119 lines
4.6 KiB
PHP
119 lines
4.6 KiB
PHP
steady_state_model;
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kss = ((1/BETA-1+DELTAK)/ALPHA)^(1/(ALPHA-1));
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css = -DELTAK*kss +kss^ALPHA;
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iss = DELTAK*kss;
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k = log(kss);
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c = log(css);
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i = log(iss);
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lambdak = 0;
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a=0;
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end;
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BETA=0.96;
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ALPHA=0.33;
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DELTAK=0.10;
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GAMMAC=2;
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RHOA = 0.9;
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PHI = 0.975;
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PSI = 5; % adjustment cost for capital if investment is negative
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shocks;
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var erra; stderr 0.015;
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end;
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steady;
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// run occbin simulations
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% Option=1: impulse responses
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% Option=2: random simulation
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@#for option_val in [1, 2]
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option=@{option_val};
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%%%%%%%%%%%%%%%% Inputs stop here %%%%%%%%%%%%%%%%%%%%%
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if option==1
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shocks(surprise,overwrite);
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var erra;
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periods 1:9, 10, 50, 90, 130, 131:169;
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values -0.0001, -0.01,-0.02, 0.01, 0.02, 0;
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end;
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elseif option==2
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nperiods = 40;
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randn('seed',1);
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shockssequence = 1*randn(nperiods,1)*0.02 ;
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shocks(surprise,overwrite);
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var erra;
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periods 1:40;
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values (shockssequence);
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end;
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end
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% set inputs
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occbin_setup(smoother_debug);
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occbin_solver(simul_debug,simul_periodic_solution,simul_periods=200,simul_maxit=300,simul_curb_retrench,simul_check_ahead_periods=300);
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occbin_write_regimes(filename='test',periods=[1:40]);
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%% Modify to plot IRFs
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titlelist = char('c','lambdak','k','i','a');
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percent = 'Percent';
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value = 'value';
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ylabels = char(percent,value,percent,percent,percent);
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figtitle = 'Simulated variables';
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legendlist = cellstr(char('Piecewise Linear','Linear'));
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oo_= occbin.unpack_simulations(M_,oo_,options_);
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line1=100*[oo_.occbin.endo_piecewise.c-oo_.occbin.endo_ss.c,oo_.occbin.endo_piecewise.lambdak/100,oo_.occbin.endo_piecewise.k-oo_.occbin.endo_ss.k,oo_.occbin.endo_piecewise.i-oo_.occbin.endo_ss.i,oo_.occbin.endo_piecewise.a-oo_.occbin.endo_ss.a];
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line2=100*[oo_.occbin.endo_linear.c-oo_.occbin.endo_ss.c,oo_.occbin.endo_linear.lambdak/100,oo_.occbin.endo_linear.k-oo_.occbin.endo_ss.k,oo_.occbin.endo_linear.i-oo_.occbin.endo_ss.i,oo_.occbin.endo_linear.a-oo_.occbin.endo_ss.a];
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occbin.make_chart(titlelist,legendlist,figtitle,ylabels,cat(3,line1,line2));
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occbin_graph(noconstant) c erra lambdak k i a k;
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@#if option_val==1
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verbatim;
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c=oo_.occbin.endo_piecewise.c;
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end;
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save('datasim.mat','c');
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varobs c;
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occbin_solver(simul_periods=200,simul_maxit=200,simul_curb_retrench,simul_check_ahead_periods=200);
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occbin_setup(smoother_periods=200,smoother_maxit=200,smoother_curb_retrench,smoother_check_ahead_periods=200);
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calib_smoother(datafile=datasim);
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oo0=oo_;
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occbin_setup(filter_use_relaxation);
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calib_smoother(datafile=datasim);
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oo_= occbin.unpack_simulations(M_,oo_,options_);
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titlelist = char('c','lambdak','k','i','a','erra');
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percent = 'Percent';
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value = 'value';
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ylabels = char(percent,value,percent,percent,percent, value);
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figtitle = 'Smoothed variables (piecewise)';
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legendlist = cellstr(char('Simulated','Piecewise smoother'));
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shock_vector=[oo_.occbin.simul.shocks_sequence./100; zeros(length(oo_.occbin.endo_piecewise.c)-size(oo_.occbin.simul.shocks_sequence,1),size(oo_.occbin.simul.shocks_sequence,2))];
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line1=100*[oo_.occbin.endo_piecewise.c-oo_.occbin.endo_ss.c,oo_.occbin.endo_piecewise.lambdak/100,oo_.occbin.endo_piecewise.k-oo_.occbin.endo_ss.k,oo_.occbin.endo_piecewise.i-oo_.occbin.endo_ss.i,oo_.occbin.endo_piecewise.a-oo_.occbin.endo_ss.a, shock_vector];
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line2=100*[oo_.occbin.smoother.SmoothedVariables.c-oo_.occbin.endo_ss.c,oo_.occbin.smoother.SmoothedVariables.lambdak/100,oo_.occbin.smoother.SmoothedVariables.k-oo_.occbin.endo_ss.k,oo_.occbin.smoother.SmoothedVariables.i-oo_.occbin.endo_ss.i,oo_.occbin.smoother.SmoothedVariables.a-oo_.occbin.endo_ss.a, oo_.occbin.smoother.SmoothedShocks.erra/100];
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occbin.make_chart(titlelist,legendlist,figtitle,ylabels,cat(3,line1,line2));
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figtitle = 'Smoothed variables (linear)';
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legendlist = cellstr(char('Simulated','Linear smoother'));
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line1=100*[oo_.occbin.endo_piecewise.c-oo_.occbin.endo_ss.c,oo_.occbin.endo_piecewise.lambdak/100,oo_.occbin.endo_piecewise.k-oo_.occbin.endo_ss.k,oo_.occbin.endo_piecewise.i-oo_.occbin.endo_ss.i,oo_.occbin.endo_piecewise.a-oo_.occbin.endo_ss.a, shock_vector];
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line2=100*[oo_.occbin.linear_smoother.SmoothedVariables.c-oo_.occbin.endo_ss.c,oo_.occbin.linear_smoother.SmoothedVariables.lambdak/100,oo_.occbin.linear_smoother.SmoothedVariables.k-oo_.occbin.endo_ss.k,oo_.occbin.linear_smoother.SmoothedVariables.i-oo_.occbin.endo_ss.i,oo_.occbin.linear_smoother.SmoothedVariables.a-oo_.occbin.endo_ss.a, oo_.occbin.linear_smoother.SmoothedShocks.erra/100];
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occbin.make_chart(titlelist,legendlist,figtitle,ylabels,cat(3,line1,line2));
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occbin.plot_regimes(oo_.occbin.smoother.regime_history,M_,options_)
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@#endif
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@#endfor
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