test file for plot_shock_decomposition and realtime_shock_decomposition

tests/Makefile.am

@@ -286,6 +286,7 @@ MODFILES = \
 	shock_decomposition/fs2000_est.mod \
 	shock_decomposition/fs2000_est_varlist.mod \
 	shock_decomposition/fs2000_cal_groups.mod \
+	shock_decomposition/ls2003_plot.mod \
 	stochastic_purely_forward/stochastic_purely_forward.mod \
 	stochastic_purely_forward/stochastic_purely_forward_with_static.mod \
 	forecast/Hansen_exo_det_forecast.mod \

tests/shock_decomposition/ls2003_plot.mod

@@ -0,0 +1,144 @@
+var y y_s R pie dq pie_s de A y_obs pie_obs R_obs;
+varexo e_R e_q e_ys e_pies e_A;
+
+parameters psi1 psi2 psi3 rho_R tau alpha rr k rho_q rho_A rho_ys rho_pies;
+
+psi1 = 1.54;
+psi2 = 0.25;
+psi3 = 0.25;
+rho_R = 0.5;
+alpha = 0.3;
+rr = 2.51;
+k = 0.5;
+tau = 0.5;
+rho_q = 0.4;
+rho_A = 0.2;
+rho_ys = 0.9;
+rho_pies = 0.7;
+
+
+model(linear);
+y = y(+1) - (tau +alpha*(2-alpha)*(1-tau))*(R-pie(+1))-alpha*(tau +alpha*(2-alpha)*(1-tau))*dq(+1) + alpha*(2-alpha)*((1-tau)/tau)*(y_s-y_s(+1))-A(+1);
+pie = exp(-rr/400)*pie(+1)+alpha*exp(-rr/400)*dq(+1)-alpha*dq+(k/(tau+alpha*(2-alpha)*(1-tau)))*y+alpha*(2-alpha)*(1-tau)/(tau*(tau+alpha*(2-alpha)*(1-tau)))*y_s;
+pie = de+(1-alpha)*dq+pie_s;
+R = rho_R*R(-1)+(1-rho_R)*(psi1*pie+psi2*(y+alpha*(2-alpha)*((1-tau)/tau)*y_s)+psi3*de)+e_R;
+dq = rho_q*dq(-1)+e_q;
+y_s = rho_ys*y_s(-1)+e_ys;
+pie_s = rho_pies*pie_s(-1)+e_pies;
+A = rho_A*A(-1)+e_A;
+y_obs = y-y(-1)+A;
+pie_obs = 4*pie;
+R_obs = 4*R;
+end;
+
+shocks;
+var e_R = 1.25^2;
+var e_q = 2.5^2;
+var e_A = 1.89;
+var e_ys = 1.89;
+var e_pies = 1.89;
+end;
+
+varobs y_obs R_obs pie_obs dq de;
+
+estimated_params;
+psi1 , gamma_pdf,1.5,0.5;
+psi2 , gamma_pdf,0.25,0.125;
+psi3 , gamma_pdf,0.25,0.125;
+rho_R ,beta_pdf,0.5,0.2;
+alpha ,beta_pdf,0.3,0.1;
+rr ,gamma_pdf,2.5,1;
+k , gamma_pdf,0.5,0.25;
+tau ,gamma_pdf,0.5,0.2;
+rho_q ,beta_pdf,0.4,0.2;
+rho_A ,beta_pdf,0.5,0.2;
+rho_ys ,beta_pdf,0.8,0.1;
+rho_pies,beta_pdf,0.7,0.15;
+stderr e_R,inv_gamma_pdf,1.2533,0.6551;
+stderr e_q,inv_gamma_pdf,2.5066,1.3103;
+stderr e_A,inv_gamma_pdf,1.2533,0.6551;
+stderr e_ys,inv_gamma_pdf,1.2533,0.6551;
+stderr e_pies,inv_gamma_pdf,1.88,0.9827;
+end;
+
+estimation(datafile=data_ca1,first_obs=8,nobs=79,mh_nblocks=10,prefilter=1,mh_jscale=0.5,mh_replic=0);
+
+shock_groups(name=trade);
+supply = e_A ;
+trade = e_q ;
+monetary = e_R ;
+end;
+
+shock_groups(name=row);
+supply = e_A ;
+'RoW shocks' = e_q e_ys e_pies  ;
+monetary = e_R ;
+end;
+options_.initial_date=dates('1980Q1');
+shock_decomposition(use_shock_groups=trade,nograph) y_obs R_obs pie_obs dq de;
+
+// compute realtime decompositions [pre-processor not yet available]
+options_.shock_decomp.forecast=8;
+oo_ = realtime_shock_decomposition(M_,oo_,options_,var_list_,bayestopt_,estim_params_);
+
+// various tests for plot_shock_decompositions
+// standard plot [using trde group defined before]
+plot_shock_decomposition(M_,oo_,options_,var_list_);
+
+// test datailed, custom name and yoy plots
+options_.shock_decomp.detail_plot = 1;
+options_.shock_decomp.fig_names = 'MR';
+options_.shock_decomp.type='yoy';
+plot_shock_decomposition(M_,oo_,options_,var_list_);
+
+close all,
+
+
+// testing realtime decomposition
+options_.shock_decomp.detail_plot = 0;
+options_.shock_decomp.type='';
+options_.use_shock_groups='';
+options_.shock_decomp.fig_names = '';
+
+
+//realtime pooled
+options_.shock_decomp.realtime=1; 
+options_.shock_decomp.vintage=0; 
+plot_shock_decomposition(M_,oo_,options_,var_list_);
+
+//conditional pooled
+options_.shock_decomp.realtime=2; 
+plot_shock_decomposition(M_,oo_,options_,var_list_);
+options_.shock_decomp.realtime=2; 
+// conditional 8-step ahead decomposition, given 1989q4
+options_.shock_decomp.detail_plot = 1;
+options_.shock_decomp.vintage=40; 
+plot_shock_decomposition(M_,oo_,options_,var_list_);
+
+close all,
+
+//forecast pooled
+options_.shock_decomp.detail_plot = 0;
+options_.shock_decomp.realtime=3; 
+options_.shock_decomp.vintage=0; 
+plot_shock_decomposition(M_,oo_,options_,var_list_);
+
+// forecast 8-step ahead decomposition, given 1989q4
+options_.shock_decomp.detail_plot = 1;
+options_.shock_decomp.realtime=3; 
+options_.shock_decomp.vintage=40; 
+plot_shock_decomposition(M_,oo_,options_,var_list_);
+
+close all,
+
+//test uimenu for groups
+options_.shock_decomp.realtime=0; 
+options_.shock_decomp.detail_plot = 1;
+options_.shock_decomp.interactive=1;
+options_.use_shock_groups='row';
+plot_shock_decomposition(M_,oo_,options_,var_list_);
+
+options_.shock_decomp.detail_plot = 1;
+options_.shock_decomp.realtime=3; 
+options_.shock_decomp.vintage=40; 
+plot_shock_decomposition(M_,oo_,options_,var_list_);