140 lines
7.4 KiB
Modula-2
140 lines
7.4 KiB
Modula-2
// Tests the analytic_derivation option
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var m P c e W R k d n l gy_obs gp_obs y dA;
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varexo e_a e_m;
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parameters alp bet gam mst rho psi del;
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alp = 0.33;
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bet = 0.99;
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gam = 0.003;
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mst = 1.011;
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rho = 0.7;
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psi = 0.787;
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del = 0.02;
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model;
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dA = exp(gam+e_a);
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log(m) = (1-rho)*log(mst) + rho*log(m(-1))+e_m;
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-P/(c(+1)*P(+1)*m)+bet*P(+1)*(alp*exp(-alp*(gam+log(e(+1))))*k^(alp-1)*n(+1)^(1-alp)+(1-del)*exp(-(gam+log(e(+1)))))/(c(+2)*P(+2)*m(+1))=0;
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W = l/n;
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-(psi/(1-psi))*(c*P/(1-n))+l/n = 0;
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R = P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(-alp)/W;
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1/(c*P)-bet*P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)/(m*l*c(+1)*P(+1)) = 0;
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c+k = exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)+(1-del)*exp(-(gam+e_a))*k(-1);
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P*c = m;
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m-1+d = l;
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e = exp(e_a);
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y = k(-1)^alp*n^(1-alp)*exp(-alp*(gam+e_a));
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gy_obs = dA*y/y(-1);
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gp_obs = (P/P(-1))*m(-1)/dA;
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end;
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steady_state_model;
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dA = exp(gam);
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gst = 1/dA;
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m = mst;
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khst = ( (1-gst*bet*(1-del)) / (alp*gst^alp*bet) )^(1/(alp-1));
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xist = ( ((khst*gst)^alp - (1-gst*(1-del))*khst)/mst )^(-1);
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nust = psi*mst^2/( (1-alp)*(1-psi)*bet*gst^alp*khst^alp );
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n = xist/(nust+xist);
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P = xist + nust;
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k = khst*n;
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l = psi*mst*n/( (1-psi)*(1-n) );
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c = mst/P;
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d = l - mst + 1;
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y = k^alp*n^(1-alp)*gst^alp;
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R = mst/bet;
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W = l/n;
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ist = y-c;
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q = 1 - d;
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e = 1;
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gp_obs = m/dA;
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gy_obs = dA;
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end;
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shocks;
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var e_a; stderr 0.014;
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var e_m; stderr 0.005;
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end;
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stoch_simul(order=1,periods=200, irf=0,nomoments,noprint);
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send_endogenous_variables_to_workspace;
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save('my_data.mat','gp_obs','gy_obs');
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estimated_params;
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alp, 0.356;
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rho, 0.129;
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psi, 0.65;
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stderr e_a, 0.035449, 0, inf;
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stderr e_m, 0.008862, 0, inf;
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end;
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varobs gp_obs gy_obs;
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options_.solve_tolf = 1e-12;
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estimation(order=1,mode_compute=9,silent_optimizer,analytic_derivation,kalman_algo=1,datafile=my_data,nobs=192,mh_replic=0,mh_nblocks=2,mh_jscale=0.8,plot_priors=0,prior_trunc=0);
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if (isoctave && user_has_octave_forge_package('optim', '1.6')) || (~isoctave && user_has_matlab_license('optimization_toolbox'))
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estimation(order=1,mode_compute=1,mode_file='fs2000_analytic_derivation/Output/fs2000_analytic_derivation_mode',analytic_derivation,kalman_algo=1,datafile=my_data,nobs=192,mh_replic=0,mh_nblocks=2,mh_jscale=0.8,plot_priors=0
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%,optim = ('DerivativeCheck', 'on','FiniteDifferenceType','central')
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);
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estimation(order=1,mode_compute=3,mode_file='fs2000_analytic_derivation/Output/fs2000_analytic_derivation_mode',analytic_derivation,kalman_algo=1,datafile=my_data,nobs=192,mh_replic=0,mh_nblocks=2,mh_jscale=0.8,plot_priors=0);
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estimation(order=1,mode_compute=101,mode_file='fs2000_analytic_derivation/Output/fs2000_analytic_derivation_mode',analytic_derivation,kalman_algo=1,datafile=my_data,nobs=192,mh_replic=0,mh_nblocks=2,mh_jscale=0.8,plot_priors=0);
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end
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if ~isoctave % This estimation randomly fails on Octave
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estimation(order=1,mode_compute=5,silent_optimizer,mode_file='fs2000_analytic_derivation/Output/fs2000_analytic_derivation_mode',analytic_derivation,kalman_algo=2,datafile=my_data,nobs=192,mh_replic=0,mh_nblocks=2,mh_jscale=0.8,plot_priors=0);
