65 lines
2.3 KiB
Modula-2
65 lines
2.3 KiB
Modula-2
/*
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Tests that local_state_space_iteration_2 and local_state_space_iteration_k (for k=2) 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=2,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=2, 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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state_idx = oo_.dr.order_var((M_.nstatic+1):(M_.nstatic+M_.npred+M_.nboth));
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yhat = chol(oo_.var(state_idx,state_idx))*randn(M_.npred+M_.nboth, 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_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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tStart1 = tic; for i=1:nsims, ynext1 = local_state_space_iteration_2(yhat, epsilon, rf_ghx, rf_ghu, rf_constant, rf_ghxx, rf_ghuu, rf_ghxu, options_.threads.local_state_space_iteration_2); 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-14
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error('Inconsistency between local_state_space_iteration_2 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('local_state_space_iteration_2 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('local_state_space_iteration_2 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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