119 lines
3.5 KiB
Modula-2
119 lines
3.5 KiB
Modula-2
% this is the exact model Qu and Tkachenk (2012, Quantitative Economics)
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% used in their replication file.
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% This file is used to check whether the G matrix is computed correctly.
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% Created by Willi Mutschler (@wmutschl, willi@mutschler.eu)
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% =========================================================================
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% Copyright (C) 2019-2020 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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@#define TOL_RANK = 1e-10
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var z g R y pie c piep yp;
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varexo e_z e_g e_R ;
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parameters tau betta nu phi pistar psi1 psi2 rhor rhog rhoz sig2r sig2g sig2z;
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tau = 2.0000;
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betta = 0.9975;
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nu = 0.1000;
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phi= 53.6797;
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pistar=1.0080^2; %note pistar is squared
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psi1 = 1.5000;
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psi2 = 0.1250;
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rhor = 0.7500;
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rhog = 0.9500;
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rhoz = 0.9000;
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sig2r= (.002^2)*(10^5);
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sig2g= (.006^2)*(10^5);
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sig2z=(.003^2)*(10^5);
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model;
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#kap=(tau*(1-nu))/(nu*phi*pistar);
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y = y(+1) + g - g(+1) - 1/tau*(R-pie(+1)-z(+1));
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pie = betta*pie(+1)+kap*(y-g);
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c = y - g;
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R = rhor*R(-1)+(1-rhor)*psi1*pie+(1-rhor)*psi2*(y-g)+sqrt(sig2r)*e_R;
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g = rhog*g(-1)+sqrt(sig2g)*e_g;
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z = rhoz*z(-1)+sqrt(sig2z)*e_z;
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piep = pie(+1);
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yp = y(+1);
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end;
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estimated_params;
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tau, uniform_pdf, , , 1.5, 2.5;
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betta, uniform_pdf, , , 0.95, 0.99999;
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nu, uniform_pdf, , , 0.05, 0.5;
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phi, uniform_pdf, , , 10, 80;
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pistar, uniform_pdf, , , 1, 1.1;
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psi1, uniform_pdf, , , 1.05, 2.5;
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psi2, uniform_pdf, , , 0, 1.5;
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rhor, uniform_pdf, , , 0, 1;
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rhog, uniform_pdf, , , 0, 1;
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rhoz, uniform_pdf, , , 0, 1;
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sig2r, uniform_pdf, , , 0.01, 1;
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sig2g, uniform_pdf, , , 0.01, 1;
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sig2z, uniform_pdf, , , 0.01, 1;
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end;
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steady_state_model;
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pie=0; y=0; c=0; R=0; g=0; z=0; yp=0; piep=0;
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end;
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steady;
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check;
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varobs R y pie c;
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shocks;
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var e_z;
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stderr 1;
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var e_g;
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stderr 1;
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var e_R;
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stderr 1;
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end;
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identification(parameter_set=calibration,
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grid_nbr=10000,
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no_identification_strength,
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no_identification_reducedform,
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no_identification_moments,
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checks_via_subsets=1,
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tol_rank=@{TOL_RANK},
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max_dim_subsets_groups=4);
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load('G_QT'); %note that this is computed using replication files of Qu and Tkachenko (2012)
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temp = load([M_.dname filesep 'identification' filesep M_.fname '_identif']);
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G_dynare = temp.ide_spectrum_point.dSPECTRUM;
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% Compare signs
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if ~isequal(sign(G_dynare),sign(G_QT))
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error('signs of normalized G are note equal');
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end
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% Compare normalized versions
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tilda_G_dynare = temp.ide_spectrum_point.tilda_dSPECTRUM;
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ind_G_QT = (find(max(abs(G_QT'),[],1) > temp.store_options_ident.tol_deriv));
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tilda_G_QT = zeros(size(G_QT));
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delta_G_QT = sqrt(diag(G_QT(ind_G_QT,ind_G_QT)));
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tilda_G_QT(ind_G_QT,ind_G_QT) = G_QT(ind_G_QT,ind_G_QT)./((delta_G_QT)*(delta_G_QT'));
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if ~isequal(rank(tilda_G_QT,@{TOL_RANK}),rank(tilda_G_dynare,@{TOL_RANK}))
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error('ranks are not the same for normalized version')
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end
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max(max(abs(abs(tilda_G_dynare)-abs(tilda_G_QT))))
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norm(tilda_G_dynare - tilda_G_QT)
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