127 lines
3.7 KiB
Modula-2
127 lines
3.7 KiB
Modula-2
// example 1 from Collard's guide to Dynare
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var y, c, k, a, h, b;
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varexo e,u;
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parameters beta, rho, alpha, delta, theta, psi, tau, phi;
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alpha = 0.36;
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rho = 0.95;
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tau = 0.025;
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beta = 0.99;
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delta = 0.025;
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psi = 0;
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theta = 2.95;
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phi = 0.1;
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model;
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c*theta*h^(1+psi)=(1-alpha)*y;
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k = beta*(((exp(b)*c)/(exp(b(+1))*c(+1)))
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*(exp(b(+1))*alpha*y(+1)+(1-delta)*k));
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y = exp(a)*(k(-1)^alpha)*(h^(1-alpha));
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k = exp(b)*(y-c)+(1-delta)*k(-1);
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a = rho*a(-1)+tau*b(-1) + e;
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b = tau*a(-1)+rho*b(-1) + u;
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end;
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initval;
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y = 1.08068253095672;
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c = 0.80359242014163;
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h = 0.29175631001732;
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k = 5;
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a = 0;
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b = 0;
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e = 0;
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u = 0;
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end;
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shocks;
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var e; stderr 0.009;
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var u; stderr 0.009;
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//var e, u = phi*0.009*0.009;
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end;
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varobs a y;
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@#for order in [1,2]
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options_.order=@{order};
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stoch_simul(conditional_variance_decomposition = 100,irf=0) a y k;
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if max(abs(sum(oo_.variance_decomposition,2)-100))>1e-6
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error(['Variance decomposition at order ',num2str(options_.order),' does not work'])
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end
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stoch_simul(conditional_variance_decomposition = [1 2 3 5 10 100],irf=0) a y k;
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if max(max(abs(sum(oo_.conditional_variance_decomposition,3)-1)))>1e-6
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error(['Conditional variance decomposition at order ',num2str(options_.order),' does not work'])
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end
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shocks;
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var y; stderr 0.01;
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var a; stderr 0.009;
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end;
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stoch_simul(conditional_variance_decomposition = [1 2 3 5 10 200],irf=0) a y k;
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if max(max(abs(sum(oo_.conditional_variance_decomposition,3)-1)))>1e-6
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error(['Conditional variance decomposition at order ',num2str(options_.order),' does not work'])
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end
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if max(max(abs(sum(oo_.conditional_variance_decomposition_ME,3)-1)))>1e-6
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error(['Conditional variance decomposition at order ',num2str(options_.order),' does not work'])
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end
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nvar = size(var_list_,1);
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SubsetOfVariables=zeros(nvar,1);
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for i=1:nvar
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i_tmp = strmatch(var_list_(i,:),M_.endo_names,'exact');
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SubsetOfVariables(i) = i_tmp;
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end
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[observable_pos,index_observables,index_subset]=intersect(SubsetOfVariables,options_.varobs_id,'stable');
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y_pos=strmatch('y',var_list_,'exact');
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y_pos_varobs=strmatch('y',options_.varobs,'exact');
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a_pos_varobs=strmatch('a',options_.varobs,'exact');
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if (oo_.conditional_variance_decomposition_ME(index_observables(y_pos_varobs),end,end)+oo_.var(y_pos,y_pos)/(oo_.var(y_pos,y_pos)+M_.H(y_pos_varobs,y_pos_varobs)))-1>1e-5...
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|| abs(oo_.conditional_variance_decomposition_ME(index_observables(a_pos_varobs),1,end)-0.5)>1e-5
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error(['Conditional variance decomposition at order ',num2str(options_.order),' with ME does not work'])
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end
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if (oo_.variance_decomposition_ME(index_observables(y_pos_varobs),end)/100+oo_.var(y_pos,y_pos)/(oo_.var(y_pos,y_pos)+M_.H(y_pos_varobs,y_pos_varobs)))-1>1e-5
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error(['Unconditional variance decomposition at order ',num2str(options_.order),' with ME does not work'])
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end
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shocks;
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var y; stderr 0;
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end;
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@#endfor
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%% do simulated moments
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@#for order in [1,2]
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options_.order=@{order};
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shocks;
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var y; stderr 0.01;
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var a; stderr 0.009;
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end;
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stoch_simul(irf=0,periods=1000000) a y k;
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if max(abs(sum(oo_.variance_decomposition,2)-100))>2
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error(['Variance decomposition at order ',num2str(options_.order),' does not work'])
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end
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[observable_pos,index_observables,index_subset]=intersect(SubsetOfVariables,options_.varobs_id,'stable');
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y_pos=strmatch('y',var_list_,'exact');
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y_pos_varobs=strmatch('y',options_.varobs,'exact');
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a_pos_varobs=strmatch('a',options_.varobs,'exact');
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if (oo_.variance_decomposition_ME(index_observables(y_pos_varobs),end)/100+oo_.var(y_pos,y_pos)/(oo_.var(y_pos,y_pos)+M_.H(y_pos_varobs,y_pos_varobs)))-1>5e-4
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error(['Unconditional variance decomposition at order ',num2str(options_.order),' with ME does not work'])
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end
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shocks;
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var y; stderr 0;
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end;
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@#endfor
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