Commit 0d5dff2b authored by Stéphane Adjemian's avatar Stéphane Adjemian
Browse files

Added walsh.mod in the testsuite to compare the solutions obtained with the...

Added walsh.mod in the testsuite to compare the solutions obtained with the cyclic reduction algorithm and the generalized schur algorithm.
parent 4d51f38b
......@@ -139,7 +139,8 @@ MODFILES = \
deterministic_simulations/rbc_det3.mod \
deterministic_simulations/rbc_det4.mod \
deterministic_simulations/rbc_det5.mod \
fs2000/fs2000_sd.mod
fs2000/fs2000_sd.mod \
walsh.mod
EXTRA_DIST = \
$(MODFILES) \
......
@#define Blocks = ["1", "2", "3", "4", "5", "6", "7", "8", "9", "10", "11", "12", "13", "14", "15","16", "17", "18", "19", "20", "21", "22", "23", "24", "25","26", "27", "28", "29", "30", "31", "32", "33", "34", "35","36", "37", "38", "39", "40", "41", "42", "43", "44", "45","46", "47", "48", "49", "50", "51", "52", "53", "54", "55","56", "57", "58", "59", "60", "61", "62", "63", "64", "65","66", "67", "68", "69", "70", "71", "72", "73", "74", "75","76", "77", "78", "79", "80", "81", "82", "83", "84", "85","86", "87", "88", "89", "90", "91", "92", "93", "94", "95","96", "97", "98", "99", "100", "101", "102", "103", "104", "105", "106", "107", "108", "109", "110", "111", "112", "113", "114", "115","116", "117", "118", "119", "120", "121", "122", "123", "124", "125","126", "127", "128", "129", "130", "131", "132", "133", "134", "135","136", "137", "138", "139", "140", "141", "142", "143", "144", "145","146", "147", "148", "149", "150", "151", "152", "153", "154", "155","156", "157", "158", "159", "160", "161", "162", "163", "164", "165","166", "167", "168", "169", "170", "171", "172", "173", "174", "175","176", "177", "178", "179", "180", "181", "182", "183", "184", "185","186", "187", "188", "189", "190", "191", "192", "193", "194", "195","196", "197", "198", "199", "200"]
@#define blocks = Blocks[1:20]
@#for block in blocks
var y_@{block} c_@{block} k_@{block} m_@{block} n_@{block} R_@{block} pi_@{block} z_@{block} u_@{block};
@#endfor
@#for block in blocks
varexo e_@{block} sigma_@{block};
@#endfor
// sigma stands for phi in the eq 2.37 p.69
parameters alpha beta delta gamm phi1 eta a b rho phi2 Psi thetass;
//phi1 stands for capital phi in eq.2.68 and 2.69
//phi2 stands for lowercase phi in eq. 2.66
alpha = 0.36;
beta = 0.989;
gamm = 0.5;
delta = 0.019;
phi1 = 2;
phi2 = 0;
eta = 1;
a = 0.95;
b = 2.56;
rho = 0.95;
Psi = 1.47630583;
thetass = 1.0125;
model(use_dll);
@#for block in blocks
(a*exp(c_@{block})^(1-b)+(1-a)*exp(m_@{block})^(1-b))^((b-phi1)/(1-b))*a*exp(c_@{block})^(-b) = (a*exp(c_@{block})^(1-b)+(1-a)*exp(m_@{block})^(1-b))^((b-phi1)/(1-b))*(1-a)*exp(m_@{block})^(-b)+beta*(a*exp(c_@{block}(+1))^(1-b)+(1-a)*exp(m_@{block}(+1))^(1-b))^((b-phi1)/(1-b))*a*exp(c_@{block}(+1))^(-b)/(1+pi_@{block}(+1));