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end
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estimation(order=1,mode_compute=4,silent_optimizer,mode_file='fs2000_analytic_derivation/Output/fs2000_analytic_derivation_mode',analytic_derivation,kalman_algo=1,datafile=my_data,nobs=192,mh_replic=0,mh_nblocks=2,mh_jscale=0.8,plot_priors=0);
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estimation(order=1,mode_compute=4,silent_optimizer,mode_file='fs2000_analytic_derivation/Output/fs2000_analytic_derivation_mode',analytic_derivation,kalman_algo=2,datafile=my_data,nobs=192,mh_replic=0,mh_nblocks=2,mh_jscale=0.8,plot_priors=0);
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options_.debug=1;
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estimation(order=1,mode_compute=0,mode_file='fs2000_analytic_derivation/Output/fs2000_analytic_derivation_mode',analytic_derivation,kalman_algo=1,datafile=my_data,nobs=192,mh_replic=0,plot_priors=0);
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fval_ML_1=oo_.likelihood_at_initial_parameters;
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estimation(order=1,mode_compute=0,mode_file='fs2000_analytic_derivation/Output/fs2000_analytic_derivation_mode',analytic_derivation,kalman_algo=2,datafile=my_data,nobs=192,mh_replic=0,plot_priors=0);
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fval_ML_2=oo_.likelihood_at_initial_parameters;
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options_.analytic_derivation=0;
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estimation(order=1,mode_compute=0,mode_file='fs2000_analytic_derivation/Output/fs2000_analytic_derivation_mode',kalman_algo=1,datafile=my_data,nobs=192,mh_replic=0,plot_priors=0);
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fval_ML_3=oo_.likelihood_at_initial_parameters;
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if abs(fval_ML_1-fval_ML_2)>1e-5 || abs(fval_ML_1-fval_ML_3)>1e-5
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error('Likelihood does not match')
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end
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options_.debug=0;
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estimated_params(overwrite);
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alp, beta_pdf, 0.356, 0.02;
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rho, beta_pdf, 0.129, 0.100;
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psi, beta_pdf, 0.65, 0.05;
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stderr e_a, inv_gamma_pdf, 0.035449, inf;
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stderr e_m, inv_gamma_pdf, 0.008862, inf;
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end;
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estimation(order=1,mode_compute=9,silent_optimizer,analytic_derivation,kalman_algo=1,datafile=my_data,nobs=192,mh_replic=0,mh_nblocks=2,mh_jscale=0.8,plot_priors=0,prior_trunc=0);
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if (isoctave && user_has_octave_forge_package('optim', '1.6')) || (~isoctave && user_has_matlab_license('optimization_toolbox'))
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estimation(order=1,mode_compute=1,mode_file='fs2000_analytic_derivation/Output/fs2000_analytic_derivation_mode',analytic_derivation,kalman_algo=1,datafile=my_data,nobs=192,mh_replic=0,mh_nblocks=2,mh_jscale=0.8,plot_priors=0
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%,optim = ('DerivativeCheck', 'on','FiniteDifferenceType','central')
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);
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estimation(order=1,mode_compute=3,silent_optimizer,mode_file='fs2000_analytic_derivation/Output/fs2000_analytic_derivation_mode',analytic_derivation,kalman_algo=1,datafile=my_data,nobs=192,mh_replic=0,mh_nblocks=2,mh_jscale=0.8,plot_priors=0);
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estimation(order=1,mode_compute=101,silent_optimizer,mode_file='fs2000_analytic_derivation/Output/fs2000_analytic_derivation_mode',analytic_derivation,kalman_algo=1,datafile=my_data,nobs=192,mh_replic=0,mh_nblocks=2,mh_jscale=0.8,plot_priors=0);
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end
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if ~isoctave % This estimation randomly fails on Octave
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estimation(order=1,mode_compute=5,silent_optimizer,mode_file='fs2000_analytic_derivation/Output/fs2000_analytic_derivation_mode',analytic_derivation,kalman_algo=2,datafile=my_data,nobs=192,mh_replic=0,mh_nblocks=2,mh_jscale=0.8,plot_priors=0);
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end
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estimation(order=1,mode_compute=4,silent_optimizer,mode_file='fs2000_analytic_derivation/Output/fs2000_analytic_derivation_mode',analytic_derivation,kalman_algo=1,datafile=my_data,nobs=192,mh_replic=0,mh_nblocks=2,mh_jscale=0.8,plot_priors=0);
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estimation(order=1,mode_compute=4,silent_optimizer,mode_file='fs2000_analytic_derivation/Output/fs2000_analytic_derivation_mode',analytic_derivation,kalman_algo=2,datafile=my_data,nobs=192,mh_replic=0,mh_nblocks=2,mh_jscale=0.8,plot_priors=0);
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options_.debug=1;
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estimation(order=1,mode_compute=0,mode_file='fs2000_analytic_derivation/Output/fs2000_analytic_derivation_mode',analytic_derivation,kalman_algo=1,datafile=my_data,nobs=192,mh_replic=0,plot_priors=0);
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fval_Bayes_1=oo_.likelihood_at_initial_parameters;
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estimation(order=1,mode_compute=0,mode_file='fs2000_analytic_derivation/Output/fs2000_analytic_derivation_mode',analytic_derivation,kalman_algo=2,datafile=my_data,nobs=192,mh_replic=0,plot_priors=0);
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fval_Bayes_2=oo_.likelihood_at_initial_parameters;
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options_.analytic_derivation=0;
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estimation(order=1,mode_compute=0,mode_file='fs2000_analytic_derivation/Output/fs2000_analytic_derivation_mode',kalman_algo=1,datafile=my_data,nobs=192,mh_replic=0,plot_priors=0);
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fval_Bayes_3=oo_.likelihood_at_initial_parameters;
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if abs(fval_Bayes_1-fval_Bayes_2)>1e-5 || abs(fval_Bayes_1-fval_Bayes_3)>1e-5
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error('Likelihood does not match')
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end
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