94 lines
4.1 KiB
Modula-2
94 lines
4.1 KiB
Modula-2
/*
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Tests that local_state_space_iteration_3 and local_state_space_iteration_k (for k=3) return the same results
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This file must be run after first_spec.mod (both are based on the same model).
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*/
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@#include "first_spec_common.inc"
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varobs q ca;
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shocks;
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var eeps = 0.04^2;
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var nnu = 0.03^2;
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var q = 0.01^2;
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var ca = 0.01^2;
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end;
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// Initialize various structures
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estimation(datafile='my_data.mat',order=3,mode_compute=0,mh_replic=0,filter_algorithm=sis,nonlinear_filter_initialization=2
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,cova_compute=0 %tell program that no covariance matrix was computed
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);
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stoch_simul(order=3, periods=200, irf=0, k_order_solver);
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// Really perform the test
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nparticles = options_.particle.number_of_particles;
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nsims = 1e6/nparticles;
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/* We generate particles using realistic distributions (though this is not
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strictly needed) */
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nstates = M_.npred + M_.nboth;
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state_idx = oo_.dr.order_var((M_.nstatic+1):(M_.nstatic+nstates));
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yhat = chol(oo_.var(state_idx,state_idx))*randn(nstates, nparticles);
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epsilon = chol(M_.Sigma_e)*randn(M_.exo_nbr, nparticles);
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dr = oo_.dr;
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// “rf” stands for “Reduced Form”
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rf_ghx = dr.ghx(dr.restrict_var_list, :);
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rf_ghu = dr.ghu(dr.restrict_var_list, :);
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rf_ss = dr.ys(dr.order_var);
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rf_ss = rf_ss(dr.restrict_var_list, :);
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rf_constant = dr.ys(dr.order_var)+0.5*dr.ghs2;
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rf_constant = rf_constant(dr.restrict_var_list, :);
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rf_ghxx = dr.ghxx(dr.restrict_var_list, :);
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rf_ghuu = dr.ghuu(dr.restrict_var_list, :);
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rf_ghxu = dr.ghxu(dr.restrict_var_list, :);
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rf_ghs2 = dr.ghs2(dr.restrict_var_list, :);
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rf_ghxxx = dr.ghxxx(dr.restrict_var_list, :);
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rf_ghuuu = dr.ghuuu(dr.restrict_var_list, :);
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rf_ghxxu = dr.ghxxu(dr.restrict_var_list, :);
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rf_ghxuu = dr.ghxuu(dr.restrict_var_list, :);
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rf_ghxss = dr.ghxss(dr.restrict_var_list, :);
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rf_ghuss = dr.ghuss(dr.restrict_var_list, :);
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% Without pruning
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tStart1 = tic; for i=1:nsims, ynext1 = local_state_space_iteration_3(yhat, epsilon, rf_ghx, rf_ghu, rf_ghxx, rf_ghuu, rf_ghxu, rf_ghs2, rf_ghxxx, rf_ghuuu, rf_ghxxu, rf_ghxuu, rf_ghxss, rf_ghuss, rf_ss, options_.threads.local_state_space_iteration_3, false); end, tElapsed1 = toc(tStart1);
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tStart2 = tic; [udr] = folded_to_unfolded_dr(dr, M_, options_); for i=1:nsims, ynext2 = local_state_space_iteration_k(yhat, epsilon, dr, M_, options_, udr); end, tElapsed2 = toc(tStart2);
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if max(max(abs(ynext1-ynext2))) > 1e-10
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error('Without pruning: Inconsistency between local_state_space_iteration_3 and local_state_space_iteration_k')
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end
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if tElapsed1<tElapsed2
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skipline()
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dprintf('Without pruning: local_state_space_iteration_3 is %5.2f times faster than local_state_space_iteration_k', tElapsed2/tElapsed1)
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skipline()
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else
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skipline()
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dprintf('Without pruning: local_state_space_iteration_3 is %5.2f times slower than local_state_space_iteration_k', tElapsed1/tElapsed2)
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skipline()
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end
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% With pruning
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yhat1_KKSS = chol(oo_.var(state_idx,state_idx))*randn(nstates, nparticles);
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yhat2_KKSS = chol(oo_.var(state_idx,state_idx))*randn(nstates, nparticles);
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yhat1_AVR = yhat1_KKSS;
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yhat2_AVR = yhat2_KKSS-yhat1_AVR;
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yhat3_AVR = chol(oo_.var(state_idx,state_idx))*randn(nstates, nparticles);
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yhat_AVR = [yhat1_AVR;yhat2_AVR;yhat3_AVR];
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nstatesandobs = size(rf_ghx,1);
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[ynext3,ynext3_lat] = local_state_space_iteration_3(yhat_AVR, epsilon, rf_ghx, rf_ghu, rf_ghxx, rf_ghuu, rf_ghxu, rf_ghs2, rf_ghxxx, rf_ghuuu, rf_ghxxu, rf_ghxuu, rf_ghxss, rf_ghuss, rf_ss, options_.threads.local_state_space_iteration_3, true);
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[ynext2,ynext2_lat] = local_state_space_iteration_2(yhat2_KKSS, epsilon, rf_ghx, rf_ghu, rf_constant, rf_ghxx, rf_ghuu, rf_ghxu, yhat1_KKSS, rf_ss, options_.threads.local_state_space_iteration_2);
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if max(max(abs(ynext3_lat(1:nstatesandobs,:)-ynext2_lat))) > 1e-14
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error('With pruning: inconsistency between local_state_space_iteration_2 and local_state_space_iteration_3 on the 1st-order pruned variable')
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end
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ynext3_2nd = ynext3_lat(1:nstatesandobs,:)+ynext3_lat(nstatesandobs+1:2*nstatesandobs,:)-rf_ss;
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if max(abs(ynext3_2nd(:)-ynext2(:))) > 1e-14
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error('With pruning: inconsistency between local_state_space_iteration_2 and local_state_space_iteration_3 on the 2nd-order pruned variable')
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end
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