Psi*(1-exp(n_@{block}))^(-eta)/(a*exp(c_@{block})^(-b)*(a*exp(c_@{block})^(1-b) + (1-a)*exp(m_@{block})^(1-b))^((b-phi1)/(1-b))) = (1-alpha)*exp(y_@{block})/exp(n_@{block});
(a*exp(c_@{block})^(1-b)+(1-a)*exp(m_@{block})^(1-b))^((b-phi1)/(1-b))*a*exp(c_@{block})^(-b) = beta*exp(R_@{block}(+1))*(a*exp(c_@{block}(+1))^(1-b)+(1-a)*exp(m_@{block}(+1))^(1-b))^((b-phi1)/(1-b))*a*exp(c_@{block}(+1))^(-b);
exp(R_@{block}) = alpha*exp(y_@{block})/exp(k_@{block}(-1)) + 1-delta;
exp(k_@{block}) = (1-delta)*exp(k_@{block}(-1))+exp(y_@{block})-exp(c_@{block});
exp(y_@{block}) = exp(z_@{block})*exp(k_@{block}(-1))^alpha*exp(n_@{block})^(1-alpha);
exp(m_@{block}) = exp(m_@{block}(-1))*(u_@{block}+thetass)/(1+pi_@{block});
z_@{block} = rho*z_@{block}(-1) + e_@{block};
u_@{block} = gamm*u_@{block}(-1) + phi2*z_@{block}(-1) + sigma_@{block};
@#endfor
end;
shocks;
@#for block in blocks
var e_@{block}; stderr 0.007;
var sigma_@{block};stderr 0.0089;
@#endfor
end;
steady_state_model;
// solving in levels
// calibrating n = 1/3 and recovering the value of Psi
// adapting solution Walsh (2003) p. 84
en = 1/3;
eR = 1/beta;
y_k = (1/alpha)*(1/beta-1+delta);
ek = en*y_k^(-1/(1-alpha));
ec = ek*(y_k-delta);
em = ec*(a/(1-a))^(-1/b)*((thetass-beta)/thetass)^(-1/b);
ey = ek*y_k;
Xss = a*ec^(1-b)*(1+(a/(1-a))^(-1/b)*((thetass-beta)/thetass)^((b-1)/b));
Psi = (1-alpha)*(ey/en)*Xss^((b-phi1)/(1-b))*a*ec^(-b)*(1-en)^eta;
@#for block in blocks
pi_@{block} = thetass-1;
n_@{block} = log(en);
k_@{block} = log(ek);
m_@{block} = log(em);
c_@{block} = log(ec);
y_@{block} = log(ey);
R_@{block} = log(eR);
@#endfor
end;
steady;
loop_size = 100;
tic;
for i=1:loop_size
stoch_simul(order=1,irf=0,noprint,nomoments,dr=default);
dr = oo_.dr;
end;
e1 = toc;
tic;
for i=1:loop_size
stoch_simul(order=1,irf=0,noprint,nomoments,dr=cycle_reduction);
DR = oo_.dr;
end;
e2 = toc;
tic;
for i=1:loop_size
stoch_simul(order=1,irf=0,noprint,nomoments,dr=cycle_reduction,dr_cycle_reduction_tol=1e-6);
DR_ = oo_.dr;
end;
e3 = toc;
tic;
for i=1:loop_size
stoch_simul(order=1,irf=0,noprint,nomoments,dr=cycle_reduction,dr_cycle_reduction_tol=1e-5);
DR__ = oo_.dr;
end;
e4 = toc;
tic;
for i=1:loop_size
stoch_simul(order=1,irf=0,noprint,nomoments,dr=cycle_reduction,dr_cycle_reduction_tol=1e-4);
DR___ = oo_.dr;
end;
e5 = toc;
tic;
for i=1:loop_size
stoch_simul(order=1,irf=0,noprint,nomoments,dr=cycle_reduction,dr_cycle_reduction_tol=1e-3);
DR____ = oo_.dr;
end;
e6 = toc;
tic;
for i=1:loop_size
stoch_simul(order=1,irf=0,noprint,nomoments,dr=cycle_reduction,dr_cycle_reduction_tol=1e-2);
DR_____ = oo_.dr;
end;
e7 = toc;
tic;
for i=1:loop_size
stoch_simul(order=1,irf=0,noprint,nomoments,dr=cycle_reduction,dr_cycle_reduction_tol=200);
