174 lines
7.6 KiB
Modula-2
174 lines
7.6 KiB
Modula-2
// --+ options: stochastic,json=compute +--
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var U2_Q_YED
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U2_G_YER
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U2_STN
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U2_EHIC
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U2_ESTN
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U2_G_EYER
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U2_HH_OCOR
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U2_HH_COR
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U2_H_Q_YER400
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U2_HH_COR1
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;
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varexo res_U2_Q_YED
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res_U2_G_YER
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res_U2_STN
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res_U2_EHIC
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res_U2_ESTN
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res_U2_G_EYER
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res_U2_HH_OCOR
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res_U2_H_Q_YER
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res_ez ;
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parameters u2_q_yed_ecm_u2_q_yed_L1
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u2_q_yed_ecm_u2_stn_L1
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u2_q_yed_u2_q_yed_L1
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u2_q_yed_u2_g_yer_L1
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u2_q_yed_u2_stn_L1
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u2_g_yer_ecm_u2_q_yed_L1
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u2_g_yer_ecm_u2_stn_L1
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u2_g_yer_u2_q_yed_L1
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u2_g_yer_u2_g_yer_L1
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u2_g_yer_u2_stn_L1
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u2_stn_ecm_u2_q_yed_L1
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u2_stn_ecm_u2_stn_L1
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u2_stn_u2_q_yed_L1
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u2_stn_u2_g_yer_L1
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u2_q_yed_ecm_u2_g_yer_L1
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u2_g_yer_ecm_u2_g_yer_L1
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u2_stn_ecm_u2_g_yer_L1
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u2_hh_ocor_ecm_u2_q_yed_L1
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u2_hh_ocor_ecm_u2_stn_L1
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u2_hh_ocor_ecm_u2_g_yer_L1
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u2_hh_ocor_u2_q_yed_L1
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u2_hh_ocor_u2_g_yer_L1
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u2_hh_ocor_u2_stn_L1
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u2_hh_ocor_ecm_u2_hh_ocor_L1
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u2_hh_ocor_u2_hh_ocor_L1
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beta
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ecm_pac
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u2_hh_cor_pac_u2_hh_cor_L1 ;
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beta = 0.98 ;
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ecm_pac = 0.2;
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u2_hh_cor_pac_u2_hh_cor_L1 = 0.4;
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model;
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[name='U2_Q_YED']
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diff(U2_Q_YED) = u2_q_yed_ecm_u2_q_yed_L1 * (U2_Q_YED(-1) - U2_EHIC(-1))
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+ u2_q_yed_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
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+ u2_q_yed_ecm_u2_g_yer_L1 * (U2_G_YER(-1)- U2_G_EYER(-1))
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+ u2_q_yed_u2_q_yed_L1 * diff(U2_Q_YED(-1))
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+ u2_q_yed_u2_g_yer_L1 * diff(U2_G_YER(-1))
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+ u2_q_yed_u2_stn_L1 * diff(U2_STN(-1))
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+ res_U2_Q_YED ;
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[name='U2_G_YER']
