added in manual a section on how to use steady_state_model block with
initval and endval for deterministic models. Added test cases for deterministic models.time-shift
parent
31f6831b09
commit
eab165d3ee
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@ -2569,6 +2569,15 @@ function returning several arguments:
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Dynare will automatically generate a steady state file using the
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Dynare will automatically generate a steady state file using the
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information provided in this block.
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information provided in this block.
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@customhead{Steady state file for deterministic models}
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@code{steady_state_model} block works also with deterministic
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models. An @code{initval} block and, when necessary, an @code{endval}
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block, is used to set the value of the exogenous variables. Each
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@code{initval} or @code{endval} block must be followed by @code{steady}
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to execute the function created by @code{steady_state_model} and set the
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initial, respectively terminal, steady state.
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@examplehead
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@examplehead
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@example
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@example
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@ -125,7 +125,13 @@ MODFILES = \
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second_order/ds1.mod \
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second_order/ds1.mod \
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second_order/ds2.mod \
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second_order/ds2.mod \
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ep/rbc.mod \
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ep/rbc.mod \
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ep/linear.mod
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ep/linear.mod \
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deterministic_simulations/deterministic_model_purely_forward.mod \
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deterministic_simulations/rbc_det1.mod \
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deterministic_simulations/rbc_det2.mod \
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deterministic_simulations/rbc_det3.mod \
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deterministic_simulations/rbc_det4.mod \
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deterministic_simulations/rbc_det5.mod
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EXTRA_DIST = \
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EXTRA_DIST = \
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$(MODFILES) \
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$(MODFILES) \
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@ -0,0 +1,54 @@
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var y i pi rbar ;
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varexo r tauw taus taua gn;
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parameters khia khiw khis phipi phiy taubs taubw tauba w sigma psi kappa alpha mu beta teta;
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teta = 12.7721;
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sigma = 1.1599;
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beta = 0.9970;
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alpha = 0.7747;
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mu = 0.9030;
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taubs = 0.05;
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taubw = 0.02;
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tauba = 0;
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w = 1.5692;
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phipi = 1.5;
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phiy = 0.5/4;
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khia = (1-beta)/(1-tauba);
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khiw = 1/(1-taubw);
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khis = 1/(1+taubs);
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psi = 1/(sigma + w);
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kappa = (1-alpha)*(1-alpha*beta)*(sigma+w)/(alpha*(1+w*teta));
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model(linear);
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y = y(+1)-sigma*(i-pi(+1)-r)+(gn-gn(+1))+(sigma)^-1*khis*(taus(+1)-taus)+sigma*khia*taua;
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pi=kappa*y+kappa*psi*(khiw*tauw+khis*taus-sigma*gn)+beta*pi(+1);
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i=max(0,r+phipi*pi+phiy*y);
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rbar = -((kappa*phipi+(1-beta*mu)*phiy)*sigma^-1*khia*taus)/((1-mu+sigma^-1*phiy)*(1-beta*mu)+kappa*sigma^-1*(phipi-mu))
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- (((1-mu)*kappa*psi*phipi+sigma^-1*mu*kappa*psi*phiy)*khiw*tauw)/((1-mu+sigma^-1*phiy)*(1-beta*mu)+kappa*sigma*(phipi-mu))
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-(kappa*sigma*(1-mu)*(sigma^-1-psi)*phipi+((1-mu)*(1-beta*mu)-kappa*psi*mu)*phiy)*(gn-sigma^-1*khis*taus)/((1-mu-sigma^-1*phiy)*(1-beta*mu)+kappa*sigma^-1*(phipi-mu));
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end;
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initval;
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y=0;
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i=-log(beta);
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pi=0;
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rbar = 0;
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end;
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steady;
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check;
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shocks;
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var r;
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periods 1:9;
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values -0.0104;
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end;
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simul(periods=2100);
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@ -0,0 +1,75 @@
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var Capital, Output, Labour, Consumption, Efficiency, efficiency, ExpectedTerm;
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varexo EfficiencyInnovation;
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parameters beta, theta, tau, alpha, psi, delta, rho, effstar, sigma2;
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beta = 0.9900;
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theta = 0.3570;
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tau = 2.0000;
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alpha = 0.4500;
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psi = -0.1000;
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delta = 0.0200;
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rho = 0.8000;
