Commit e1b92dc5 by Johannes Pfeifer

### Add unit test for initialization from calibrated model

parent 07137e80
 //uses a prior mean for bet that does not allow solving the model. Then uses the calibrated value to initialize. var m P c e W R k d n l gy_obs gp_obs y dA; varexo e_a e_m e_f; parameters alp bet gam mst rho psi del; alp = 0.33; bet = 0.99; gam = 0.003; mst = 1.011; rho = 0.7; psi = 0.787; del = 0.02; model; dA = exp(gam+e_a); log(m) = (1-rho)*log(mst) + rho*log(m(-1))+e_m; -P/(c(+1)*P(+1)*m)+bet*P(+1)*(alp*exp(-alp*(gam+log(e(+1))))*k^(alp-1)*n(+1)^(1-alp)+(1-del)*exp(-(gam+log(e(+1)))))/(c(+2)*P(+2)*m(+1))=0; W = l/n; -(psi/(1-psi))*(c*P/(1-n))+l/n = 0; R = P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(-alp)/W; 1/(c*P)-bet*P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)/(m*l*c(+1)*P(+1)) = 0; c+k = exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)+(1-del)*exp(-(gam+e_a))*k(-1); P*c = m; m-1+d = l; e = exp(e_a); y = k(-1)^alp*n^(1-alp)*exp(-alp*(gam+e_a)); gy_obs = dA*y/y(-1); gp_obs = (P/P(-1))*m(-1)/dA; end; initval; k = 6; m = mst; P = 2.25; c = 0.45; e = 1; W = 4; R = 1.02; d = 0.85; n = 0.19; l = 0.86; y = 0.6; gy_obs = exp(gam); gp_obs = exp(-gam); dA = exp(gam); end; shocks; var e_a; stderr 0.014; var e_m; stderr 0.005; var e_f; stderr 0.005; corr gy_obs, gp_obs = 0.1; end; steady; //check; estimated_params; alp, beta_pdf, 0.356, 0.02; bet, normal_pdf, 2, 1; gam, normal_pdf, 0.0085, 0.003; mst, normal_pdf, 1.0002, 0.007; rho, normal_pdf, 0.129, 0.223; psi, beta_pdf, 0.65, 0.05; del, beta_pdf, 0.01, 0.005; stderr e_a, inv_gamma_pdf, 0.035449, inf; stderr e_m, inv_gamma_pdf, 0.008862, inf; corr e_a, e_m, normal_pdf, 0, 0.007; corr e_a, e_f, normal_pdf, 0, 0.007; stderr gp_obs, inv_gamma_pdf, 0.008862, inf; corr gp_obs, gy_obs, normal_pdf, 0, 0.007; end; varobs gp_obs gy_obs; estimated_params_init; //stderr e_a, 0.014000; //stderr e_m, 0.005000; //stderr gp_obs, 0.1; corr e_m, e_a, 0.1; //corr gy_obs, gp_obs, 0.000000; //alp, 0.330000; //bet, 0.990000; gam, 0.003000; mst, 1.011000; //rho, 0.900000; psi, 0.787000; del, 0.020000; end; options_.use_calibration_initialization=1; options_.plot_priors=0; estimation(order=1, datafile=fsdat_simul, nobs=192, loglinear, mh_replic=2000, mh_nblocks=1, mh_jscale=0.8,prior_trunc=0); \ No newline at end of file