Remove Q3_steadystate routine, use steady_state_model block instead.
Also remove the (useless) initval block. => Faster evaluation of the likelihood.master
parent
c378472dca
commit
a260f9af17
GPG Key ID:
A6D44CB9C64CE77B
269
Q3.mod
269
Q3.mod
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@ -503,119 +503,172 @@ E_LWS = E_LL-E_LYWR;
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end;
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initval;
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E_BGYN = 2.4000;
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E_BWRY = 0;
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E_CLCSN = 0.3862;
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E_DBGYN = 0;
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E_LER = 0;
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E_ETA = 0.9000;
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E_GC = 0.0030;
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E_GCL = 0.0041;
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E_GCLC = 0.0030;
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E_GCNLC = 0.0030;
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E_GE = 0;
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E_GEX = 0.0030;
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E_GEXL = 0.0115;
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E_GG = 0.0030;
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E_GGL = 0.0041;
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E_GI = 0.0030;
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E_GIG = 0.0030;
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E_GIL = 0.0041;
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E_GIM = 0.0030;
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E_GIML = 0.0115;
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E_GK = 0.0030;
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E_GKG = 0.0030;
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E_GL = 0;
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E_GSN = 0.2030;
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E_GTAX = 0.0080;
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E_GTFP =0.0024;
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E_GTFPUCAP = 0.0013;
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E_GTR = 0.0030;
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E_GUC = 0;
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E_GUCAP = 0;
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E_GWRY = 0;
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E_GY = 0.0030;
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E_GYL = 0.0041;
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E_GYPOT = 0.0030;
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E_GYW = 0.0030;
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E_INOM = 0.0090;
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E_INOMW = 0.0090;
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E_LL = -0.4308;
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E_LL0 = -0.4308;
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E_LBGYN = 0.8755;
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E_LCSN = -0.5381;
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E_LCLCSN = -0.9514;
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E_LCNLCSN = -0.3702;
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E_LEXYN = -1.9576;
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E_LGSN = -1.5945;
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E_LIGSN = -3.6889;
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E_LIMYN = -1.9576;
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E_LIK = -3.5359;
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E_LIKG = -4.0963;
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E_LISN = -1.6706;
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E_LOL =0;
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E_LPCP =0 ;
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E_LPMP =0;
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E_LPXP = 0;
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E_LTRYN = -1.7809;
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E_LUCYN = 4.9955;
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E_LUCLCYN = 3.9815;
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E_LYGAP = 0;
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E_LYKPPI = -1.8653;
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E_LYWR = 0.3285;
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E_LYWY = 0;
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E_MRY = 0.9964;
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E_PHI = 0.0050;
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E_PHIC = 0.0050;
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E_PHIPI = 0;
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E_PHIM = 0.0050;
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E_PHIML = 0.0010;
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E_PHIW = 0.0050;