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diff(U2_G_YER) = u2_g_yer_ecm_u2_q_yed_L1 * (U2_Q_YED(-1) - U2_EHIC(-1))
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+ u2_g_yer_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
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+ u2_g_yer_ecm_u2_g_yer_L1 * (U2_G_YER(-1) - U2_G_EYER(-1))
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+ u2_g_yer_u2_q_yed_L1 * diff(U2_Q_YED(-1))
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+ u2_g_yer_u2_g_yer_L1 * diff(U2_G_YER(-1))
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+ u2_g_yer_u2_stn_L1 * diff(U2_STN(-1))
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+ res_U2_G_YER ;
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[name='U2_STN']
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diff(U2_STN) = u2_stn_ecm_u2_q_yed_L1 * (U2_Q_YED(-1) - U2_EHIC(-1))
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+ u2_stn_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
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+ u2_stn_ecm_u2_g_yer_L1 * (U2_G_YER(-1) - U2_G_EYER(-1))
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+ u2_stn_u2_q_yed_L1 * diff(U2_Q_YED(-1))
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+ u2_stn_u2_g_yer_L1 * diff(U2_G_YER(-1))
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+ res_U2_STN ;
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[name='U2_ESTN']
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U2_ESTN = U2_ESTN(-1) + res_U2_ESTN ;
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[name='U2_EHIC']
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U2_EHIC = U2_EHIC(-1) + res_U2_EHIC ;
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[name='U2_G_EYER']
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U2_G_EYER = U2_G_EYER(-1) + res_U2_G_EYER ;
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[name='U2_HH_OCOR']
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diff(diff(log(U2_HH_OCOR))) = u2_hh_ocor_ecm_u2_q_yed_L1 * (U2_Q_YED(-1) - U2_EHIC(-1))
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+ u2_hh_ocor_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
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+ u2_hh_ocor_ecm_u2_g_yer_L1 * (U2_G_YER(-1) - U2_G_EYER(-1))
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+ u2_hh_ocor_ecm_u2_hh_ocor_L1 * (diff(log(U2_HH_OCOR(-1))) - U2_H_Q_YER400(-1))
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+ u2_hh_ocor_u2_q_yed_L1 * diff(U2_Q_YED(-1))
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+ u2_hh_ocor_u2_g_yer_L1 * diff(U2_G_YER(-1))
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+ u2_hh_ocor_u2_stn_L1 * diff(U2_STN(-1))
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+ u2_hh_ocor_u2_hh_ocor_L1 * diff(diff(log(U2_HH_OCOR(-1))))
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+ res_U2_HH_OCOR ;
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[name='U2_H_Q_YER400']
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U2_H_Q_YER400 = U2_H_Q_YER400(-1) + res_U2_H_Q_YER;
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[name='zpac']
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diff(log(U2_HH_COR)) = ecm_pac*(log(U2_HH_OCOR(-1))-log(U2_HH_COR(-1))) +
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u2_hh_cor_pac_u2_hh_cor_L1*diff(log(U2_HH_COR(-1))) +
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pac_expectation(pacman) +
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res_ez;
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[name='zpac1']
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diff(log(U2_HH_COR1)) = ecm_pac*(log(U2_HH_OCOR(-1))-log(U2_HH_COR1(-1))) +
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u2_hh_cor_pac_u2_hh_cor_L1*diff(log(U2_HH_COR1(-1))) +
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pac_expectation(pacman1) +
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res_ez;
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end;
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// Random calibration for the TREND_COMPONENT_MODEL's parameters.
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M_.params(1:25) = randn(25, 1);
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params = M_.params;
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trend_component_model(model_name=toto, eqtags=['U2_Q_YED', 'U2_G_YER', 'U2_STN', 'U2_EHIC', 'U2_G_EYER', 'U2_ESTN', 'U2_HH_OCOR', 'U2_H_Q_YER400'], targets=['U2_EHIC', 'U2_G_EYER', 'U2_ESTN', 'U2_H_Q_YER400']);
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pac_model(auxiliary_model_name=toto, discount=beta, model_name=pacman, growth = U2_H_Q_YER400);
