Added mod files in the test suite (for dsge-var models).

tests/Makefile.am

@@ -47,8 +47,11 @@ OCTAVE_MODS = \
 	AIM/fs2000x10L9_L_AIM.mod \
 	AIM/fs2000x10_L9_L.mod \
 	AIM/fs2000x10_L9_L_AIM.mod \
-	conditional_variance_decomposition/example1.mod
-
+	conditional_variance_decomposition/example1.mod \
+	dsge-var/simul_hybrid.mod \
+	dsge-var/dsgevar_forward_calibrated_lambda.mod \
+	dsge-var/dsgevar_forward_estimated_lambda.mod
+ 
 MODS = $(OCTAVE_MODS) \
 	arima/mod1b.mod \
 	arima/mod1c.mod \
@@ -129,3 +132,5 @@ clean-local:
 	rm -f fs2000_ssfile_steadystate.m
 
 	rm -f $(shell find -name '*~')
+
+	rm -f dsge-var/datarabanal_hybrid.mat
\ No newline at end of file

tests/dsge-var/dsgevar_forward_calibrated_lambda.mod

+//$ Declaration of the endogenous variables of the DSGE model.
+var a g mc mrs n winf pie r rw y;
+
+//$ Declaration of the exogenous variables of the DSGE model. 
+varexo e_a e_g e_lam e_ms;
+
+//$ Declaration of the deep parameters
+parameters invsig delta gam rho gampie gamy rhoa rhog bet 
+	   thetabig omega eps ;
+
+eps=6;
+thetabig=2;
+bet=0.99;
+invsig=2.5;
+gampie=1.5;
+gamy=0.125;
+gam=1;
+delta=0.36;
+omega=0.54;
+rhoa=0.5;
+rhog=0.5;
+rho=0.5;
+
+
+//$ Specification of the DSGE model used as a prior of the VAR model. 
+model(linear);
+
+	y=y(+1)-(1/invsig)*(r-pie(+1)+g(+1)-g);
+	y=a+(1-delta)*n;
+	mc=rw+n-y;
+	mrs=invsig*y+gam*n-g;
+	r=rho*r(-1)+(1-rho)*(gampie*pie+gamy*y)+e_ms;
+	rw=rw(-1)+winf-pie;
+	a=rhoa*a(-1)+e_a;
+	g=rhog*g(-1)+e_g;
+	rw=mrs;
+
+	//$ HYBRID PHILLIPS CURVED USED FOR THE SUMULATIONS:
+	//   pie = (omega/(1+omega*bet))*pie(-1)+(bet/(1+omega*bet))*pie(1)+(1-delta)*
+      	//   (1-(1-1/thetabig)*bet)*(1-(1-1/thetabig))/((1-1/thetabig)*(1+delta*(eps-1)))/(1+omega*bet)*(mc+e_lam);
+
+	//$ FORWARD LOOKING PHILLIPS CURVE:
+	    pie=bet*pie(+1)+(1-delta)*(1-(1-1/thetabig)*bet)*(1-(1-1/thetabig))/((1-1/thetabig)*(1+delta*(eps-1)))*(mc+e_lam);
+end;
+
+
+
+//$ Declaration of the prior beliefs about the deep parameters.  
+estimated_params;
+    stderr e_a, uniform_pdf,,,0,2;
+    stderr e_g, uniform_pdf,,,0,2;
+    stderr e_ms, uniform_pdf,,,0,2;
+    stderr e_lam, uniform_pdf,,,0,2;
+
+    invsig, gamma_pdf, 2.5, 1.76;
+    gam, normal_pdf, 1, 0.5;
+    rho, uniform_pdf,,,0,1;
+    gampie, normal_pdf, 1.5, 0.25;
+    gamy, gamma_pdf, 0.125, 0.075;
+    rhoa, uniform_pdf,,,0,1;
+    rhog, uniform_pdf,,,0,1;
+    thetabig, gamma_pdf, 3, 1.42, 1, ;
+
+    //$Parameter for the hybrid Phillips curve
+    //omega, uniform_pdf,,,0,1;
+
+end;
+
+
+//$ Declaration of the observed endogenous variables. Note that they are the variables of the VAR (4 by default) and that we must 
+//$ have as many observed variables as exogenous variables. 
+varobs pie r rw y;
+
+options_.gradient_method = 3;
+
+//$ The option bayesian_irf triggers the computation of the DSGE-VAR and DSGE posterior distribution of the IRFs.
+//$ The Dashed lines are the first, fifth (ie the median) and ninth posterior deciles of the DSGE-VAR's IRFs, the bold dark curve is the 
+//$ posterior median of the DSGE's IRfs and the shaded surface covers the space between the first and ninth posterior deciles of the DSGE's IRFs.  
+estimation(datafile=datarabanal_hybrid,first_obs=50,mh_nblocks = 1,nobs=90,dsge_var=.8,mode_compute=4,mh_replic=4000,bayesian_irf);

