92 lines
2.5 KiB
Modula-2
92 lines
2.5 KiB
Modula-2
var z dw dx dy dc1 dc2 w x y;
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varexo e_w e_x e_y e_z;
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parameters rho_w rho_x rho_y rho_z a1 a2 a3 b c;
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model(linear);
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dw = rho_w*dw(-1)+a1*(dc1(-1))+e_w;
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dx = rho_x*dx(-1)+a2*(dc1(-1))+e_x;
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dy = rho_y*dy(-1)+a3*(dc2(-1))+e_y;
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z = rho_z*z(-1)+dw-dx+e_z;
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dc1 = dc1(-1)+dx-b*dy-c*dw;
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dc2 = dc2(-1)+dx-b*dy;
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w = w(-1) + dw;
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x = x(-1) + dx;
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y = y(-1) + dy;
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end;
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estimated_params;
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rho_w, normal_pdf, 0.5,0.2;
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rho_x, normal_pdf, 0.5,0.2;
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rho_y, normal_pdf, 0.5,0.2;
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rho_z, normal_pdf, 0.8,0.2;
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a1, normal_pdf, 0.1,0.2;
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a2, normal_pdf, -0.1,0.2;
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a3, normal_pdf, 0.1,0.2;
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b , normal_pdf, 1,0.2;
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c , normal_pdf, 1,0.2;
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stderr e_w, uniform_pdf,,, 0.01, 0.1;
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stderr e_x, uniform_pdf,,, 0.01, 0.1;
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stderr e_y, uniform_pdf,,, 0.01, 0.1;
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stderr e_z, inv_gamma_pdf,0.01, inf;
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end;
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varobs w x y;
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estimation(datafile=data,first_obs=1000,nobs=200,mh_replic=0,mode_compute=0,mode_file='algo3/Output/algo3_mode',diffuse_filter,kalman_algo=4,filtered_vars,smoothed_state_uncertainty);
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//checking smoother consistency
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X = oo_.SmoothedVariables;
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S = [X.z X.dw X.dx X.dy X.dc1 X.dc2 X.w X.x X.y];
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X = oo_.SmoothedShocks;
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E = [X.e_w X.e_x X.e_y X.e_z];
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A = oo_.dr.ghx;
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B = oo_.dr.ghu;
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err = zeros(M_.endo_nbr,200);
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for t=2:200;
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err(:,t) = S(t,:)'-A*S(t-1,:)'-B*E(t,:)';
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end;
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if max(max(abs(err))) > 1e-10;
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error('Test fails');
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end;
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d=load('data');
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dat = [d.w d.x d.y];
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if max(max(abs(dat(1000:1199,:)-S(:,[7:9])))) > 1e-10;
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error('Test fails');
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end;
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o1 = load(['algo3' filesep 'Output' filesep 'algo3_results.mat']);
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obj_endo={'SmoothedVariables'; 'FilteredVariables'; 'UpdatedVariables'};
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obj_exo = {'SmoothedShocks';};
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nobj_endo = size(obj_endo,1);
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nobj_exo = size(obj_exo,1);
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for i=1:nobj_endo;
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err_endo = zeros(eval(['size(oo_.' obj_endo{i} '.' M_.endo_names{1} ',1);']),M_.endo_nbr);
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for j=1:M_.endo_nbr;
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var1 = eval(['o1.oo_.' obj_endo{i} '.' M_.endo_names{j}]);
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var2 = eval(['oo_.' obj_endo{i} '.' M_.endo_names{j}]);
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err_endo(:,j) = var1-var2;
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end;
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if max(max(abs(err_endo))) > 1e-10;
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error('Test fails');
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end;
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end;
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err_exo = zeros(200,M_.exo_nbr,nobj_exo);
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for i=1:nobj_exo;
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err_exo = zeros(size(eval(['oo_.' obj_exo{i} '.' M_.exo_names{1}]),1),M_.exo_nbr);
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for j=1:M_.exo_nbr;
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var1 = eval(['o1.oo_.' obj_exo{i} '.' M_.exo_names{j}]);
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var2 = eval(['oo_.' obj_exo{i} '.' M_.exo_names{j}]);
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err_exo(:,j,i) = var1 - var2;
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end;
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if max(max(abs(err_exo))) > 1e-10;
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error('Test fails');
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end;
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end;
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