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effstar = 1.0000;
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sigma2 = 0;
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model(block,bytecode,cutoff=0);
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// Eq. n°1:
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efficiency = rho*efficiency(-1) + EfficiencyInnovation;
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// Eq. n°2:
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Efficiency = effstar*exp(efficiency);
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// Eq. n°3:
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Output = Efficiency*(alpha*(Capital(-1)^psi)+(1-alpha)*(Labour^psi))^(1/psi);
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// Eq. n°4:
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Capital = Output-Consumption + (1-delta)*Capital(-1);
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// Eq. n°5:
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((1-theta)/theta)*(Consumption/(1-Labour)) - (1-alpha)*(Output/Labour)^(1-psi);
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// Eq. n°6:
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(((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption = ExpectedTerm(1);
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// Eq. n°7:
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ExpectedTerm = beta*((((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption)*(alpha*((Output/Capital(-1))^(1-psi))+(1-delta));
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end;
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steady_state_model;
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efficiency = EfficiencyInnovation/(1-rho);
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Efficiency = effstar*exp(efficiency);
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Output_per_unit_of_Capital=((1/beta-1+delta)/alpha)^(1/(1-psi));
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Consumption_per_unit_of_Capital=Output_per_unit_of_Capital-delta;
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Labour_per_unit_of_Capital=(((Output_per_unit_of_Capital/Efficiency)^psi-alpha)/(1-alpha))^(1/psi);
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Output_per_unit_of_Labour=Output_per_unit_of_Capital/Labour_per_unit_of_Capital;
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Consumption_per_unit_of_Labour=Consumption_per_unit_of_Capital/Labour_per_unit_of_Capital;
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% Compute steady state share of capital.
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ShareOfCapital=alpha/(alpha+(1-alpha)*Labour_per_unit_of_Capital^psi);
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% Compute steady state of the endogenous variables.
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Labour=1/(1+Consumption_per_unit_of_Labour/((1-alpha)*theta/(1-theta)*Output_per_unit_of_Labour^(1-psi)));
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Consumption=Consumption_per_unit_of_Labour*Labour;
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Capital=Labour/Labour_per_unit_of_Capital;
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Output=Output_per_unit_of_Capital*Capital;
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ExpectedTerm=beta*((((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption)
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*(alpha*((Output/Capital)^(1-psi))+1-delta);
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end;
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steady;
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ik = varlist_indices('Capital',M_.endo_names);
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CapitalSS = oo_.steady_state(ik);
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histval;
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Capital(0) = CapitalSS/2;
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end;
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simul(periods=300);
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rplot Consumption;
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rplot Capital;
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@ -0,0 +1,75 @@
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var Capital, Output, Labour, Consumption, Efficiency, efficiency, ExpectedTerm;
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varexo EfficiencyInnovation;
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parameters beta, theta, tau, alpha, psi, delta, rho, effstar, sigma2;
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beta = 0.9900;
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theta = 0.3570;
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tau = 2.0000;
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alpha = 0.4500;
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psi = -0.1000;
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delta = 0.0200;
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rho = 0.8000;
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effstar = 1.0000;
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sigma2 = 0;
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model(block,bytecode,cutoff=0);
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// Eq. n°1:
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efficiency = rho*efficiency(-1) + EfficiencyInnovation;
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// Eq. n°2:
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Efficiency = effstar*exp(efficiency);
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// Eq. n°3:
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Output = Efficiency*(alpha*(Capital(-1)^psi)+(1-alpha)*(Labour^psi))^(1/psi);
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// Eq. n°4:
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Capital = Output-Consumption + (1-delta)*Capital(-1);
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// Eq. n°5:
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((1-theta)/theta)*(Consumption/(1-Labour)) - (1-alpha)*(Output/Labour)^(1-psi);
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// Eq. n°6:
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(((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption = ExpectedTerm(1);
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// Eq. n°7:
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ExpectedTerm = beta*((((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption)*(alpha*((Output/Capital(-1))^(1-psi))+(1-delta));
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end;
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steady_state_model;
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Output_per_unit_of_Capital=((1/beta-1+delta)/alpha)^(1/(1-psi));
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Consumption_per_unit_of_Capital=Output_per_unit_of_Capital-delta;
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Labour_per_unit_of_Capital=(((Output_per_unit_of_Capital/effstar)^psi-alpha)/(1-alpha))^(1/psi);
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Output_per_unit_of_Labour=Output_per_unit_of_Capital/Labour_per_unit_of_Capital;
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Consumption_per_unit_of_Labour=Consumption_per_unit_of_Capital/Labour_per_unit_of_Capital;
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% Compute steady state share of capital.
