127 lines
3.4 KiB
Modula-2
127 lines
3.4 KiB
Modula-2
/*
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Compare simulation results from mex-file and Matlab without pruning at second order
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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(+2)*P(+2)*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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gy_obs = dA*y/y(-1);
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gp_obs = (P/P(-1))*m(-1)/dA;
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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 = m/dA;
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gy_obs = 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;
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stoch_simul(order=2,nograph);
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ex=randn(5,M_.exo_nbr);
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Y2_matlab = simult_(M_,options_,oo_.dr.ys,oo_.dr,ex,options_.order);
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stoch_simul(order=2,k_order_solver);
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Y2_mex = simult_(M_,options_,oo_.dr.ys,oo_.dr,ex,options_.order);
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if max(abs(Y2_matlab(:)-Y2_mex(:)))>1e-8;
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error('2nd order: Matlab and mex simulation routines do not return similar results')
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end
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Y2_mexiter = NaN(M_.endo_nbr,size(ex,1)+1);
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Y2_mexiter(:,1) = oo_.dr.ys;
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for it = 1:size(ex,1)
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Y2_temp = simult_(M_,options_,Y2_mexiter(:,it),oo_.dr,ex(it,:),options_.order);
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Y2_mexiter(:,it+1) = Y2_temp(:,2);
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end
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if max((abs(Y2_mex(:) - Y2_mexiter(:))))>1e-8;
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error('2nd order: sequential call does not return similar results')
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end
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stoch_simul(order=3, k_order_solver, nograph, irf=0);
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Y3_mex = simult_(M_,options_,oo_.dr.ys,oo_.dr,ex,options_.order);
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Y3_mexiter = NaN(M_.endo_nbr,size(ex,1)+1);
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Y3_mexiter(:,1) = oo_.dr.ys;
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for it = 1:size(ex,1)
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Y3_temp = simult_(M_,options_,Y3_mexiter(:,it),oo_.dr,ex(it,:),options_.order);
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Y3_mexiter(:,it+1) = Y3_temp(:,2);
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end
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if max((abs(Y3_mex(:) - Y3_mexiter(:))))>1e-8;
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error('3rd order: sequential call does not return similar results')
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end
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stoch_simul(order=2, k_order_solver, pruning, nograph, irf=0);
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options_.k_order_solver=false;
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Y2_matlab = simult_(M_,options_,oo_.dr.ys,oo_.dr,ex,options_.order);
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options_.k_order_solver=true;
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Y2_mex = simult_(M_,options_,oo_.dr.ys,oo_.dr,ex,options_.order);
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if max(abs(Y2_matlab(:)-Y2_mex(:)))>1e-8;
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error('2nd order with pruning: Matlab and mex simulation routines do not return similar results')
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end
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stoch_simul(order=3, k_order_solver, pruning, nograph, irf=0);
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options_.k_order_solver=false;
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Y3_matlab = simult_(M_,options_,oo_.dr.ys,oo_.dr,ex,options_.order);
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options_.k_order_solver=true;
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Y3_mex = simult_(M_,options_,oo_.dr.ys,oo_.dr,ex,options_.order);
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if max(abs(Y3_matlab(:)-Y3_mex(:)))>1e-8;
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error('3rd order with pruning: Matlab and mex simulation routines do not return similar results')
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end
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