Test files for identification

tests/identification/as2007/as2007.mod

+var pie y R g z YGR INFL INT;
+varexo e_R e_g e_z;
+parameters tau kap psi1 psi2 rhoR rhog rhoz rr_steady pi_steady gam_steady std_R std_g std_z;
+
+tau        = 2;
+kap        = 0.15;
+
+psi1       = 1.5;
+psi2       = 1;
+
+rhoR       = 0.96;
+rhog       = 0.95;
+rhoz       = 0.65;
+
+rr_steady  = 0.4;
+pi_steady  = 4.0;
+gam_steady = 0.5;
+std_R = 0.2;
+std_g = 0.8;
+std_z = 0.45;
+
+model;
+y = y(+1) + g - g(+1) - 1/tau*(R-pie(+1)-z(+1));
+pie = 1/(1+rr_steady/400)*pie(+1)+kap*(y-g);
+R = rhoR*R(-1)+(1-rhoR)*psi1*pie+(1-rhoR)*psi2*(y-y(-1)+z)+e_R*std_R;
+g = rhog*g(-1)+e_g*std_g;
+z = rhoz*z(-1)+e_z*std_z;
+YGR = gam_steady+100*(y-y(-1)+z);
+INFL = pi_steady+400*pie;
+INT = pi_steady+rr_steady+4*gam_steady+400*R;
+end;
+
+estimated_params;
+tau, gamma_pdf, 2, 0.5; 
+kap, beta_pdf, 0.2, 0.1;
+psi1, gamma_pdf, 1.5, 0.25;
+psi2, gamma_pdf, 0.5, 0.25;
+rhoR, beta_pdf, 0.5, 0.2;
+rhog, beta_pdf, 0.8, 0.1;
+rhoz, beta_pdf, 0.66, 0.15;
+rr_steady, gamma_pdf, 0.8, 0.5;
+pi_steady, gamma_pdf, 0.8, 0.5;
+gam_steady, gamma_pdf, 0.8, 0.5;
+std_R, inv_gamma_pdf, 0.05, inf;
+std_g, inv_gamma_pdf, 0.05, inf;
+std_z, inv_gamma_pdf, 0.05, inf;
+end;
+
+steady;
+check;
+
+varobs YGR INFL INT;
+
+shocks;
+var e_g;
+stderr 1;
+var e_R;
+stderr 1;
+var e_z;
+stderr 1;
+end;
+
+identification;

tests/identification/as2007/as2007_steadystate.m

+function [ys,check1]=as2007_steadystate(junk, ys)
+
+global M_ options_
+
+for j=1:size(M_.param_names,1)
+  eval([deblank(M_.param_names(j,:)),' = M_.params(j);'])
+  assignin('base',deblank(M_.param_names(j,:)),M_.params(j));
+end
+for j=1:size(M_.endo_names,1)
+  eval([deblank(M_.endo_names(j,:)),' = NaN;'])
+end
+
+check1=0;
+
+pie=0;
+y=0;
+R=0;
+g=0;
+z=0;
+YGR=gam_steady;
+INFL = pi_steady;
+INT = pi_steady+rr_steady+4*gam_steady;
+
+ys=[
+pie 
+y 
+R 
+g 
+z 
+YGR 
+INFL
+INT];
\ No newline at end of file

tests/identification/kim/kim2.dyn

+var c k i a lam;
+varexo ea;
+
+parameters
+alph
+betae
+delta
+as
+s
+theta
+phi
+;
+
+
+alph=0.6;
+betae=0.99;
+delta=0.0125;
+as=0.1;
+phi=2;
+s=betae*delta*alph/(1-betae+delta*betae);
+theta=1;
+
+model;
+//(1-(betae*delta*alph/(1-betae+delta*betae)))^theta/c^(1+theta)/(1+theta)*(1+theta)*(i/(betae*delta*alph/(1-betae+delta*betae)))^theta*(i/k/delta)^phi=betae*(1-(betae*delta*alph/(1-betae+delta*betae)))^theta/c(+1)^(1+theta)/(1+theta)*(alph*(1+theta)*a(+1)^(1+theta)*k^(alph*(1+theta)-1)+(1-delta)*(i(+1)/k/delta)^phi*(1+theta)*(i(+1)/(betae*delta*alph/(1-betae+delta*betae)))^theta);
+lam*(1+theta)*(i/(betae*delta*alph/(1-betae+delta*betae)))^theta*(i/k/delta)^phi=betae*lam(+1)*(alph*(1+theta)*a(+1)^(1+theta)*k^(alph*(1+theta)-1)+(1-delta)*(i(+1)/k/delta)^phi*(1+theta)*(i(+1)/(betae*delta*alph/(1-betae+delta*betae)))^theta);
+k=(delta*(i/delta)^(1-phi)+(1-delta)*k(-1)^(1-phi))^(1/(1-phi));
+((1-(betae*delta*alph/(1-betae+delta*betae)))*(c/(1-(betae*delta*alph/(1-betae+delta*betae))))^(1+theta) + 
+(betae*delta*alph/(1-betae+delta*betae))*(i/(betae*delta*alph/(1-betae+delta*betae)))^(1+theta))^(1/(1+theta))=
+(a*k(-1)^alph);
+a = as+ea;
+lam = (1-(betae*delta*alph/(1-betae+delta*betae)))^theta/c^(1+theta)/(1+theta);
+end;
+
+steady;
+check;
+
+shocks;
+var ea = 1;
+end;
+
+estimated_params;
+alph ,uniform_pdf,0.6,0.04,0.5,0.7;
+//betae ,uniform_pdf,0.99,0.004,0.98,1;
+//delta ,uniform_pdf,0.0125,0.001,0.01,0.015;
+phi ,uniform_pdf,0.5,0.2,0,10;
+theta ,uniform_pdf,0.3,0.1,0,10;
+end;
+
+varobs c i;
+//varobs c i lam; //to check if observing lam identifies phi and theta
+identification(ar=1);
+//identification(prior_mc=100);

tests/identification/kim/kim2_steadystate.m

+function [ys,check1]=kim_steadystate(junk, ys)
+
+global M_ options_
+
+for j=1:size(M_.param_names,1)
+  eval([deblank(M_.param_names(j,:)),' = M_.params(j);'])
+  assignin('base',deblank(M_.param_names(j,:)),M_.params(j));
+end
+for j=1:size(M_.endo_names,1)
+  eval([deblank(M_.endo_names(j,:)),' = NaN;'])
+end
+
+check1=0;
+
+s=betae*delta*alph/(1-betae+delta*betae);
+a=as; %as^((1-alph)/(1+theta))*(delta^((phi+theta+1)/(theta+1))/s)^alph;
+k=(delta/s/a)^(1/(alph-1));
+i=delta*k;
+c=(((a*k^alph)^(1+theta)-s*(i/s)^(1+theta))/(1-s))^(1/(1+theta))*(1-s);
+lam = (1-s)^theta/c^(1+theta)/(1+theta);
+
+ys=[
+  c
+  k
+  i
+  a
+  lam
+  ];
\ No newline at end of file