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ShareOfCapital=alpha/(alpha+(1-alpha)*Labour_per_unit_of_Capital^psi);
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% Compute steady state of the endogenous variables.
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Labour=1/(1+Consumption_per_unit_of_Labour/((1-alpha)*theta/(1-theta)*Output_per_unit_of_Labour^(1-psi)));
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Consumption=Consumption_per_unit_of_Labour*Labour;
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Capital=Labour/Labour_per_unit_of_Capital;
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Output=Output_per_unit_of_Capital*Capital;
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Efficiency=effstar;
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efficiency=0;
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ExpectedTerm=beta*((((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption)
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*(alpha*((Output/Capital)^(1-psi))+1-delta);
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LagrangeMultiplier=0;
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end;
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//steady;
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shocks;
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var EfficiencyInnovation;
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periods 1;
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values -0.1;
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end;
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simul(periods=300);
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rplot Consumption;
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rplot Capital;
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@ -0,0 +1,75 @@
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var Capital, Output, Labour, Consumption, Efficiency, efficiency, ExpectedTerm;
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varexo EfficiencyInnovation;
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parameters beta, theta, tau, alpha, psi, delta, rho, effstar, sigma2;
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beta = 0.9900;
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theta = 0.3570;
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tau = 2.0000;
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alpha = 0.4500;
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psi = -0.1000;
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delta = 0.0200;
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rho = 0.8000;
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effstar = 1.0000;
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sigma2 = 0;
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model(block,bytecode,cutoff=0);
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// Eq. n°1:
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efficiency = rho*efficiency(-1) + EfficiencyInnovation;
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// Eq. n°2:
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Efficiency = effstar*exp(efficiency);
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// Eq. n°3:
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Output = Efficiency*(alpha*(Capital(-1)^psi)+(1-alpha)*(Labour^psi))^(1/psi);
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// Eq. n°4:
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Capital = Output-Consumption + (1-delta)*Capital(-1);
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// Eq. n°5:
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((1-theta)/theta)*(Consumption/(1-Labour)) - (1-alpha)*(Output/Labour)^(1-psi);
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// Eq. n°6:
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(((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption = ExpectedTerm(1);
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// Eq. n°7:
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ExpectedTerm = beta*((((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption)*(alpha*((Output/Capital(-1))^(1-psi))+(1-delta));
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end;
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steady_state_model;
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Output_per_unit_of_Capital=((1/beta-1+delta)/alpha)^(1/(1-psi));
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Consumption_per_unit_of_Capital=Output_per_unit_of_Capital-delta;
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Labour_per_unit_of_Capital=(((Output_per_unit_of_Capital/effstar)^psi-alpha)/(1-alpha))^(1/psi);
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Output_per_unit_of_Labour=Output_per_unit_of_Capital/Labour_per_unit_of_Capital;
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Consumption_per_unit_of_Labour=Consumption_per_unit_of_Capital/Labour_per_unit_of_Capital;
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% Compute steady state share of capital.
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ShareOfCapital=alpha/(alpha+(1-alpha)*Labour_per_unit_of_Capital^psi);
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% Compute steady state of the endogenous variables.
