84 lines
1.9 KiB
Modula-2
84 lines
1.9 KiB
Modula-2
// --+ options: json=compute, stochastic +--
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var y x z v;
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varexo ex ey ez ;
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parameters a_y_1 a_y_2 b_y_1 b_y_2 b_x_1 b_x_2 d_y; // VAR parameters
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parameters beta e_c_m c_z_1 c_z_2; // PAC equation parameters
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a_y_1 = .2;
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a_y_2 = .3;
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b_y_1 = .1;
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b_y_2 = .4;
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b_x_1 = -.1;
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b_x_2 = -.2;
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d_y = .5;
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beta = .9;
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e_c_m = .1;
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c_z_1 = .7;
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c_z_2 = -.3;
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@#include "example1/model/pac-expectations/pacman-parameters.inc"
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model;
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[name='eq:y']
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y = a_y_1*y(-1) + a_y_2*diff(x(-1)) + b_y_1*y(-2) + b_y_2*diff(x(-2)) + ey ;
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[name='eq:x']
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diff(x) = b_x_1*y(-2) + b_x_2*diff(x(-1)) + ex ;
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[name='eq:v']
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v = x + d_y*y ;
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[name='eq:pac']
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diff(z) = e_c_m*(x(-1)-z(-1)) + c_z_1*diff(z(-1)) + c_z_2*diff(z(-2)) +
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@#include "example1/model/pac-expectations/pacman-expression.inc"
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+ ez;
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end;
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shocks;
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var ex = 1.0;
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var ey = 1.0;
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var ez = 1.0;
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end;
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// Set initial conditions to zero. Please use more sensible values if any...
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initialconditions = dseries(zeros(10, M_.endo_nbr+M_.exo_nbr), 2000Q1, vertcat(M_.endo_names,M_.exo_names));
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// Simulate the model for 20 periods
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set_dynare_seed('default');
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TrueData = simul_backward_model(initialconditions, 20);
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verbatim;
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set_dynare_seed('default');
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y = zeros(M_.endo_nbr,1);
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y(1:M_.orig_endo_nbr) = rand(M_.orig_endo_nbr, 1);
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x = randn(M_.exo_nbr,1);
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y = substitution.set_auxiliary_variables(y, x, M_.params);
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y = [y(find(M_.lead_lag_incidence(1,:))); y];
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example1 = load('example1.mat');
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[residual, g1] = substitution.dynamic(y, x', M_.params, oo_.steady_state, 1);
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if max(abs(example1.TrueData.data(:)-TrueData.data(:)))>1e-9
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error('Simulations do not match.')
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end
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if ~isequal(length(residual), length(example1.residual)) || max(abs(example1.residual-residual))>1e-8
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warning('Residuals do not match!')
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end
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if ~isequal(length(g1(:)), length(example1.g1(:))) || max(abs(example1.g1(:)-g1(:)))>1e-8
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warning('Jacobian matrices do not match!')
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end
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end;
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