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E_PHIX = 0.0050;
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E_PHIXL = 0.0010;
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E_Q = 1.0000;
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E_R = 0.0040;
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E_TAXYN = -0.0142;
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E_TBYN = 0;
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E_TRTAXYN = 0.1827;
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E_TRW = 0.3600;
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E_TRYN = 0.1685;
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E_TW = 0.2000;
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E_UCAP = 1.0000;
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E_UCAP0 = 1.0000;
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E_VL = 19.0679;
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E_VLLC = 8.8600;
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E_WPHI = 0.0080;
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E_WRPHI = 0.0030;
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E_WS = 0.4680;
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E_WSW = 0.2808;
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E_ZEPS_C =0;
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E_ZEPS_ETA =0;
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E_ZEPS_ETAM =0;
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E_ZEPS_ETAX =0;
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E_ZEPS_EX =0;
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E_ZEPS_G =0;
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E_ZEPS_IG =0;
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E_ZEPS_L =0;
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E_ZEPS_M =0;
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E_ZEPS_PPI =0;
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E_ZEPS_RPREME=0;
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E_ZEPS_RPREMK=0;
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E_ZEPS_TR =0;
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E_ZEPS_W =0;
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E_ZPHIT =0.0050;
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E_LCY =-0.5381;
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E_LGY =-1.5945;
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E_LWS =-0.7593;
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interest = 0;
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inflation = 0;
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outputgap =0;
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steady_state_model;
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E_EX_RW = E_EX_INOMW - GPW0;
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E_EX_R = 1/BETAE-1;
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E_EX_RW = E_EX_R;
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E_EX_INOMW = E_EX_RW + GPW0;
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GTFP0 = (ALPHAE+ALPHAGE-1)/ALPHAE*GY0-(2-ALPHAE-ALPHAGE)/ALPHAE*GPCPI0;
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GYW0 = GY0;
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DELTAKE = (DELTAE+GPOP0);
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DELTAKGE = (DELTAGE+GPOP0);
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SWE = SE;
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E_ETA =(1-TAUE);
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E_GC = GY0;
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E_GCL = GY0+GPOP0;
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E_GCLC = GY0;
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E_GCNLC = GY0;
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E_GE = GP0 - GPW0;
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E_GER =0;
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E_GEX=GY0;
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E_GEXL = GY0+GPOP0+DGEX;
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E_GG = GY0;
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E_GGL = GY0+GPOP0;
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E_GI = GY0+GPCPI0;
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E_GIG = E_GI;
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E_GIL = GY0+GPCPI0+GPOP0;
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E_GIM = GY0;
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E_GIML = GY0+GPOP0+DGIM;
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E_GK = E_GI;
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E_GKG = E_GI;
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E_GL = 0;
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E_GPOPA = GPOP0;
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E_GTFP = (ALPHAE+ALPHAGE-1)/ALPHAE*GY0-(2-ALPHAE-ALPHAGE)/ALPHAE*GPCPI0;
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E_GTFPUCAP = ALPHAE*E_GTFP;
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E_GUC = 0;