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Labour=1/(1+Consumption_per_unit_of_Labour/((1-alpha)*theta/(1-theta)*Output_per_unit_of_Labour^(1-psi)));
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Consumption=Consumption_per_unit_of_Labour*Labour;
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Capital=Labour/Labour_per_unit_of_Capital;
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Output=Output_per_unit_of_Capital*Capital;
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Efficiency=effstar;
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efficiency=0;
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ExpectedTerm=beta*((((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption)
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*(alpha*((Output/Capital)^(1-psi))+1-delta);
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LagrangeMultiplier=0;
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end;
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steady;
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shocks;
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var EfficiencyInnovation;
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periods 4, 5, 6, 7, 8;
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values 0.04, 0.05, 0.06, 0.07, 0.08;
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end;
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simul(periods=300);
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rplot Consumption;
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rplot Capital;
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@ -0,0 +1,78 @@
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var Capital, Output, Labour, Consumption, Efficiency, efficiency, ExpectedTerm;
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varexo EfficiencyInnovation;
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parameters beta, theta, tau, alpha, psi, delta, rho, effstar, sigma2;
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beta = 0.9900;
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theta = 0.3570;
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tau = 2.0000;
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alpha = 0.4500;
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psi = -0.1000;
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delta = 0.0200;
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rho = 0.8000;
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effstar = 1.0000;
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sigma2 = 0;
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model(block,bytecode,cutoff=0);
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// Eq. n°1:
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efficiency = rho*efficiency(-1) + EfficiencyInnovation;
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// Eq. n°2:
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Efficiency = effstar*exp(efficiency);
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// Eq. n°3:
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Output = Efficiency*(alpha*(Capital(-1)^psi)+(1-alpha)*(Labour^psi))^(1/psi);
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// Eq. n°4:
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Capital = Output-Consumption + (1-delta)*Capital(-1);
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// Eq. n°5:
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((1-theta)/theta)*(Consumption/(1-Labour)) - (1-alpha)*(Output/Labour)^(1-psi);
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// Eq. n°6:
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(((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption = ExpectedTerm(1);
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// Eq. n°7:
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ExpectedTerm = beta*((((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption)*(alpha*((Output/Capital(-1))^(1-psi))+(1-delta));
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|
end;
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steady_state_model;
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efficiency = EfficiencyInnovation/(1-rho);
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Efficiency = effstar*exp(efficiency);
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Output_per_unit_of_Capital=((1/beta-1+delta)/alpha)^(1/(1-psi));
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Consumption_per_unit_of_Capital=Output_per_unit_of_Capital-delta;
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Labour_per_unit_of_Capital=(((Output_per_unit_of_Capital/Efficiency)^psi-alpha)/(1-alpha))^(1/psi);
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Output_per_unit_of_Labour=Output_per_unit_of_Capital/Labour_per_unit_of_Capital;
