Added integration test for Monte-Carlo EP.
parent
fdbd4fa7a7
commit
edce6b4779
|
@ -211,6 +211,7 @@ MODFILES = \
|
|||
second_order/ds1.mod \
|
||||
second_order/ds2.mod \
|
||||
ep/rbc.mod \
|
||||
ep/rbc_mc.mod \
|
||||
ep/rbc2.mod \
|
||||
ep/rbcii.mod \
|
||||
ep/linearmodel0.mod \
|
||||
|
|
|
@ -0,0 +1,75 @@
|
|||
var Capital, Output, Labour, Consumption, Efficiency, efficiency, ExpectedTerm;
|
||||
|
||||
varexo EfficiencyInnovation;
|
||||
|
||||
parameters beta, theta, tau, alpha, psi, delta, rho, effstar, sigma;
|
||||
|
||||
/*
|
||||
** Calibration
|
||||
*/
|
||||
|
||||
|
||||
beta = 0.990;
|
||||
theta = 0.357;
|
||||
tau = 30.000;
|
||||
alpha = 0.450;
|
||||
psi = -5.000;
|
||||
delta = 0.020;
|
||||
rho = 0.950;
|
||||
effstar = 1.000;
|
||||
sigma = 0.010;
|
||||
|
||||
model(use_dll);
|
||||
|
||||
// Eq. n°1:
|
||||
efficiency = rho*efficiency(-1) + sigma*EfficiencyInnovation;
|
||||
|
||||
// Eq. n°2:
|
||||
Efficiency = effstar*exp(efficiency-.5*sigma*sigma/(1-rho*rho));
|
||||
|
||||
// Eq. n°3:
|
||||
Output = Efficiency*(alpha*(Capital(-1)^psi)+(1-alpha)*(Labour^psi))^(1/psi);
|
||||
|
||||
// Eq. n°4:
|
||||
Consumption + Capital - Output - (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 = 0;
|
||||
Efficiency = effstar;
|
||||
// Compute steady state ratios.
|
||||
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;
|
||||
|
||||
|
||||
shocks;
|
||||
var EfficiencyInnovation = 1;
|
||||
end;
|
||||
|
||||
steady(nocheck);
|
||||
|
||||
Simulations = extended_path_mc([], 10, 5, [], options_, M_, oo_);
|
Loading…
Reference in New Issue