copying tests from version 3 to version 4

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@10 ac1d8469-bf42-47a9-8791-bf33cf982152

tests/arima/mod1.mod

+var dx dy x y;
+varexo e_x e_y;
+
+parameters rho_x rho_y;
+
+rho_x = 0.5;
+rho_y = -0.3;
+
+model;
+dx = rho_x*dx(-1)+e_x;
+dy = rho_y*dy(-1)+e_y;
+x = x(-1)+dx;
+y = y(-1)+dy;
+end;
+
+shocks;
+var e_x; stderr 0.01;
+var e_y; stderr 0.01;
+end;
+
+stoch_simul(order=1,periods=1000,irf=0,nomoments);
+
+save data1 dx dy x y;
\ No newline at end of file

tests/arima/mod1a.mod

+var dx dy;
+varexo e_x e_y;
+
+parameters rho_x rho_y;
+
+rho_x = 0.5;
+rho_y = -0.3;
+
+model;
+dx = rho_x*dx(-1)+e_x;
+dy = rho_y*dy(-1)+e_y;
+end;
+
+estimated_params;
+rho_x,NORMAL_PDF,0.5,0.1;
+rho_y,NORMAL_PDF,-0.3,0.1;
+stderr e_x,INV_GAMMA_PDF,0.01,inf;
+stderr e_y,INV_GAMMA_PDF,0.01,inf;
+end;
+
+varobs dx dy;
+check;
+estimation(datafile=data1,nobs=1000,mh_replic=2000);
\ No newline at end of file

tests/arima/mod1b.mod

+var dx dy x y;
+varexo e_x e_y;
+
+parameters rho_x rho_y;
+
+rho_x = 0.5;
+rho_y = -0.3;
+
+model;
+dx = rho_x*dx(-1)+e_x;
+dy = rho_y*dy(-1)+e_y;
+x = x(-1)+dx;
+y = y(-1)+dy;
+end;
+
+estimated_params;
+rho_x,NORMAL_PDF,0.5,0.1;
+rho_y,NORMAL_PDF,-0.3,0.1;
+stderr e_x,INV_GAMMA_PDF,0.01,inf;
+stderr e_y,INV_GAMMA_PDF,0.01,inf;
+end;
+
+varobs x y;
+options_.unit_root_vars = {'x'; 'y'};
+estimation(datafile=data1,nobs=1000,mh_replic=0,load_mh_file,mode_compute=0,mode_file=mod1b_mode,lik_init=2);
\ No newline at end of file

tests/arima/mod1c.mod

+var dx dy x y;
+varexo e_x e_y;
+
+parameters rho_x rho_y;
+
+rho_x = 0.5;
+rho_y = -0.3;
+
+model;
+dx = rho_x*dx(-1)+e_x;
+dy = rho_y*dy(-1)+e_y;
+x = x(-1)+dx;
+y = y(-1)+dy;
+end;
+
+estimated_params;
+rho_x,NORMAL_PDF,0.5,0.1;
+rho_y,NORMAL_PDF,-0.3,0.1;
+stderr e_x,INV_GAMMA_PDF,0.01,inf;
+stderr e_y,INV_GAMMA_PDF,0.01,inf;
+stderr x,INV_GAMMA_PDF,0.01,inf;
+stderr y,INV_GAMMA_PDF,0.01,inf;
+end;
+
+varobs x y;
+options_.unit_root_vars = {'x'; 'y'};
+estimation(datafile=data1,nobs=1000,mh_replic=2000,lik_init=2);
\ No newline at end of file