tests/dsge-var/dsgevar_forward_estimated_lambda.mod

+//$ Declaration of the endogenous variables of the DSGE model.
+var a g mc mrs n winf pie r rw y;
+
+//$ Declaration of the exogenous variables of the DSGE model. 
+varexo e_a e_g e_lam e_ms;
+
+//$ Declaration of the deep parameters and of dsge_prior_weight
+parameters invsig delta gam rho gampie gamy rhoa rhog bet 
+	   thetabig omega eps ;
+
+eps=6;
+thetabig=2;
+bet=0.99;
+invsig=2.5;
+gampie=1.5;
+gamy=0.125;
+gam=1;
+delta=0.36;
+omega=0.54;
+rhoa=0.5;
+rhog=0.5;
+rho=0.5;
+
+
+//$ Specification of the DSGE model used as a prior of the VAR model. 
+model(linear);
+
+	y=y(+1)-(1/invsig)*(r-pie(+1)+g(+1)-g);
+	y=a+(1-delta)*n;
+	mc=rw+n-y;
+	mrs=invsig*y+gam*n-g;
+	r=rho*r(-1)+(1-rho)*(gampie*pie+gamy*y)+e_ms;
+	rw=rw(-1)+winf-pie;
+	a=rhoa*a(-1)+e_a;
+	g=rhog*g(-1)+e_g;
+	rw=mrs;
+
+	//$ HYBRID PHILLIPS CURVED USED FOR THE SUMULATIONS:
+	//   pie = (omega/(1+omega*bet))*pie(-1)+(bet/(1+omega*bet))*pie(1)+(1-delta)*
+      	//   (1-(1-1/thetabig)*bet)*(1-(1-1/thetabig))/((1-1/thetabig)*(1+delta*(eps-1)))/(1+omega*bet)*(mc+e_lam);
+
+	//$ FORWARD LOOKING PHILLIPS CURVE:
+	    pie=bet*pie(+1)+(1-delta)*(1-(1-1/thetabig)*bet)*(1-(1-1/thetabig))/((1-1/thetabig)*(1+delta*(eps-1)))*(mc+e_lam);
+end;
+
+
+
+//$ Declaration of the prior beliefs about the deep parameters and the weight of the DSGE prior.  
+estimated_params;
+    stderr e_a, uniform_pdf,,,0,2;
+    stderr e_g, uniform_pdf,,,0,2;
+    stderr e_ms, uniform_pdf,,,0,2;
+    stderr e_lam, uniform_pdf,,,0,2;
+
+    invsig, gamma_pdf, 2.5, 1.76;
+    gam, normal_pdf, 1, 0.5;
+    rho, uniform_pdf,,,0,1;
+    gampie, normal_pdf, 1.5, 0.25;
+    gamy, gamma_pdf, 0.125, 0.075;
+    rhoa, uniform_pdf,,,0,1;
+    rhog, uniform_pdf,,,0,1;
+    thetabig, gamma_pdf, 3, 1.42, 1, ;
+
+    //$Parameter for the hybrid Phillips curve
+    //omega, uniform_pdf,,,0,1;
+
+    dsge_prior_weight, uniform_pdf,,,0,1.9;
+end;
+
+
+//$ Declaration of the observed endogenous variables. Note that they are the variables of the VAR (4 by default) and that we must 
+//$ have as many observed variables as exogenous variables. 
+varobs pie r rw y;
+
+options_.gradient_method = 3;
+
+//$ The option bayesian_irf triggers the computation of the DSGE-VAR and DSGE posterior distribution of the IRFs.
+//$ The Dashed lines are the first, fifth (ie the median) and ninth posterior deciles of the DSGE-VAR's IRFs, the bold dark curve is the 
+//$ posterior median of the DSGE's IRfs and the shaded surface covers the space between the first and ninth posterior deciles of the DSGE's IRFs.  
+estimation(datafile=datarabanal_hybrid,first_obs=50,mh_nblocks = 1,nobs=90,dsge_var,mode_compute=4,mh_replic=4000,bayesian_irf);

tests/dsge-var/simul_hybrid.mod

+var a g mc mrs n pie r rw winf y;
+varexo e_a e_g e_lam e_ms;
+
+parameters invsig delta gam rho gampie gamy rhoa rhog bet 
+    	   thetabig omega eps;
+
+eps=6;
+thetabig=2;
+bet=0.99;
+invsig=2.5;
+gampie=1.5;
+gamy=0.125;
+gam=1;
+delta=0.36;
+omega=0.54;
+rhoa=0.5;
+rhog=0.5;
+rho=0.5;
+
+
+model(linear);
+	y=y(+1)-(1/invsig)*(r-pie(+1)+g(+1)-g);
+	y=a+(1-delta)*n;
+	mc=rw+n-y;
+	mrs=invsig*y+gam*n-g;
+	r=rho*r(-1)+(1-rho)*(gampie*pie+gamy*y)+e_ms;
+	rw=rw(-1)+winf-pie;
+	a=rhoa*a(-1)+e_a;
+	g=rhog*g(-1)+e_g;
+	rw=mrs;
+
+	// HYBRID PHILLIPS CURVED USED FOR THE SUMULATIONS:
+	pie = (omega/(1+omega*bet))*pie(-1)+(bet/(1+omega*bet))*pie(1)+(1-delta)*
+      	(1-(1-1/thetabig)*bet)*(1-(1-1/thetabig))/((1-1/thetabig)*(1+delta*(eps-1)))/(1+omega*bet)*(mc+e_lam);
+
+	// FORWARD LOOKING PHILLIPS CURVE:
+	// pie=bet*pie(+1)+(1-delta)*(1-(1-1/thetabig)*bet)*(1-(1-1/thetabig))/((1-1/thetabig)*(1+delta*(eps-1)))*(mc+e_lam);
+end;
+
+shocks;
+var e_a; stderr 1;
+var e_g; stderr 1;
+var e_ms; stderr 1;
+var e_lam; stderr 1;
+end;
+
+steady;
+check;
+
+stoch_simul(periods=500,irf=0,simul_seed=3);
+datatomfile('datarabanal_hybrid',[]);
\ No newline at end of file