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pac.initialize('pacman');
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C0 = oo_.trend_component.toto.CompanionMatrix;
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trend_component_model(model_name=titi, eqtags=['U2_Q_YED', 'U2_G_YER', 'U2_STN', 'U2_EHIC', 'U2_G_EYER', 'U2_ESTN', 'U2_HH_OCOR', 'U2_H_Q_YER400'], targets=['U2_G_EYER', 'U2_H_Q_YER400', 'U2_ESTN', 'U2_EHIC']);
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pac_model(auxiliary_model_name=titi, discount=beta, model_name=pacman1, growth = U2_H_Q_YER400);
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pac.initialize('pacman1');
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C1 = oo_.trend_component.titi.CompanionMatrix;
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[AR0, A00, A00star] = feval([M_.fname '.trend_component_ar_a0'], 'toto', M_.params);
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[AR1, A01, A01star] = feval([M_.fname '.trend_component_ar_a0'], 'titi', M_.params);
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save('tcm6_data.mat', 'C0', 'AR0', 'A00', 'A00star', 'C1', 'AR1', 'A01', 'A01star', 'params');
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if sum(sum(abs(AR0-AR1))) ~= 0
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error('Problem with AR matrices')
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end
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if sum(sum(abs(A00-A01))) ~= 0
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error('Problem with A0 matrices')
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end
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if sum(sum(abs(A00star-A01star(:,[4,1,3,2])))) ~= 0
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error('Problem with A0star matrices')
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end
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ar = zeros(4, 4, 1);
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ar(1,:) = [M_.params(strcmp(M_.param_names, 'u2_q_yed_u2_q_yed_L1')), M_.params(strcmp(M_.param_names, 'u2_q_yed_u2_g_yer_L1')), M_.params(strcmp(M_.param_names, 'u2_q_yed_u2_stn_L1')), 0];
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ar(2,:) = [M_.params(strcmp(M_.param_names, 'u2_g_yer_u2_q_yed_L1')), M_.params(strcmp(M_.param_names, 'u2_g_yer_u2_g_yer_L1')), M_.params(strcmp(M_.param_names, 'u2_g_yer_u2_stn_L1')), 0];
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ar(3,:) = [M_.params(strcmp(M_.param_names, 'u2_stn_u2_q_yed_L1')), M_.params(strcmp(M_.param_names, 'u2_stn_u2_g_yer_L1')), 0, 0];
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ar(4,:) = [M_.params(strcmp(M_.param_names, 'u2_hh_ocor_u2_q_yed_L1')), M_.params(strcmp(M_.param_names, 'u2_hh_ocor_u2_g_yer_L1')), M_.params(strcmp(M_.param_names, 'u2_hh_ocor_u2_stn_L1')), M_.params(strcmp(M_.param_names, 'u2_hh_ocor_u2_hh_ocor_L1'))];
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if sum(sum(abs(AR0-ar))) ~= 0
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error('Problem with AR matrix')
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end
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a0 = zeros(4, 4, 1);
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a0(1,:) = [M_.params(strcmp(M_.param_names, 'u2_q_yed_ecm_u2_q_yed_L1')), M_.params(strcmp(M_.param_names, 'u2_q_yed_ecm_u2_g_yer_L1')), M_.params(strcmp(M_.param_names, 'u2_q_yed_ecm_u2_stn_L1')), 0];
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a0(2,:) = [M_.params(strcmp(M_.param_names, 'u2_g_yer_ecm_u2_q_yed_L1')), M_.params(strcmp(M_.param_names, 'u2_g_yer_ecm_u2_g_yer_L1')), M_.params(strcmp(M_.param_names, 'u2_g_yer_ecm_u2_stn_L1')), 0];
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a0(3,:) = [M_.params(strcmp(M_.param_names, 'u2_stn_ecm_u2_q_yed_L1')), M_.params(strcmp(M_.param_names, 'u2_stn_ecm_u2_g_yer_L1')), M_.params(strcmp(M_.param_names, 'u2_stn_ecm_u2_stn_L1')), 0];
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a0(4,:) = [M_.params(strcmp(M_.param_names, 'u2_hh_ocor_ecm_u2_q_yed_L1')), M_.params(strcmp(M_.param_names, 'u2_hh_ocor_ecm_u2_g_yer_L1')), M_.params(strcmp(M_.param_names, 'u2_hh_ocor_ecm_u2_stn_L1')), M_.params(strcmp(M_.param_names, 'u2_hh_ocor_ecm_u2_hh_ocor_L1'))];
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if sum(sum(abs(A00star-a0))) ~= 0
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error('Problem with A0star matrix')
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end
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