77 lines
2.0 KiB
Modula-2
77 lines
2.0 KiB
Modula-2
/*
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Tests that local_state_space_iteration_2 and local_state_space_iteration_k
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(for k=2) return the same results.
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*/
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var y, k, a, h, b, c;
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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 = 0.1;
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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(order=2, irf=0, k_order_solver);
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nparticles = 100;
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/* We generate particles using realistic distributions (though this is not
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strictly needed) */
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state_idx = oo_.dr.order_var((M_.nstatic+1):(M_.nstatic+M_.npred+M_.nboth));
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yhat = chol(oo_.var(state_idx,state_idx))*randn(M_.npred+M_.nboth, nparticles);
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epsilon = chol(M_.Sigma_e)*randn(M_.exo_nbr, nparticles);
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dr = oo_.dr;
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tStart1 = tic; for i=1:10000, ynext1 = local_state_space_iteration_2(yhat, epsilon, dr.ghx, dr.ghu, dr.ys(dr.order_var)+0.5*dr.ghs2, dr.ghxx, dr.ghuu, dr.ghxu, 1); end, tElapsed1 = toc(tStart1);
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tStart2 = tic; for i=1:10000, ynext2 = local_state_space_iteration_k(yhat, epsilon, dr, M_, options_); end, tElapsed2 = toc(tStart2);
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if max(max(abs(ynext1-ynext2))) > 1e-14
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error('Inconsistency between local_state_space_iteration_2 and local_state_space_iteration_k')
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end
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if tElapsed1<tElapsed2
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skipline()
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dprintf('local_state_space_iteration_2 is %5.2f times faster than local_state_space_iteration_k', tElapsed2/tElapsed1)
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skipline()
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else
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skipline()
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dprintf('local_state_space_iteration_2 is %5.2f times slower than local_state_space_iteration_k', tElapsed1/tElapsed2)
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skipline()
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end
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