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fixing problem with irreversible investment tests case ep/rbcii.mod

time-shift
Michel Juillard 2012-06-05 15:57:12 +02:00
parent 5fdcd124c4
commit e98aa4df90
1 changed files with 35 additions and 21 deletions
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56
tests/ep/rbcii.mod
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@ -1,6 +1,6 @@
@#define extended_path_version = 1 @#define extended_path_version = 1
var Capital, Output, Labour, Consumption, Investment, Efficiency, efficiency, ExpectedTerm; var Capital, Output, Labour, Consumption, Investment, Output1, Labour1, Consumption1, Output2, Labour2, Consumption2, Efficiency, efficiency, ExpectedTerm;
varexo EfficiencyInnovation; varexo EfficiencyInnovation;
@ -30,29 +30,33 @@ external_function(name=mean_preserving_spread,nargs=2);
model; model;
// Eq. n°1:
efficiency = rho*efficiency(-1) + EfficiencyInnovation; efficiency = rho*efficiency(-1) + EfficiencyInnovation;
// Eq. n°2:
Efficiency = effstar*exp(efficiency-mean_preserving_spread(rho,sigma2)); Efficiency = effstar*exp(efficiency-mean_preserving_spread(rho,sigma2));
// Eq. n°3: (((Consumption1^theta)*((1-Labour1)^(1-theta)))^(1-tau))/Consumption1 - ExpectedTerm(1);
Output = Efficiency*(alpha*(Capital(-1)^psi)+(1-alpha)*(Labour^psi))^(1/psi);
// Eq. n°4:
Capital = max(Output-Consumption,0) + (1-delta)*Capital(-1);
// Eq. n°5:
((1-theta)/theta)*(Consumption/(1-Labour)) - (1-alpha)*(Output/Labour)^(1-psi);
// Eq. n°6:
ExpectedTerm = beta*((((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption)*(alpha*((Output/Capital(-1))^(1-psi))+1-delta); ExpectedTerm = beta*((((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption)*(alpha*((Output/Capital(-1))^(1-psi))+1-delta);
// Eq. n°7: ((1-theta)/theta)*(Consumption1/(1-Labour1)) - (1-alpha)*(Output1/Labour1)^(1-psi);
Investment = Capital - (1-delta)*Capital(-1);
// Eq. n°8: (Euler equation, to be skipped if investment is on its lower bound) Output1 = Efficiency*(alpha*(Capital(-1)^psi)+(1-alpha)*(Labour1^psi))^(1/psi);
(Investment>0)*((((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption - ExpectedTerm(1)) + (1-(Investment>0))*(Output-Consumption);
Consumption2 = Output2;
((1-theta)/theta)*(Consumption2/(1-Labour2)) - (1-alpha)*(Output2/Labour2)^(1-psi);
Output2 = Efficiency*(alpha*(Capital(-1)^psi)+(1-alpha)*(Labour2^psi))^(1/psi);
Consumption = (Output1 > Consumption1)*Consumption1 + (1-(Output1 > Consumption1))*Consumption2;
Labour = (Output1 > Consumption1)*Labour1 + (1-(Output1 > Consumption1))*Labour2;
Output = (Output1 > Consumption1)*Output1 + (1-(Output1 > Consumption1))*Output2;
Capital = Output-Consumption + (1-delta)*Capital(-1);
Investment = Capital - (1-delta)*Capital(-1);
end; end;
@ -76,6 +80,12 @@ Capital = Labour/Labour_per_unit_of_Capital;
Output = Output_per_unit_of_Capital*Capital; Output = Output_per_unit_of_Capital*Capital;
Investment = delta*Capital; Investment = delta*Capital;
ExpectedTerm = beta*((((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption)*(alpha*((Output/Capital)^(1-psi))+1-delta); ExpectedTerm = beta*((((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption)*(alpha*((Output/Capital)^(1-psi))+1-delta);
Output1 = Output;
Output2 = Output;
Labour1 = Labour;
Labour2 = Labour;
Consumption1 = Consumption;
Consumption2 = Consumption;
end; end;
@#if extended_path_version @#if extended_path_version
@ -84,12 +94,12 @@ end;
var EfficiencyInnovation = sigma2; var EfficiencyInnovation = sigma2;
end; end;
steady; steady(nocheck);
options_.maxit_ = 100; options_.maxit_ = 100;
options_.ep.verbosity = 0; options_.ep.verbosity = 0;
options_.ep.stochastic.order = 0; options_.ep.stochastic.order = 0;
options_.ep.stochastic.nodes = 2; options_.ep.stochastic.nodes = 5;
options_.console_mode = 0; options_.console_mode = 0;
ts = extended_path([],100); ts = extended_path([],100);
@ -99,8 +109,10 @@ end;
options_.ep.stochastic.order = 2; options_.ep.stochastic.order = 2;
sts2 = extended_path([],100); sts2 = extended_path([],100);
options_.ep.stochastic.order = 3; // options_.ep.stochastic.order = 3;
sts3 = extended_path([],100); // sts3 = extended_path([],100);
save rbcii ts sts sts2 sts3;
figure(1) figure(1)
plot(ts(2,:)-ts(4,:)); plot(ts(2,:)-ts(4,:));
@ -112,7 +124,9 @@ end;
plot(sts(2,:)-ts(2,:)) plot(sts(2,:)-ts(2,:))
figure(4) figure(4)
plot([(ts(2,:)-ts(4,:))' (sts(2,:)-sts(4,:))' (sts2(2,:)-sts2(4,:))' (sts3(2,:)-sts3(4,:))']) // plot([(ts(2,:)-ts(4,:))' (sts(2,:)-sts(4,:))' (sts2(2,:)-sts2(4,:))' (sts3(2,:)-sts3(4,:))'])
plot([(ts(2,:)-ts(4,:))' (sts(2,:)-sts(4,:))'])
@#else @#else
shocks; shocks;