Commit 771113f8 authored by Sébastien Villemot's avatar Sébastien Villemot
Browse files

Merge pull request #548 from JohannesPfeifer/master

Clean up steady state file examples/NK_baseline_steadystate.m to make it...
parents 75ac81c8 c837bce0
......@@ -10518,8 +10518,12 @@ Two examples of a small RBC model in a stochastic setup, presented in
@cite{Collard (2001)} (see the file @file{guide.pdf} which comes with
Dynare).
@item example3.mod
A small RBC model in a stochastic setup, presented in
@cite{Collard (2001)}. The steady state is solved analytically using the @code{steady_state_model} block (@pxref{steady_state_model}).
@item fs2000.mod
A cash in advance model, estimated by @cite{Schorfheide (2000)}.
A cash in advance model, estimated by @cite{Schorfheide (2000)}. The file shows how to use Dynare for estimation.
@item fs2000_nonstationary.mod
The same model than @file{fs2000.mod}, but written in non-stationary
......@@ -10527,12 +10531,15 @@ form. Detrending of the equations is done by Dynare.
@item bkk.mod
Multi-country RBC model with time to build, presented in @cite{Backus,
Kehoe and Kydland (1992)}.
Kehoe and Kydland (1992)}. The file shows how to use Dynare's macro-processor.
@item agtrend.mod
Small open economy RBC model with shocks to the growth trend, presented
in @cite{Aguiar and Gopinath (2004)}.
@item NK_baseline.mod
Baseline New Keynesian Model estimated in @cite{Fernández-Villaverde (2010)}. It demonstrates how to use an explicit steady state file to update parameters and call a numerical solver.
@end table
@node Dynare misc commands
......@@ -10699,6 +10706,10 @@ Fernández-Villaverde, Jesús and Juan Rubio-Ramírez (2005): ``Estimating
Dynamic Equilibrium Economies: Linear versus Nonlinear Likelihood,''
@i{Journal of Applied Econometrics}, 20, 891--910
@item
Fernández-Villaverde, Jesús (2010): ``The econometrics of DSGE models,''
@i{SERIEs}, 1, 3--49
@item
Geweke, John (1992): ``Evaluating the accuracy of sampling-based approaches
to the calculation of posterior moments'', in J.O. Berger, J.M. Bernardo,
......
......@@ -15,7 +15,14 @@
* equations. Moreover, it makes use of a steady state file to i) set
* parameters that depend on other parameters that are potentially estimated
* and ii) solve a nonlinear equation using a numerical solver to find the steady
* state of labor.
* state of labor. It provides an example on how the steady state file can be used
* to circumvent some of the limitation of Dynare mod-file by accessing an external
* file that allows calling general Matlab routines. These capacities will mostly be
* interesting for power users. If one just wants to provide analytical steady state
* values and update parameters, the steady_state_model-block allows an easy and convenient
* alternative. It even allows calling numerical solvers like fsolve. For an example, see
* example3.mod
*
* The model is written in the beginning of period stock notation. To make the model
* conform with Dynare's end of period stock notation, we use the
* predetermined_variables-command.
......
function [ys,check] = NK_baseline_steadystate(ys,exe)
global M_ lgy_
if isfield(M_,'param_nbr') == 1
function [ys,check] = NK_baseline_steadystate(ys,exo)
% function [ys,check] = NK_baseline_steadystate(ys,exo)
% computes the steady state for the NK_baseline.mod and uses a numerical
% solver to do so
% Inputs:
% - ys [vector] vector of initial values for the steady state of
% the endogenous variables
% - exo [vector] vector of values for the exogenous variables
%
% Output:
% - ys [vector] vector of steady state values fpr the the endogenous variables
% - check [scalar] set to 0 if steady state computation worked and to
% 1 of not (allows to impos restriction on parameters)
global M_
% read out parameters to access them with their name
NumberOfParameters = M_.param_nbr;
for i = 1:NumberOfParameters
paramname = deblank(M_.param_names(i,:));
eval([ paramname ' = M_.params(' int2str(i) ');']);
for ii = 1:NumberOfParameters
paramname = deblank(M_.param_names(ii,:));
eval([ paramname ' = M_.params(' int2str(ii) ');']);
end
% initialize indicator
check = 0;
end
%% Enter model equations here
......@@ -32,6 +45,11 @@ Lambdax=mu_z;
%set the parameter gammma1
gammma1=mu_z*mu_I/betta-(1-delta);
if gammma1<0 % parameter violates restriction; Preventing this cannot be implemented via prior restriction as it is a composite of different parameters and the valid prior region has unknown form
check=1; %set failure indicator
return; %return without updating steady states
end
r=1*gammma1;
R=1+(PI*mu_z/betta-1);
......@@ -49,9 +67,17 @@ vp=(1-thetap)/(1-thetap*PI^((1-chi)*epsilon))*PIstar^(-epsilon);
vw=(1-thetaw)/(1-thetaw*PI^((1-chiw)*eta)*mu_z^eta)*PIstarw^(-eta);
tempvaromega=alppha/(1-alppha)*w/r*mu_z*mu_I;
ld=fsolve(@(ld)(1-betta*thetaw*mu_z^(eta-1)*PI^(-(1-chiw)*(1-eta)))/(1-betta*thetaw*mu_z^(eta*(1+gammma))*PI^(eta*(1-chiw)*(1+gammma)))...
[ld,fval,exitflag]=fsolve(@(ld)(1-betta*thetaw*mu_z^(eta-1)*PI^(-(1-chiw)*(1-eta)))/(1-betta*thetaw*mu_z^(eta*(1+gammma))*PI^(eta*(1-chiw)*(1+gammma)))...
