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