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E_GUCAP = 0;
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E_GWRY = 0;
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E_GY = GY0;
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E_GYL = GY0+GPOP0;
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E_GTAX = GY0+GP0;
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E_GTR = GY0;
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E_GYPOT = GY0;
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E_GYW = GYW0;
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E_INOM = E_EX_R+GP0;
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E_INOMW = E_EX_INOMW;
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E_LOL = 0;
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E_BWRY = (E_EX_RW - E_EX_R)/RPREME;
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TBYN = (-E_INOM+GPOP0+GP0+GY0)*E_BWRY;
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E_TBYN = TBYN;
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E_LYWY = LYWY0;
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YWY = exp(LYWY0);
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E_LIK = log(DELTAKE+GY0+GPCPI0);
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E_LIKG = log(DELTAKGE+GY0+GPCPI0);
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IK = (DELTAKE+GY0+GPCPI0);
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YKN = (E_EX_R+RPREMK+DELTAE)/(1-TP)/(1-TAUE)/(1-ALPHAE);
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E_LYKPPI = log(YKN);
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ISN = IK/YKN;
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E_L = L0;
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E_LL = log(L0);
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E_LL0 = log(L0);
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LER0 = 0;
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E_ER = exp(LER0);
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E_LER = LER0;
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PMP = (E_ER^ALPHAX);
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E_LPMP = log(PMP);
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PCP = (SE+(1-SE)*PMP^(1-SIGIME))^(1/(1-SIGIME));
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E_LPCP = log(PCP);
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E_LPCPM0 = E_LPCP-E_LPMP;
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PXP = 1;
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E_LPXP = 0;
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IMYN = (1-SE)*exp(E_LPCP-E_LPMP)^(SIGIME-1)*(1-TBYN);
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E_LIMYN = log(IMYN);
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EXYN = (1-SE)*exp(E_LER*(ALPHAX*SE))^SIGEXE*exp(E_LYWY)^ALPHAX;
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E_LEXYN = log(EXYN);
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E_LIGSN = log(IGSN);
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E_ZEPS_IG = 0;
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E_LGSN = log(GSN);
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E_LISN = log(ISN);
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CSN = 1-(IGSN+GSN+ISN+TBYN);
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E_LCSN = log(CSN);
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E_LBGYN=log(BGTAR);
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YWR = 1/((1-TAUE)*ALPHAE/L0*(1+E_LOL));
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E_LYWR = log(YWR);
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E_LWPTU = 0;
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E_TW = 0.2;
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E_TRW = TRSN;
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E_WS = exp(E_LL-E_LYWR);
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E_TAXYN = (E_INOM-GP0-GY0-GPOP0)*BGTAR+IGSN+GSN+TRSN*E_WS-(E_TW+SSC)*E_L/YWR -TP*(1-E_L/YWR)-TVAT*CSN;
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CLCSN = ((1-E_TW-SSC)*E_L/YWR + TRSN*E_WS - E_TAXYN)/(1+TVAT);
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E_LCLCSN = log(CLCSN);
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CNLCSN = (CSN-CLCSN*SLC*SLCFLAG)/(1-SLC*SLCFLAG);
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E_LCNLCSN = log(CNLCSN);
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UCTERM = ((1-SLCFLAG*SLC)*(CNLCSN*(1-HABE))^(-SIGC)+SLCFLAG*SLC*CLCSN^(-SIGC))/((1-SLCFLAG*SLC)*(CNLCSN*(1-HABE))^(1-SIGC)+SLCFLAG*SLC*CLCSN^(1-SIGC));
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A = (THETAE-1)/THETAE*(1-E_TW-SSC)/(1+TVAT)*E_WS*UCTERM/L0;
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OMEGE = A/(KAPPAE*(L0*(1-HABLE))^(KAPPAE-1)+A*(L0*(1-HABLE))^KAPPAE);
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UCYN = (CNLCSN*(1-HABE))^(-SIGC)*(1-OMEGE*(L0*(1-HABLE))^KAPPAE)^(1-SIGC);
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E_LUCYN = log(UCYN);
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UCLCYN = (CLCSN)^(-SIGC)*(1-OMEGE*(L0*(1-HABLE))^KAPPAE)^(1-SIGC);
