Improvements to particle tests
parent
29537b761b
commit
ec69174173
|
@ -546,6 +546,7 @@ MODFILES += $(ECB_MODFILES)
|
||||||
PARTICLEFILES = \
|
PARTICLEFILES = \
|
||||||
particle/dsge_base2.mod \
|
particle/dsge_base2.mod \
|
||||||
particle/first_spec.mod \
|
particle/first_spec.mod \
|
||||||
|
particle/first_spec_MCMC.mod \
|
||||||
particle/local_state_space_iteration_k_test.mod
|
particle/local_state_space_iteration_k_test.mod
|
||||||
|
|
||||||
|
|
||||||
|
|
|
@ -2,6 +2,8 @@
|
||||||
|
|
||||||
@#include "first_spec_common.inc"
|
@#include "first_spec_common.inc"
|
||||||
|
|
||||||
|
varobs q ca;
|
||||||
|
|
||||||
shocks;
|
shocks;
|
||||||
var eeps = 0.04^2;
|
var eeps = 0.04^2;
|
||||||
var nnu = 0.03^2;
|
var nnu = 0.03^2;
|
||||||
|
@ -13,4 +15,6 @@ stoch_simul(order=3,periods=200, irf=0);
|
||||||
|
|
||||||
save('my_data.mat','q','ca');
|
save('my_data.mat','q','ca');
|
||||||
|
|
||||||
estimation(datafile='my_data.mat',order=2,mode_compute=0,mh_replic=1,filter_algorithm=sis,nonlinear_filter_initialization=2);
|
estimation(datafile='my_data.mat',order=2,mode_compute=0,mh_replic=0,filter_algorithm=sis,nonlinear_filter_initialization=2
|
||||||
|
,cova_compute=0 %tell program that no covariance matrix was computed
|
||||||
|
);
|
|
@ -0,0 +1,26 @@
|
||||||
|
//File testing error message if initial state vector is not positive definite
|
||||||
|
|
||||||
|
@#include "first_spec_common.inc"
|
||||||
|
|
||||||
|
varobs b ca;
|
||||||
|
|
||||||
|
shocks;
|
||||||
|
var eeps = 0.04^2;
|
||||||
|
var nnu = 0.03^2;
|
||||||
|
var b = 0.01^2;
|
||||||
|
var ca = 0.01^2;
|
||||||
|
end;
|
||||||
|
|
||||||
|
stoch_simul(order=3,periods=200, irf=0);
|
||||||
|
|
||||||
|
save('my_data_MCMC.mat','ca','b');
|
||||||
|
|
||||||
|
options_.pruning=1;
|
||||||
|
options_.particle.pruning=1;
|
||||||
|
options_.particle.number_of_particles=500;
|
||||||
|
|
||||||
|
estimation(datafile='my_data_MCMC.mat',order=2,mh_replic=100,filter_algorithm=sis,nonlinear_filter_initialization=2
|
||||||
|
,mode_compute=0 %don't compute mode
|
||||||
|
,mcmc_jumping_covariance=identity_matrix %use identity matrix
|
||||||
|
,cova_compute=0 %tell program that no covariance matrix was computed
|
||||||
|
,bayesian_irf,moments_varendo,consider_all_endogenous);
|
|
@ -20,27 +20,26 @@ model;
|
||||||
m = bbetaL*exp(-gbar/ies)*uaux(-1)^((ies-1)/(ies*(1-crra))-1)*u^(1/ies-crra)*c^(-1/ies)/c(-1)^(-1/ies);
|
m = bbetaL*exp(-gbar/ies)*uaux(-1)^((ies-1)/(ies*(1-crra))-1)*u^(1/ies-crra)*c^(-1/ies)/c(-1)^(-1/ies);
|
||||||
b = bbar*q^eeta*exp(nnu);
|
b = bbar*q^eeta*exp(nnu);
|
||||||
c + q*b*exp(gbar) = 1 + R*b(-1);
|
