90 lines
2.2 KiB
Modula-2
90 lines
2.2 KiB
Modula-2
/*
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* Example 1 from F. Collard (2001): "Stochastic simulations with DYNARE:
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* A practical guide" (see "guide.pdf" in the documentation directory).
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*/
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/*
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* Copyright (C) 2001-2010 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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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;
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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;
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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 = 11.08360443260358;
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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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stoch_simul(relative_irf,order=1,periods=0);
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oo_1_theoretic=oo_;
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stoch_simul(relative_irf,order=1,periods=100000);
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oo_1_simul=oo_;
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stoch_simul(relative_irf,order=2,periods=0);
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oo_2_theoretic=oo_;
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set_dynare_seed('default');
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stoch_simul(relative_irf,order=2,periods=100000);
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oo_2_simul=oo_;
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if max(max(abs(oo_1_theoretic.variance_decomposition-oo_1_simul.variance_decomposition)))>2
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error('Variance Decomposition wrong')
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end
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if max(max(abs(oo_1_theoretic.variance_decomposition-oo_2_theoretic.variance_decomposition)))>1e-10
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error('Theoretical Variance Decomposition wrong')
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end
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if max(max(abs(oo_2_theoretic.variance_decomposition-oo_2_simul.variance_decomposition)))>3
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error('Variance Decomposition wrong')
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end
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