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E_LUCLCYN = log(UCLCYN);
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E_VL = (CNLCSN*(1-HABE))^(1-SIGC)*(1-OMEGE*(L0*(1-HABLE))^KAPPAE)^(-SIGC)*KAPPAE*OMEGE*(L0*(1-HABLE))^(KAPPAE-1);
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E_VLLC = (CLCSN)^(1-SIGC)*(1-OMEGE*(L0*(1-HABLE))^KAPPAE)^(-SIGC)*KAPPAE*OMEGE*(L0*(1-HABLE))^(KAPPAE-1);
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E_LYGAP = 0 ;
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E_LYGAP1 = 0 ;
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E_LCY = E_LCSN-E_LPCP;
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E_LGY = E_LGSN-E_LPCP;
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E_LWS = log(E_WS);
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E_CLCSN = exp(E_LCLCSN);
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E_TRYN = E_TRW*exp(E_LL-E_LYWR);
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E_LTRYN = log(E_TRYN);
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E_TRTAXYN = E_TRW*exp(E_LL-E_LYWR) - E_TAXYN;
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E_BGYN = exp(E_LBGYN);
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E_GSN = exp(E_LGSN);
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E_WSW = (1-E_TW-SSC)*E_WS;
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E_MRY = (1+E_INOM)^(-ZETE);
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E_PHI = GP0;
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E_PHIC = GP0;
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E_PHIPI = GPCPI0;
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E_PHIM = GP0;
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E_PHIML = GP0+DGPM;
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E_PHIW = GPW0;
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E_PHIX = GP0;
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E_PHIXL = GP0+DGPX;
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E_Q = 1;
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E_R = E_EX_R;
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E_TI = 0;
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E_UCAP = UCAP0;
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E_UCAP0 = UCAP0;
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E_WPHI = GP0+GY0;
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E_WRPHI = GY0;
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E_ZEPS_C = 0;
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E_ZEPS_CLC = 0;
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E_ZEPS_EQ = 0;
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E_ZEPS_ETA = 0;
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E_ZEPS_ETAM = 0;
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E_ZEPS_ETAX = 0;
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E_ZEPS_EX = 0;
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E_ZEPS_G = 0;
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E_ZEPS_I = 0;
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E_ZEPS_IM = 0;
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E_ZEPS_L = 0;
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E_ZEPS_M = 0;
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E_ZEPS_PC = 0;
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E_ZEPS_PPI = 0;
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E_ZEPS_POP = 0;
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E_ZEPS_PX = 0;
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E_ZEPS_RPREME = 0;
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E_ZEPS_RPREMK = 0;
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E_ZEPS_SLC = 0;
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E_ZEPS_TFP = 0;
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E_ZEPS_TR = 0;
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E_ZEPS_W = 0;
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E_ZEPS_Y = 0;
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E_ZEPS_YW = 0;
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E_DBGYN = 0;
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E_ZEPS_YGAP = 0;
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E_ZPHIT = GP0;
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interest = ((E_INOM+1)^4-interestq_exog^4)/interestq_exog^4;
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inflationq = (4*E_PHIC+1-inflationannual_exog)/inflationannual_exog;
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inflation = (1/4)*(inflationq+inflationq+inflationq+inflationq);
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outputgap = E_LYGAP;
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A1E = (1-TAUE)*(1-ALPHAE)*exp(E_LYKPPI)/UCAP0;
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end;
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steady;
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check;
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// set exogenous shocks NOT jointly estimated with the DSGE model
