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EP with MCP: add test case

time-shift
Johannes Pfeifer 2021-05-26 12:35:27 +02:00 committed by Stéphane Adjemian (Charybdis)
parent 5ab724d38f
commit f78ac9f5ac
Signed by: stepan
GPG Key ID: 295C1FE89E17EB3C
2 changed files with 99 additions and 0 deletions
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1
tests/Makefile.am
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@ -324,6 +324,7 @@ MODFILES = \
ep/linearmodel0.mod \
ep/linearmodel1.mod \
ep/rbc_bytecode.mod \
ep/rbcii_MCP.mod \
stochastic_simulations/example1_noprint.mod \
stochastic-backward-models/solow_cd.mod \
stochastic-backward-models/solow_ces.mod \

98
tests/ep/rbcii_MCP.mod Normal file
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@ -0,0 +1,98 @@
% RBC model with irreversible investment constraint, implemented using
% MCP tag
var k, y, L, c, A, a, mu, i;
varexo epsilon;
parameters beta, theta, tau, alpha, psi, delta, rho, Astar;
beta = 0.9900; theta = 0.3570;
tau = 2.0000; alpha = 0.4500;
psi = -0.1000; delta = 0.0200;
rho = 0.8000; Astar = 1.0000;
model;
a = rho*a(-1) + epsilon;
A = Astar*exp(a);
y = A*(alpha*k(-1)^psi+(1-alpha)*L^psi)^(1/psi);
k = y-c + (1-delta)*k(-1);
(1-theta)/theta*c/(1-L) - (1-alpha)*(y/L)^(1-psi);
(c^theta*(1-L)^(1-theta))^(1-tau)/c -mu =
beta*(c(+1)^theta*(1-L(+1))^(1-theta))^(1-tau)/c(+1)
*(alpha*(y(+1)/k)^(1-psi)+1-delta)+mu(+1)*(1-delta);
i=y-c;
[ mcp = 'i > 0' ]
mu = 0;
end;
steady_state_model;
a = epsilon/(1-rho);
A = Astar*exp(a);
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/A)^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 of the endogenous variables.
L=1/(1+Consumption_per_unit_of_Labour/((1-alpha)*theta/(1-theta)
*Output_per_unit_of_Labour^(1-psi)));
c=Consumption_per_unit_of_Labour*L;
k=L/Labour_per_unit_of_Capital;
y=Output_per_unit_of_Capital*k;
i=delta*k;
mu=0;
end;
steady;
%% Perfect foresight
% negative technology shock drives the economy to the bound
%shocks;
%var epsilon;
%periods 1:20;
%values -0.5;
%end;
%perfect_foresight_setup(periods=300);
%perfect_foresight_solver(lmmcp, maxit=200);
%figure
%subplot(2,2,1)
%plot(oo_.endo_simul(8,:)); axis tight
%title('investment')
%subplot(2,2,2)
%plot(oo_.endo_simul(2,:)); axis tight
%title('output')
%subplot(2,2,3)
%plot(oo_.endo_simul(3,:)); axis tight
%title('hours')
%subplot(2,2,4)
%plot(oo_.endo_simul(4,:)); axis tight
%title('consumption')
shocks;
var epsilon;
stderr 0.10;
end;
extended_path(periods=300,lmmcp);
if any(oo_.endo_simul(strmatch('i',M_.endo_names,'exact'),:)<-1e-6)
error('lmmcp tag did not work')
end
% // Plot 100 first periods of the simulations
% figure
% subplot(2,2,1)
% plot(oo_.endo_simul(strmatch('i',M_.endo_names,'exact'),1:101)); axis tight
% title('investment')
% subplot(2,2,2)
% plot(oo_.endo_simul(strmatch('y',M_.endo_names,'exact'),1:101)); axis tight
% title('output')
% subplot(2,2,3)
% plot(oo_.endo_simul(strmatch('L',M_.endo_names,'exact'),1:101)); axis tight
% title('hours')
% subplot(2,2,4)
% plot(oo_.endo_simul(strmatch('c',M_.endo_names,'exact'),1:101)); axis tight
% title('consumption')