c + q*b*exp(gbar) = 1 + R*b(-1);
|
||||||
u = ( (1-bbetaL)*c^((ies-1)/ies) + bbetaL*exp(gbar*(ies-1)/ies)*uaux^((ies-1)/(ies*(1-crra))) )^(ies/(ies-1));
|
u = ( (1-bbetaL)*c^((ies-1)/ies) + bbetaL*exp(gbar*(ies-1)/ies)*uaux^((ies-1)/(ies*(1-crra))))^(ies/(ies-1));
|
||||||
R = (1-Rpers)*Rbar + Rpers*R(-1) + eeps;
|
R = (1-Rpers)*Rbar + Rpers*R(-1) + eeps;
|
||||||
ca = b*exp(gbar)-b(-1);
|
ca = b*exp(gbar)-b(-1);
|
||||||
|
|
||||||
end;
|
end;
|
||||||
|
|
||||||
initval;
|
steady_state_model;
|
||||||
R = Rbar;
|
R = Rbar;
|
||||||
m = bbetaL*exp(-gbar/ies);
|
m = bbetaL*exp(-gbar/ies);
|
||||||
q = bbetaL*exp(-gbar/ies)*Rbar;
|
q = bbetaL*exp(-gbar/ies)*Rbar;
|
||||||
b = bbar*(bbetaL*exp(-gbar/ies)*Rbar)^eeta;
|
b = bbar*(bbetaL*exp(-gbar/ies)*Rbar)^eeta;
|
||||||
c = 1 + Rbar*bbar*(bbetaL*exp(-gbar/ies)*Rbar)^eeta - exp(gbar)*bbar*(bbetaL*exp(-gbar/ies)*Rbar)^eeta*bbetaL*exp(-gbar/ies)*Rbar;
|
c = 1 + Rbar*bbar*(bbetaL*exp(-gbar/ies)*Rbar)^eeta - exp(gbar)*bbar*(bbetaL*exp(-gbar/ies)*Rbar)^eeta*bbetaL*exp(-gbar/ies)*Rbar;
|
||||||
u = ((1-bbetaL)/(1-bbetaL*exp(gbar*(ies-1)/ies )) )^(ies/(ies-1))*(1 + Rbar*bbar*(bbetaL*exp(-gbar/ies)*Rbar)^eeta - exp(gbar)*bbar*(bbetaL*exp(-gbar/ies)*Rbar)^eeta*bbetaL*exp(-gbar/ies)*Rbar);
|
u = ((1-bbetaL)/(1-bbetaL*exp(gbar*(ies-1)/ies )) )^(ies/(ies-1))*(1 + Rbar*bbar*(bbetaL*exp(-gbar/ies)*Rbar)^eeta - exp(gbar)*bbar*(bbetaL*exp(-gbar/ies)*Rbar)^eeta*bbetaL*exp(-gbar/ies)*Rbar);
|
||||||
uaux = (1 + Rbar*bbar*(bbetaL*exp(-gbar/ies)*Rbar)^eeta - exp(gbar)*bbar*(bbetaL*exp(-gbar/ies)*Rbar)^eeta*bbetaL*exp(-gbar/ies)*Rbar)^(1-crra);
|
uaux = u^(1-crra);
|
||||||
ca = (exp(gbar)-1)*bbar*(bbetaL*exp(-gbar/ies)*Rbar)^eeta;
|
ca = (exp(gbar)-1)*bbar*(bbetaL*exp(-gbar/ies)*Rbar)^eeta;
|
||||||
end;
|
end;
|
||||||
|
|
||||||
|
resid;
|
||||||
steady(solve_algo=3);
|
steady(solve_algo=3);
|
||||||
|
|
||||||
varobs q ca;
|
|
||||||
|
|
||||||
estimated_params;
|
estimated_params;
|
||||||
ies, normal_pdf, 1.5, .2;
|
ies, normal_pdf, 1.5, .2;
|
||||||
end;
|
end;
|
||||||
|
|
|
@ -2,6 +2,8 @@
|
||||||
|
|
||||||
@#include "first_spec_common.inc"
|
@#include "first_spec_common.inc"
|
||||||
|
|
||||||
|
varobs q ca;
|
||||||
|
|
||||||
shocks;
|
shocks;
|
||||||
var eeps = 0.04^2;
|
var eeps = 0.04^2;
|
||||||
var nnu = 0.03^2;
|
var nnu = 0.03^2;
|
||||||
|
|
|
@ -2,6 +2,8 @@
|
||||||
|
|
||||||
@#include "first_spec_common.inc"
|
@#include "first_spec_common.inc"
|
||||||
|
|
||||||
|
varobs q ca;
|
||||||
|
|
||||||
shocks;
|
shocks;
|
||||||
var eeps = 0.04^2;
|
var eeps = 0.04^2;
|
||||||
var nnu = 0.03^2;
|
var nnu = 0.03^2;
|
||||||
|
|
Loading…
Reference in New Issue