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shocks;
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var E_EPS_INOMW;
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202
Q3_steadystate.m
202
Q3_steadystate.m
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@ -1,202 +0,0 @@
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function [ys,params,check1] = Q3_steadystate(junk, exs, M_, options_)
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for j=1:size(M_.param_names,1)
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eval([M_.param_names{j},' = M_.params(j);'])
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end
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check1=0;
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E_EX_RW = E_EX_INOMW - GPW0;
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E_EX_R = 1/BETAE-1;
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E_EX_RW = E_EX_R;
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E_EX_INOMW = E_EX_RW + GPW0;
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GTFP0 = (ALPHAE+ALPHAGE-1)/ALPHAE*GY0-(2-ALPHAE-ALPHAGE)/ALPHAE*GPCPI0;
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GYW0 = GY0;
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DELTAKE = (DELTAE+GPOP0);
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DELTAKGE = (DELTAGE+GPOP0);
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M_.params(strcmp('E_EX_RW', M_.param_names)) = E_EX_RW;
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M_.params(strcmp('GYW0', M_.param_names)) = GYW0;
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M_.params(strcmp('GTFP0', M_.param_names)) = GTFP0;
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SWE=SE;
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E_ETA =(1-TAUE);
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E_GC = GY0;
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E_GCL = GY0+GPOP0;
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E_GCLC = GY0;
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E_GCNLC = GY0;
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E_GE = GP0 - GPW0;
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E_GER =0;
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E_GEX=GY0;
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E_GEXL = GY0+GPOP0+DGEX;
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E_GG =GY0;
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E_GGL =GY0+GPOP0;
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E_GI =GY0+GPCPI0;
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E_GIG = E_GI;
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E_GIL =GY0+GPCPI0+GPOP0;
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E_GIM=GY0;
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E_GIML = GY0+GPOP0+DGIM;
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E_GK =E_GI;
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E_GKG =E_GI;
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E_GL =0;
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E_GPOPA = GPOP0;
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E_GTFP = (ALPHAE+ALPHAGE-1)/ALPHAE*GY0-(2-ALPHAE-ALPHAGE)/ALPHAE*GPCPI0;
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E_GTFPUCAP = ALPHAE*E_GTFP;
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E_GUC = 0;
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E_GUCAP = 0;
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E_GWRY = 0;
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E_GY=GY0;
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E_GYL=GY0+GPOP0;
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E_GTAX = GY0+GP0;
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E_GTR = GY0;
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E_GYPOT=GY0;
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E_GYW=GYW0;
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E_INOM = E_EX_R+GP0;
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E_INOMW =E_EX_INOMW;
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E_LOL = 0;
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E_BWRY = (E_EX_RW - E_EX_R)/RPREME;
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TBYN = (-E_INOM+GPOP0+GP0+GY0)*E_BWRY;
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E_TBYN=TBYN;
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E_LYWY = LYWY0;
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M_.params(strcmp('LYWY0', M_.param_names)) = LYWY0;
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YWY = exp(LYWY0);
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E_LIK = log(DELTAKE+GY0+GPCPI0);
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E_LIKG = log(DELTAKGE+GY0+GPCPI0);
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IK = (DELTAKE+GY0+GPCPI0);
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YKN = (E_EX_R+RPREMK+DELTAE)/(1-TP)/(1-TAUE)/(1-ALPHAE);
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E_LYKPPI=log(YKN);
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ISN=IK/YKN;