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Consumption_per_unit_of_Labour=Consumption_per_unit_of_Capital/Labour_per_unit_of_Capital;
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|
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|
% Compute steady state share of capital.
|
||||||
|
ShareOfCapital=alpha/(alpha+(1-alpha)*Labour_per_unit_of_Capital^psi);
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|
|
||||||
|
% Compute steady state of the endogenous variables.
|
||||||
|
Labour=1/(1+Consumption_per_unit_of_Labour/((1-alpha)*theta/(1-theta)*Output_per_unit_of_Labour^(1-psi)));
|
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|
Consumption=Consumption_per_unit_of_Labour*Labour;
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|
Capital=Labour/Labour_per_unit_of_Capital;
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|
Output=Output_per_unit_of_Capital*Capital;
|
||||||
|
ExpectedTerm=beta*((((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption)
|
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|
*(alpha*((Output/Capital)^(1-psi))+1-delta);
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||||||
|
end;
|
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|
|
||||||
|
initval;
|
||||||
|
EfficiencyInnovation = 0;
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||||||
|
end;
|
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|
|
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|
steady;
|
||||||
|
|
||||||
|
endval;
|
||||||
|
EfficiencyInnovation = (1-rho)*log(1.05);
|
||||||
|
end;
|
||||||
|
|
||||||
|
steady;
|
||||||
|
|
||||||
|
simul(periods=300);
|
||||||
|
|
||||||
|
rplot Consumption;
|
||||||
|
rplot Capital;
|
|
@ -0,0 +1,84 @@
|
||||||
|
var Capital, Output, Labour, Consumption, Efficiency, efficiency, ExpectedTerm;
|
||||||
|
|
||||||
|
varexo EfficiencyInnovation;
|
||||||
|
|
||||||
|
parameters beta, theta, tau, alpha, psi, delta, rho, effstar, sigma2;
|
||||||
|
|
||||||
|
beta = 0.9900;
|
||||||
|
theta = 0.3570;
|
||||||
|
tau = 2.0000;
|
||||||
|
alpha = 0.4500;
|
||||||
|
psi = -0.1000;
|
||||||
|
delta = 0.0200;
|
||||||
|
rho = 0.8000;
|
||||||
|
effstar = 1.0000;
|
||||||
|
sigma2 = 0;
|
||||||
|
|
||||||
|
model(block,bytecode,cutoff=0);
|
||||||
|
|
||||||
|
// Eq. n°1:
|
||||||
|
efficiency = rho*efficiency(-1) + EfficiencyInnovation;
|
||||||
|
|
||||||
|
// Eq. n°2:
|
||||||
|
Efficiency = effstar*exp(efficiency);
|
||||||
|
|
||||||
|
// Eq. n°3:
|
||||||
|
Output = Efficiency*(alpha*(Capital(-1)^psi)+(1-alpha)*(Labour^psi))^(1/psi);
|
||||||
|
|
||||||
|
// Eq. n°4:
|
||||||
|
Capital = Output-Consumption + (1-delta)*Capital(-1);
|
||||||
|
|
||||||
|
// Eq. n°5:
|
||||||
|
((1-theta)/theta)*(Consumption/(1-Labour)) - (1-alpha)*(Output/Labour)^(1-psi);
|
||||||
|
|
||||||
|
// Eq. n°6:
|
||||||
|
(((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption = ExpectedTerm(1);
|
||||||
|
|
||||||
|
// Eq. n°7:
|
||||||
|
ExpectedTerm = beta*((((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption)*(alpha*((Output/Capital(-1))^(1-psi))+(1-delta));
|
||||||
|
|
||||||
|
end;
|
||||||
|
|
||||||
|
steady_state_model;
|
||||||
|
efficiency = EfficiencyInnovation/(1-rho);
|
||||||
|
Efficiency = effstar*exp(efficiency);
|
||||||
|
Output_per_unit_of_Capital=((1/beta-1+delta)/alpha)^(1/(1-psi));
|
||||||
|
Consumption_per_unit_of_Capital=Output_per_unit_of_Capital-delta;
|
||||||
|
Labour_per_unit_of_Capital=(((Output_per_unit_of_Capital/Efficiency)^psi-alpha)/(1-alpha))^(1/psi);
|
||||||
|
Output_per_unit_of_Labour=Output_per_unit_of_Capital/Labour_per_unit_of_Capital;
|
||||||
|
Consumption_per_unit_of_Labour=Consumption_per_unit_of_Capital/Labour_per_unit_of_Capital;
|
||||||
|
|
||||||
|
% Compute steady state share of capital.
|
||||||
|
ShareOfCapital=alpha/(alpha+(1-alpha)*Labour_per_unit_of_Capital^psi);
|
||||||
|
|
||||||
|
% Compute steady state of the endogenous variables.
|
||||||
|
Labour=1/(1+Consumption_per_unit_of_Labour/((1-alpha)*theta/(1-theta)*Output_per_unit_of_Labour^(1-psi)));
|
||||||
|
Consumption=Consumption_per_unit_of_Labour*Labour;
|
||||||
|
Capital=Labour/Labour_per_unit_of_Capital;
|
||||||
|
Output=Output_per_unit_of_Capital*Capital;
|
||||||
|
ExpectedTerm=beta*((((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption)
|
||||||
|
*(alpha*((Output/Capital)^(1-psi))+1-delta);
|
||||||
|
end;
|
||||||
|
|
||||||
|
initval;
|
||||||
|
EfficiencyInnovation = 0;
|
||||||
|
end;
|
||||||
|
|
||||||
|
steady;
|
||||||
|
|
||||||
|
endval;
|
||||||
|
EfficiencyInnovation = (1-rho)*log(1.05);
|
||||||
|
end;
|
||||||
|
|
||||||
|
steady;
|
||||||
|
|
||||||
|
shocks;
|
||||||
|
var EfficiencyInnovation;
|
||||||
|
periods 1:5;
|
||||||
|
values 0;
|
||||||
|
end;
|
||||||
|
|
||||||
|
simul(periods=300);
|
||||||
|
|
||||||
|
rplot Consumption;
|
||||||
|
rplot Capital;
|
Loading…
Reference in New Issue