173 lines
4.9 KiB
Modula-2
173 lines
4.9 KiB
Modula-2
var y y_s R pie dq pie_s de A y_obs pie_obs R_obs;
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varexo e_R e_q e_ys e_pies e_A;
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parameters psi1 psi2 psi3 rho_R tau alpha rr k rho_q rho_A rho_ys rho_pies;
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psi1 = 1.54;
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psi2 = 0.25;
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psi3 = 0.25;
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rho_R = 0.5;
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alpha = 0.3;
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rr = 2.51;
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k = 0.5;
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tau = 0.5;
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rho_q = 0.4;
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rho_A = 0.2;
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rho_ys = 0.9;
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rho_pies = 0.7;
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model(linear);
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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);
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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;
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pie = de+(1-alpha)*dq+pie_s;
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R = rho_R*R(-1)+(1-rho_R)*(psi1*pie+psi2*(y+alpha*(2-alpha)*((1-tau)/tau)*y_s)+psi3*de)+e_R;
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dq = rho_q*dq(-1)+e_q;
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y_s = rho_ys*y_s(-1)+e_ys;
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pie_s = rho_pies*pie_s(-1)+e_pies;
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A = rho_A*A(-1)+e_A;
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y_obs = y-y(-1)+A;
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pie_obs = 4*pie;
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R_obs = 4*R;
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end;
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epilogue;
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// annualized level of y
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ya = exp(y)+exp(y(-1))+exp(y(-2))+exp(y(-3));
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// annualized growth rate of y
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gya = ya/ya(-4)-1;
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end;
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shocks;
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var e_R = 1.25^2;
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var e_q = 2.5^2;
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var e_A = 1.89;
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var e_ys = 1.89;
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var e_pies = 1.89;
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end;
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varobs y_obs R_obs pie_obs dq de;
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estimated_params;
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psi1 , gamma_pdf,1.5,0.5;
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psi2 , gamma_pdf,0.25,0.125;
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psi3 , gamma_pdf,0.25,0.125;
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rho_R ,beta_pdf,0.5,0.2;
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alpha ,beta_pdf,0.3,0.1;
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rr ,gamma_pdf,2.5,1;
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k , gamma_pdf,0.5,0.25;
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tau ,gamma_pdf,0.5,0.2;
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rho_q ,beta_pdf,0.4,0.2;
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rho_A ,beta_pdf,0.5,0.2;
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rho_ys ,beta_pdf,0.8,0.1;
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rho_pies,beta_pdf,0.7,0.15;
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stderr e_R,inv_gamma_pdf,1.2533,0.6551;
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stderr e_q,inv_gamma_pdf,2.5066,1.3103;
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stderr e_A,inv_gamma_pdf,1.2533,0.6551;
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stderr e_ys,inv_gamma_pdf,1.2533,0.6551;
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stderr e_pies,inv_gamma_pdf,1.88,0.9827;
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end;
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estimation(datafile='../ls2003/data_ca1',silent_optimizer,first_obs=8,nobs=79,mh_nblocks=10,prefilter=1,mh_jscale=0.5,mh_replic=0,tex);
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close all
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shock_groups(name=trade);
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supply = e_A ;
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trade = e_q ;
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monetary = e_R ;
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end;
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shock_groups(name=row);
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supply = e_A ;
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'RoW shocks' = e_q e_ys e_pies ;
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monetary = e_R ;
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end;
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init2shocks;
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dq e_q;
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A e_A;
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end;
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options_.initial_date=dates('1989Q4'); % date arbitrarily set for testing purposes
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shock_decomposition(nograph, with_epilogue);
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// test for nothing to squeeze
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squeeze_shock_decomposition;
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// standard plot
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plot_shock_decomposition y_obs R_obs pie_obs dq de;
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// grouped shocks
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plot_shock_decomposition(use_shock_groups=trade) y_obs R_obs pie_obs dq de;
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// test datailed, custom name and yoy plots
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plot_shock_decomposition(detail_plot, fig_name = MR, type = yoy) y_obs R_obs pie_obs dq de;
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// testing init2shocks
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initial_condition_decomposition(detail_plot, type=aoa, steadystate, write_xls, plot_init_date=1991Q1, plot_end_date=1995Q4) R_obs;
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plot_shock_decomposition(init2shocks) y_obs R_obs pie_obs dq de;
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plot_shock_decomposition(init2shocks,use_shock_groups=trade) y_obs R_obs pie_obs dq de;
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// testing flip and diff
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plot_shock_decomposition(diff, use_shock_groups=trade) y_obs;
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plot_shock_decomposition(flip, use_shock_groups=trade) de;
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close all,
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// testing realtime decomposition
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// first compute realtime decompositions [pre-processor not yet available]
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realtime_shock_decomposition(forecast=8, save_realtime=[5 9 13 17 21 25 29 33 37 41 45 49 53 57 61 65 69 73 77]) y_obs R_obs pie_obs dq de;
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// test squeeze
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squeeze_shock_decomposition;
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//realtime pooled
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plot_shock_decomposition(realtime = 1) y_obs R_obs pie_obs dq de;
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//conditional pooled
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plot_shock_decomposition(realtime = 2) y_obs R_obs pie_obs dq de;
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// conditional 8-step ahead decomposition, given 1989q4
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plot_shock_decomposition(detail_plot, realtime = 2, vintage = 29) y_obs R_obs pie_obs dq de;
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close all,
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//forecast pooled
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plot_shock_decomposition(realtime = 3) y_obs R_obs pie_obs dq de;
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// forecast 8-step ahead decomposition, given 1989q4
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plot_shock_decomposition(detail_plot, realtime = 3, vintage = 29) y_obs R_obs pie_obs dq de;
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close all,
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// now I test annualized variables
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// this also triggers re-computing of decompositions since y was not present in squeeze set
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plot_shock_decomposition(detail_plot, type = aoa) y;
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plot_shock_decomposition(detail_plot, type = aoa) ya;
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plot_shock_decomposition(realtime = 1) y;
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plot_shock_decomposition(realtime = 1, vintage = 29) y;
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plot_shock_decomposition(realtime = 2, vintage = 29) y;
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plot_shock_decomposition(realtime = 3, vintage = 29) y;
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close all
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//test uimenu for groups
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plot_shock_decomposition(detail_plot, interactive, use_shock_groups = row, type = qoq, plot_init_date=2004Q1) y_obs R_obs pie_obs dq de;
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plot_shock_decomposition(detail_plot, interactive, realtime = 3, vintage = 29) y_obs R_obs pie_obs dq de;
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close all,
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// testing realtime decomposition with fast_realtime option
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realtime_shock_decomposition(fast_realtime=75) y_obs R_obs pie_obs dq de;
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// re-test squeeze
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squeeze_shock_decomposition;
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collect_latex_files;
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[status, cmdout]=system(['pdflatex -halt-on-error -interaction=nonstopmode ' M_.fname '_TeX_binder.tex']);
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if status
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cmdout
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error('TeX-File did not compile.')
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end
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