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M_.params(strcmp('ISN', M_.param_names)) = ISN;
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E_L =L0;
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E_LL =log(L0);
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E_LL0 =log(L0);
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LER0=0;
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E_ER=exp(LER0);
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E_LER = LER0;
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PMP = (E_ER^ALPHAX);
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E_LPMP = log(PMP);
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PCP = (SE+(1-SE)*PMP^(1-SIGIME))^(1/(1-SIGIME));
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E_LPCP= log(PCP);
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E_LPCPM0 = E_LPCP-E_LPMP;
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PXP = 1; %PCP^(S0*(1-SXDE));
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E_LPXP = 0; %(1-SXDE)*S0*E_LPCP;
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IMYN = (1-SE)*exp(E_LPCP-E_LPMP)^(SIGIME-1)*(1-TBYN);
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E_LIMYN = log(IMYN);
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EXYN = (1-SE)*exp(E_LER*(ALPHAX*SE))^SIGEXE*exp(E_LYWY)^ALPHAX;
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E_LEXYN = log(EXYN);
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E_LIGSN = log(IGSN);
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E_ZEPS_IG = 0;
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|
||||
E_LGSN = log(GSN);
|
||||
E_LISN = log(ISN);
|
||||
CSN = 1-(IGSN+GSN+ISN+TBYN);
|
||||
M_.params(strcmp('CSN', M_.param_names)) = CSN;
|
||||
E_LCSN = log(CSN);
|
||||
E_LBGYN=log(BGTAR);
|
||||
YWR = 1/((1-TAUE)*ALPHAE/L0*(1+E_LOL)) ;
|
||||
E_LYWR = log(YWR) ;
|
||||
E_LWPTU = 0;
|
||||
E_TW = 0.2;
|
||||
|
||||
M_.params(strcmp('TW0', M_.param_names)) = TW0;
|
||||
E_TRW = TRSN;
|
||||
E_WS = exp(E_LL-E_LYWR);
|
||||
E_TAXYN = (E_INOM-GP0-GY0-GPOP0)*BGTAR+IGSN+GSN+TRSN*E_WS ...
|
||||
-(E_TW+SSC)*E_L/YWR -TP*(1-E_L/YWR) -TVAT*CSN;
|
||||
|
||||
CLCSN = ((1-E_TW-SSC)*E_L/YWR + TRSN*E_WS - E_TAXYN)/(1+TVAT);
|
||||
E_LCLCSN = log(CLCSN);
|
||||
CNLCSN = (CSN-CLCSN*SLC*SLCFLAG)/(1-SLC*SLCFLAG);
|
||||
E_LCNLCSN = log(CNLCSN);
|
||||
UCTERM = ((1-SLCFLAG*SLC)*(CNLCSN*(1-HABE))^(-SIGC)+SLCFLAG*SLC*CLCSN^(-SIGC))/((1-SLCFLAG*SLC)*(CNLCSN*(1-HABE))^(1-SIGC)+SLCFLAG*SLC*CLCSN^(1-SIGC));
|
||||
A = (THETAE-1)/THETAE*(1-E_TW-SSC)/(1+TVAT)*E_WS*UCTERM/L0;
|
||||
OMEGE = A/(KAPPAE*(L0*(1-HABLE))^(KAPPAE-1)+A*(L0*(1-HABLE))^KAPPAE);
|
||||
UCYN = (CNLCSN*(1-HABE))^(-SIGC)*(1-OMEGE*(L0*(1-HABLE))^KAPPAE)^(1-SIGC);
|
||||
E_LUCYN = log(UCYN);
|
||||
UCLCYN = (CLCSN)^(-SIGC)*(1-OMEGE*(L0*(1-HABLE))^KAPPAE)^(1-SIGC);
|
||||
E_LUCLCYN = log(UCLCYN);
|
||||
E_VL = (CNLCSN*(1-HABE))^(1-SIGC)*(1-OMEGE*(L0*(1-HABLE))^KAPPAE)^(-SIGC)*KAPPAE*OMEGE*(L0*(1-HABLE))^(KAPPAE-1);
|
||||
E_VLLC = (CLCSN)^(1-SIGC)*(1-OMEGE*(L0*(1-HABLE))^KAPPAE)^(-SIGC)*KAPPAE*OMEGE*(L0*(1-HABLE))^(KAPPAE-1);
|
||||
|
||||
E_LYGAP = 0 ;
|
||||
E_LYGAP1 = 0 ;
|
||||
E_LCY = E_LCSN-E_LPCP;
|
||||
E_LGY = E_LGSN-E_LPCP;
|
||||
E_LWS = log(E_WS);
|
||||
|
||||
E_CLCSN = exp(E_LCLCSN);
|
||||
E_TRYN = E_TRW*exp(E_LL-E_LYWR) ;
|
||||
E_LTRYN = log(E_TRYN);
|
||||
E_TRTAXYN = E_TRW*exp(E_LL-E_LYWR) - E_TAXYN;
|
||||
E_BGYN = exp(E_LBGYN);
|
||||
E_GSN = exp(E_LGSN);
|
||||
E_WSW = (1-E_TW-SSC)*E_WS;
|
||||
E_MRY = (1+E_INOM)^(-ZETE);
|
||||
E_PHI=GP0;
|
||||
E_PHIC=GP0;
|
||||
E_PHIPI=GPCPI0;
|
||||
E_PHIM=GP0;
|
||||
E_PHIML=GP0+DGPM;
|
||||
E_PHIW=GPW0;
|
||||
E_PHIX=GP0;
|
||||
E_PHIXL=GP0+DGPX;
|
||||
E_Q = 1 ;
|
||||
E_R = E_EX_R;
|
||||
E_TI = 0;
|
||||
E_UCAP =UCAP0;
|
||||
E_UCAP0 =UCAP0;
|
||||
E_WPHI = GP0+GY0;
|
||||
E_WRPHI = GY0;
|
||||
E_ZEPS_C = 0;
|
||||
E_ZEPS_CLC = 0;
|
||||
E_ZEPS_EQ = 0;
|
||||
E_ZEPS_ETA = 0;
|
||||
E_ZEPS_ETAM = 0;
|
||||
E_ZEPS_ETAX = 0;
|
||||
E_ZEPS_EX = 0;
|
||||
E_ZEPS_G = 0;
|
||||
E_ZEPS_I = 0;
|
||||
E_ZEPS_IM = 0;
|
||||
E_ZEPS_L = 0;
|
||||
E_ZEPS_M = 0;
|
||||
E_ZEPS_PC = 0;
|
||||
E_ZEPS_PPI = 0;
|
||||
E_ZEPS_POP = 0;
|
||||
E_ZEPS_PX = 0;
|
||||
E_ZEPS_RPREME = 0;
|
||||
E_ZEPS_RPREMK = 0;
|
||||
E_ZEPS_SLC = 0;
|
||||
E_ZEPS_TFP = 0;
|
||||
E_ZEPS_TR = 0;
|
||||
E_ZEPS_W = 0;
|
||||
E_ZEPS_Y = 0;
|
||||
E_ZEPS_YW = 0;
|
||||
E_DBGYN = 0;
|
||||
E_ZEPS_YGAP = 0;
|
||||
E_ZPHIT = GP0;
|
||||
|
||||
% modelbase variables
|
||||
interest = ((E_INOM+1)^4-interestq_exog^4)/interestq_exog^4;
|
||||
inflationq = (4*E_PHIC+1-inflationannual_exog)/inflationannual_exog;
|
||||
inflation = (1/4)*(inflationq+inflationq+inflationq+inflationq);
|
||||
outputgap = E_LYGAP;
|
||||
|
||||
ys=zeros(M_.orig_endo_nbr,1);
|
||||
for k=1:M_.orig_endo_nbr
|
||||
ys(k,1)=eval(M_.endo_names{k});
|
||||
end
|
||||
|
||||
A1E = (1-TAUE)*(1-ALPHAE)*exp(E_LYKPPI)/UCAP0;
|
||||
M_.params(strcmp('A1E', M_.param_names)) = A1E;
|
||||
|
||||
M_.params(strcmp('OMEGE', M_.param_names)) = OMEGE;
|
||||
|
||||
params = M_.params;
|
||||
Loading…
Reference in New Issue