-(eta-1)/eta*wstar/(varpsi*PIstarw^(-eta*gammma)*ld^gammma)*((1-h*mu_z^(-1))^(-1)-betta*h*(mu_z-h)^(-1))*...
((mu_A*mu_z^(-1)*vp^(-1)*tempvaromega^alppha-tempvaromega*(1-(1-delta)*(mu_z*mu_I)^(-1)))*ld-vp^(-1)*Phi)^(-1),0.25,options);
if exitflag <1
%indicate the SS computation was not sucessful; this would also be detected by Dynare
%setting the indicator here shows how to use this functionality to
%filter out parameter draws
check=1; %set failure indicator
return; %return without updating steady states
end
l=vw*ld;
k=tempvaromega*ld;
......@@ -68,27 +94,12 @@ g2=epsilon/(epsilon-1)*g1;
%% end own model equations
for iter = 1:length(M_.params)
for iter = 1:length(M_.params) %update parameters set in the file
eval([ 'M_.params(' num2str(iter) ') = ' M_.param_names(iter,:) ';' ])
end
if isfield(M_,'param_nbr') == 1
if isfield(M_,'orig_endo_nbr') == 1
NumberOfEndogenousVariables = M_.orig_endo_nbr;
else
NumberOfEndogenousVariables = M_.endo_nbr;
end
ys = zeros(NumberOfEndogenousVariables,1);
for i = 1:NumberOfEndogenousVariables
varname = deblank(M_.endo_names(i,:));
eval(['ys(' int2str(i) ') = ' varname ';']);
end
else
ys=zeros(length(lgy_),1);
for i = 1:length(lgy_)
ys(i) = eval(lgy_(i,:));
end
check = 0;
NumberOfEndogenousVariables = M_.orig_endo_nbr; %auxiliary variables are set automatically
for ii = 1:NumberOfEndogenousVariables
varname = deblank(M_.endo_names(ii,:));
eval(['ys(' int2str(ii) ') = ' varname ';']);
end
/*
* Example 1 from F. Collard (2001): "Stochastic simulations with DYNARE:
* A practical guide" (see "guide.pdf" in the documentation directory).
*
* This file uses the steady_state_model-block to provide analytical steady state values.
* To do so, the equations of the model have been transformed into a non-linear equation in
* labor h. Within the steady_state_model-block, a helper function is called that uses fsolve
* to solve this non-linear equation. The use of the helper function is necessary to avoid
* interference of the Matlab syntax with Dynare's preprocessor. A more complicated alternative
* that provides more flexibility in the type of commands executed and functions called is the use
* of an explicit steady state file. See the NK_baseline.mod in the Examples Folder.
*
* This mod-file also shows how to use Dynare's capacities to generate TeX-files of the model equations.
* If you want to see the model equations belonging to this mod-file, run it using Dynare
* and then use a TeX-editor to compile the TeX-files generated.
*/
/*
* Copyright (C) 2013 Dynare Team
*
* This file is part of Dynare.
*
* Dynare is free software: you can redistribute it and/or modify
* it under the terms of the GNU General Public License as published by
* the Free Software Foundation, either version 3 of the License, or
* (at your option) any later version.
*
* Dynare is distributed in the hope that it will be useful,
* but WITHOUT ANY WARRANTY; without even the implied warranty of
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
* GNU General Public License for more details.
*
* You should have received a copy of the GNU General Public License
* along with Dynare. If not, see <http://www.gnu.org/licenses/>.
*/
var y, c, k, a, h, b;
varexo e, u;
parameters beta $\beta$
rho $\rho$
alpha $\alpha$
delta $\delta$
theta $\theta$
psi $\psi$
tau $\tau$;
alpha = 0.36;
rho = 0.95;
tau = 0.025;
beta = 0.99;
delta = 0.025;
psi = 0;
theta = 2.95;
phi = 0.1;
model;
c*theta*h^(1+psi)=(1-alpha)*y;
k = beta*(((exp(b)*c)/(exp(b(+1))*c(+1)))
*(exp(b(+1))*alpha*y(+1)+(1-delta)*k));
y = exp(a)*(k(-1)^alpha)*(h^(1-alpha));
k = exp(b)*(y-c)+(1-delta)*k(-1);
a = rho*a(-1)+tau*b(-1) + e;
b = tau*a(-1)+rho*b(-1) + u;
end;
steady_state_model;
h=example3_steady_state_helper(alpha,beta,delta,psi,theta);
k=((1/beta-(1-delta))/alpha)^(1/(alpha-1))*h;
y = k^alpha*h^(1-alpha);
c=(1-alpha)*y/(theta*h^(1+psi));
a=0;
b=0;
end;
shocks;
var e; stderr 0.009;
var u; stderr 0.009;
var e, u = phi*0.009*0.009;
end;
//use command to generate TeX-Files with dynamic and static model equations
write_latex_dynamic_model;
write_latex_static_model;
stoch_simul;
function h=example3_steady_state_helper(alpha,beta,delta,psi,theta)
options=optimset('Display','Final','TolX',1e-10,'TolFun',1e-10);
h=fsolve(@(h)1- ((((((1/beta-(1-delta))/alpha)^(1/(alpha-1))*h)^(alpha-1))*(h^(1-alpha))-(((1-alpha)*((((1/beta-(1-delta))/alpha)^(1/(alpha-1)))^alpha))/(theta*h^psi))/(((1/beta-(1-delta))/alpha)^(1/(alpha-1))*h))+(1-delta)),0.2,options);
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