DR______ = oo_.dr;
end;
e8 = toc;
disp(['Elapsed time (QZ algorithm): ' num2str(e1)])
disp(['Elapsed time (Cycle reduction algorithm, tol = 1e-7): ' num2str(e2)])
disp(['Elapsed time (Cycle reduction algorithm, tol = 1e-6): ' num2str(e3)])
disp(['Elapsed time (Cycle reduction algorithm, tol = 1e-5): ' num2str(e4)])
disp(['Elapsed time (Cycle reduction algorithm, tol = 1e-4): ' num2str(e5)])
disp(['Elapsed time (Cycle reduction algorithm, tol = 1e-3): ' num2str(e6)])
disp(['Elapsed time (Cycle reduction algorithm, tol = 1e-2): ' num2str(e7)])
disp(['Elapsed time (Cycle reduction algorithm, tol = 1e-1): ' num2str(e8)])
if e1<e2
disp(['cycle reduction algorithm is slower than QZ algorithm in solving the model (' int2str(M_.endo_nbr) ' equations)!'])
end
dx = max(max(dr.ghx-DR.ghx));
du = max(max(dr.ghu-DR.ghu));
dx_ = max(max(dr.ghx-DR_.ghx));
du_ = max(max(dr.ghu-DR_.ghu));
dx__ = max(max(dr.ghx-DR__.ghx));
du__ = max(max(dr.ghu-DR__.ghu));
dx___ = max(max(dr.ghx-DR___.ghx));
du___ = max(max(dr.ghu-DR___.ghu));
dx____ = max(max(dr.ghx-DR____.ghx));
du____ = max(max(dr.ghu-DR____.ghu));
dx_____ = max(max(dr.ghx-DR_____.ghx));
du_____ = max(max(dr.ghu-DR_____.ghu));
dx______ = max(max(dr.ghx-DR______.ghx));
du______ = max(max(dr.ghu-DR______.ghu));
if dx>1e-8
error('QZ and Cycle reduction algorithms don''t return the same results (tolerance parameter is 1e-7)!')
end
if du>1e-8
error('QZ and Cycle reduction algorithms don''t return the same results (tolerance parameter is 1e-7)!')
end
if dx_>1e-8 || du_>1e-8
disp('QZ and Cycle reduction algorithms don''t return the same results (tolerance parameter is 1e-6)!')
else
[dx, dx_]
[du, du_]
end
if dx__>1e-8 || du__>1e-8
disp('QZ and Cycle reduction algorithms don''t return the same results (tolerance parameter is 1e-5)!')
else
[dx, dx_, dx__]
[du, du_, du__]
end
if dx___>1e-8 || du___>1e-8
disp('QZ and Cycle reduction algorithms don''t return the same results (tolerance parameter is 1e-4)!')
else
[dx, dx_, dx__, dx___]
[du, du_, du__, du___]
end
if dx____>1e-8 || du____>1e-8
disp('QZ and Cycle reduction algorithms don''t return the same results (tolerance parameter is 1e-3)!')
else
[dx, dx_, dx__, dx___,dx____]
[du, du_, du__, du___,du____]
end
if dx_____>1e-8 || du_____>1e-8
disp('QZ and Cycle reduction algorithms don''t return the same results (tolerance parameter is 1e-2)!')
else
[dx, dx_, dx__, dx___,dx____,dx_____]
[du, du_, du__, du___,du____,du_____]
end
if dx_____>1e-8 || du_____>1e-8
disp('QZ and Cycle reduction algorithms don''t return the same results (tolerance parameter is 1e-1)!')
else
[dx, dx_, dx__, dx___,dx____,dx_____,dx______]
[du, du_, du__, du___,du____,du_____,du______]
end
\ No newline at end of file
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