include "ls2003_model.inc"
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estimated_params;
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psi1 , gamma_pdf,1.5,0.5;
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@ -65,15 +24,14 @@ end;
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disp('CREATE SCREENING SAMPLE, CHECK FOR STABILITY AND PERFORM A SCREENING FOR IDENTIFICATION ANALYSIS');
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disp('TYPE II ERRORS')
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disp(' ')
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disp('PRESS ENTER TO CONTUNUE');
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pause(5);
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% disp('PRESS ENTER TO CONTUNUE');
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% pause(5);
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dynare_sensitivity(identification=1, morris_nliv=6, morris_ntra=50);
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disp('CREATE MC SAMPLE, CHECK FOR STABILITY AND PERFORM IDENTIFICATION ANALYSIS');
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disp('WIth analytic derivatives')
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disp('With analytic derivatives')
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disp(' ')
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disp('PRESS ENTER TO CONTUNUE');
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pause(5);
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dynare_sensitivity(identification=1, morris=2);
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||||
% disp('PRESS ENTER TO CONTUNUE');
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||||
% pause(5);
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||||
dynare_sensitivity(identification=1, morris=2);
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||||
|
|
@ -1,45 +1,4 @@
|
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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;
|
||||
|
||||
|
||||
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);
|
||||
pie = exp(-rr/400)*pie(+1)+alpha*exp(-rr/400)*dq(+1)-alpha*dq+(k/(tau+alpha*(2-alpha)*(1-tau)))*y+k*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;
|
||||
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;
|
||||
@#include "ls2003_model.inc"
|
||||
|
||||
estimated_params;
|
||||
psi1 , gamma_pdf,1.5,0.5;
|
||||
|
|
@ -63,8 +22,8 @@ end;
|
|||
|
||||
|
||||
disp('CREATE SCREENING SAMPLE, CHECK FOR STABILITY AND PERFORM SENSITIVITY ANALYSIS');
|
||||
disp('PRESS ENTER TO CONTUNUE');
|
||||
pause;
|
||||
% disp('PRESS ENTER TO CONTUNUE');
|
||||
% pause;
|
||||
|
||||
dynare_sensitivity(morris=1, morris_nliv=6, morris_ntra=20, redform=1,
|
||||
namendo=(:), namexo=(:), namlagendo=(:));
|
||||
|
|
|
|||
Loading…
Reference in New Issue