79 lines
2.1 KiB
Modula-2
79 lines
2.1 KiB
Modula-2
// --+ options: stochastic +--
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/* © 2022 Dynare Team
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*
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* This file 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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* It is distributed in the hope that it will be useful, but
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* 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 the file. If not, see <http://www.gnu.org/licenses/>.
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*/
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@#define USE_HISTVAL = 0
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var y ;
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varexo e ;
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parameters rho ;
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rho = 1.0;
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model(linear);
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diff(y) = rho*diff(y(-1)) + e ;
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end;
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shocks;
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var e = 1.0;
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end;
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steady;
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check;
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innovations = dseries(ones(200,1), 3Y, 'e');
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@#if USE_HISTVAL
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histval;
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y(-1) = 0.0;
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y(0) = 1.0;
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end;
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TrueData = simul_backward_model([], 200, innovations);
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@#else
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initdata = zeros(2, 2);
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initdata(1,1) = 0.0;
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initdata(2,1) = 1.0;
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initialconditions = dseries(initdata, 1Y, vertcat(M_.endo_names(1:M_.orig_endo_nbr), M_.exo_names));
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TrueData = simul_backward_model(initialconditions, 200, innovations);
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@#endif
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y0 = TrueData(2Y).y.data;
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yts = TrueData(3Y:10Y).y.data;
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yex = 1+cumsum(y0+cumsum(ones(8,1)));
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assert(~any(yts-yex), 'Simulation is wrong!')
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// Set the periods where some of the endogenous variables will be constrained.
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subsample = 3Y:100Y;
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// Load the generated data
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SimulatedData = copy(TrueData);
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// Set the constrained paths for the endogenous variables (Output and PhysicalCapitalStock).
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constrainedpaths = SimulatedData{'y'}(subsample);
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// Set the instruments (innovations used to control the paths for the endogenous variables).
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exogenousvariables = dseries(NaN(98, 1), 3Y, M_.exo_names);
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// Invert the model by calling the model_inversion routine.
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[endogenousvariables, exogenousvariables] = model_inversion(constrainedpaths, exogenousvariables, SimulatedData, M_, options_, oo_);
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assert(all(exogenousvariables.e.data==1), 'Inversion is wrong!');
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