157 lines
4.6 KiB
Modula-2
157 lines
4.6 KiB
Modula-2
/*
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* This file replicates the estimation of the cash in advance model described
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* Frank Schorfheide (2000): "Loss function-based evaluation of DSGE models",
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* Journal of Applied Econometrics, 15(6), 645-670.
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*
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* The data are in file "fsdat_simul.m", and have been artificially generated.
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* They are therefore different from the original dataset used by Schorfheide.
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*
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* The equations are taken from J. Nason and T. Cogley (1994): "Testing the
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* implications of long-run neutrality for monetary business cycle models",
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* Journal of Applied Econometrics, 9, S37-S70.
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* Note that there is an initial minus sign missing in equation (A1), p. S63.
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*
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* This implementation was written by Michel Juillard. Please note that the
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* following copyright notice only applies to this Dynare implementation of the
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* model.
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*/
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/*
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* Copyright (C) 2004-2019 Dynare Team
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*
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* This file is part of Dynare.
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*
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* Dynare is free software: you can redistribute it and/or modify
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* it under the terms of the GNU General Public License as published by
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* the Free Software Foundation, either version 3 of the License, or
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* (at your option) any later version.
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*
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* Dynare is distributed in the hope that it will be useful,
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* but WITHOUT ANY WARRANTY; without even the implied warranty of
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* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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* GNU General Public License for more details.
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*
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* You should have received a copy of the GNU General Public License
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* along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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*/
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var m P c e W R k d n l gy_obs gp_obs y dA;
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varexo e_a e_m;
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parameters alp bet gam mst rho psi del;
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alp = 0.33;
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bet = 0.99;
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gam = 0.003;
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mst = 1.011;
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rho = 0.7;
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psi = 0.787;
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del = 0.02;
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model;
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dA = exp(gam+e_a);
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log(m) = (1-rho)*log(mst) + rho*log(m(-1))+e_m;
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-P/(c(+1)*P(+1)*m)+bet*P(+1)*(alp*exp(-alp*(gam+log(e(+1))))*k^(alp-1)*n(+1)^(1-alp)+(1-del)*exp(-(gam+log(e(+1)))))/(c(+1)*P(+1)*m(+1))=0;
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W = l/n;
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-(psi/(1-psi))*(c*P/(1-n))+l/n = 0;
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R = P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(-alp)/W;
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1/(c*P)-bet*P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)/(m*l*c(+1)*P(+1)) = 0;
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c+k = exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)+(1-del)*exp(-(gam+e_a))*k(-1);
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P*c = m;
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m-1+d = l;
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e = exp(e_a);
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y = k(-1)^alp*n^(1-alp)*exp(-alp*(gam+e_a));
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exp(gy_obs) = dA*y/y(-1);
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exp(gp_obs) = (P/P(-1))*m(-1)/dA;
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end;
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shocks;
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var e_a; stderr 0.014;
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var e_m; stderr 0.005;
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end;
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steady_state_model;
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dA = exp(gam);
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gst = 1/dA;
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m = mst;
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khst = ( (1-gst*bet*(1-del)) / (alp*gst^alp*bet) )^(1/(alp-1));
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xist = ( ((khst*gst)^alp - (1-gst*(1-del))*khst)/mst )^(-1);
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nust = psi*mst^2/( (1-alp)*(1-psi)*bet*gst^alp*khst^alp );
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n = xist/(nust+xist);
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P = xist + nust;
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k = khst*n;
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l = psi*mst*n/( (1-psi)*(1-n) );
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c = mst/P;
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d = l - mst + 1;
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y = k^alp*n^(1-alp)*gst^alp;
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R = mst/bet;
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W = l/n;
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ist = y-c;
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q = 1 - d;
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e = 1;
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gp_obs = log(m/dA);
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gy_obs = log(dA);
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end;
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steady;
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check;
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estimated_params;
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alp, beta_pdf, 0.356, 0.02;
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bet, beta_pdf, 0.993, 0.002;
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gam, normal_pdf, 0.0085, 0.003;
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mst, normal_pdf, 1.0002, 0.007;
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rho, beta_pdf, 0.129, 0.223;
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psi, beta_pdf, 0.65, 0.05;
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del, beta_pdf, 0.01, 0.005;
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stderr e_a, inv_gamma_pdf, 0.035449, inf;
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stderr e_m, inv_gamma_pdf, 0.008862, inf;
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end;
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varobs gp_obs gy_obs;
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estimation(order=1,datafile=fsdat_simul_logged,consider_all_endogenous,nobs=192,mh_replic=2000, mh_nblocks=1,smoother, mh_jscale=0.8);
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ex_=[];
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for shock_iter=1:M_.exo_nbr
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ex_=[ex_ oo_.SmoothedShocks.Mean.(M_.exo_names{shock_iter})];
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end
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ex_ = ex_(2:end,:);
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% ex_ = zeros(size(ex_));
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y0=[];
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for endo_iter=1:M_.endo_nbr
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y0 = [y0; oo_.SmoothedVariables.Mean.(M_.endo_names{endo_iter})(1)];
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end;
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%make sure decision rules were updated
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[oo_.dr,info,M_,options_] = resol(0,M_,options_,oo_);
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dr = oo_.dr;
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iorder=1;
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y_=simult_(M_,options_,y0,dr,ex_,iorder);
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fsdat_simul_logged;
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%Needs bigger tolerance than ML, because transformation from parameters to steady states is not linear and steady state at mean parameters is not mean of steady states
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if mean(abs(y_(strmatch('gy_obs',M_.endo_names,'exact'),:)'-(gy_obs(1:options_.nobs))))>1e-3 ||...
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mean(abs(y_(strmatch('gy_obs',M_.endo_names,'exact'),:)'-oo_.SmoothedVariables.Mean.gy_obs))>1e-3 ||...
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mean(abs(y_(strmatch('gp_obs',M_.endo_names,'exact'),:)'-(gp_obs(1:options_.nobs))))>1e-1 ||...
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mean(abs(y_(strmatch('gp_obs',M_.endo_names,'exact'),:)'-oo_.SmoothedVariables.Mean.gp_obs))>1e-2
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error('Smoother is wrong')
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end
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% figure
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% plot((gy_obs))
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% hold on
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% plot(y_(strmatch('gy_obs',M_.endo_names,'exact'),:),'r--')
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%
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% figure
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% plot((gp_obs))
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% hold on
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% plot(y_(strmatch('gp_obs',M_.endo_names,'exact'),:),'r--') |