Put all OSR unit tests into subfolder and add one for parameter bounds

time-shift
Johannes Pfeifer 2016-05-20 20:02:43 +02:00 committed by Stéphane Adjemian (Lupi)
parent 03563e012b
commit fb57ef453d
5 changed files with 49 additions and 3 deletions

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@ -35,9 +35,10 @@ MODFILES = \
example1_macroif.mod \
t_sgu_ex1.mod \
irfs/example1_unit_std.mod \
optimal_policy/osr_example.mod \
optimal_policy/osr_example_objective_correctness.mod \
optimal_policy/osr_example_obj_corr_non_stat_vars.mod \
optimal_policy/OSR/osr_example.mod \
optimal_policy/OSR/osr_example_objective_correctness.mod \
optimal_policy/OSR/osr_example_obj_corr_non_stat_vars.mod \
optimal_policy/OSR/osr_example_param_bounds.mod \
optimal_policy/OSR/osr_obj_corr_algo_1.mod \
optimal_policy/OSR/osr_obj_corr_algo_3.mod \
optimal_policy/OSR/osr_obj_corr_algo_4.mod \

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@ -0,0 +1,45 @@
// Example of optimal simple rule
var y inflation r;
varexo y_ inf_;
parameters delta sigma alpha kappa gammarr gammax0 gammac0 gamma_y_ gamma_inf_;
delta = 0.44;
kappa = 0.18;
alpha = 0.48;
sigma = -0.06;
model(linear);
y = delta * y(-1) + (1-delta)*y(+1)+sigma *(r - inflation(+1)) + y_;
inflation = alpha * inflation(-1) + (1-alpha) * inflation(+1) + kappa*y + inf_;
r = gammax0*y(-1)+gammac0*inflation(-1)+gamma_y_*y_+gamma_inf_*inf_;
end;
shocks;
var y_;
stderr 0.63;
var inf_;
stderr 0.4;
end;
optim_weights;
inflation 1;
y 1;
end;
osr_params gammax0 gammac0 gamma_y_ gamma_inf_;
gammarr = 0;
gammax0 = 0.2;
gammac0 = 1.5;
gamma_y_ = 8;
gamma_inf_ = 3;
osr_params_bounds;
gamma_inf_, 0, 2.5;
end;
osr(opt_algo=9);