tests/arima/mod2.mod

+var dx dy x y;
+varexo e_x e_y;
+
+parameters rho_x rho_y b a1 a2;
+
+rho_x = 0.5;
+rho_y = -0.3;
+b = 1;
+a1 = -0.1;
+a2 = 0.2;
+
+model;
+dx = rho_x*dx(-1)+a1*(x(-1)-b*y(-1))+e_x;
+dy = rho_y*dy(-1)+a2*(x(-1)-b*y(-1))+e_y;
+x = x(-1)+dx;
+y = y(-1)+dy;
+end;
+
+shocks;
+var e_x; stderr 0.01;
+var e_y; stderr 0.01;
+end;
+
+stoch_simul(order=1,periods=1000,irf=0,nomoments);
+
+save data2 dx dy x y;
\ No newline at end of file

tests/arima/mod2a.mod

+var dx dy x y;
+varexo e_x e_y;
+
+parameters rho_x rho_y b a1 a2;
+
+rho_x = 0.5;
+rho_y = -0.3;
+b = 1;
+a1 = -0.1;
+a2 = 0.2;
+
+model;
+dx = rho_x*dx(-1)+a1*(x(-1)-b*y(-1))+e_x;
+dy = rho_y*dy(-1)+a2*(x(-1)-b*y(-1))+e_y;
+x = x(-1)+dx;
+y = y(-1)+dy;
+end;
+
+estimated_params;
+rho_x,NORMAL_PDF,0.5,0.1;
+rho_y,NORMAL_PDF,-0.3,0.1;
+b,NORMAL_PDF,1,0.1;
+a1,NORMAL_PDF,-0.1,0.1;
+a2,NORMAL_PDF,0.2,0.1;
+
+stderr e_x,INV_GAMMA_PDF,0.01,inf;
+stderr e_y,INV_GAMMA_PDF,0.01,inf;
+end;
+
+varobs dx dy;
+
+options_.unit_root_vars = {'x'; 'y'};
+estimation(datafile=data2,nobs=100,mh_replic=0,lik_init=2);

tests/arima/mod2b.mod

+var dx dy x y;
+varexo e_x e_y;
+
+parameters rho_x rho_y b a1 a2;
+
+rho_x = 0.5;
+rho_y = -0.3;
+b = 1;
+a1 = -0.1;
+a2 = 0.2;
+
+model;
+dx = rho_x*dx(-1)+a1*(x(-1)-b*y(-1))+e_x;
+dy = rho_y*dy(-1)+a2*(x(-1)-b*y(-1))+e_y;
+x = x(-1)+dx;
+y = y(-1)+dy;
+end;
+
+estimated_params;
+rho_x,NORMAL_PDF,0.5,0.1;
+rho_y,NORMAL_PDF,-0.3,0.1;
+b,NORMAL_PDF,1,0.1;
+a1,NORMAL_PDF,-0.1,0.1;
+a2,NORMAL_PDF,0.2,0.1;
+
+stderr e_x,INV_GAMMA_PDF,0.01,inf;
+stderr e_y,INV_GAMMA_PDF,0.01,inf;
+end;
+
+varobs x y;
+
+options_.unit_root_vars = {'x'; 'y'};
+estimation(datafile=data2,nobs=100,mh_replic=0,lik_init=2);

tests/arima/mod2c.mod

+var dx dy coint_err;
+varexo e_x e_y;
+
+parameters rho_x rho_y b a1 a2;
+
+rho_x = 0.5;
+rho_y = -0.3;
+b = 1;
+a1 = -0.1;
+a2 = 0.2;
+
+model;
+dx = rho_x*dx(-1)+a1*coint_err(-1)+e_x;
+dy = rho_y*dy(-1)+a2*coint_err(-1)+e_y;
+coint_err = dx-b*dy+coint_err(-1);
+end;
+
+estimated_params;
+rho_x,NORMAL_PDF,0.5,0.1;
+rho_y,NORMAL_PDF,-0.3,0.1;
+b,NORMAL_PDF,1,0.1;
+a1,NORMAL_PDF,-0.1,0.1;
+a2,NORMAL_PDF,0.2,0.1;
+
+stderr e_x,INV_GAMMA_PDF,0.01,inf;
+stderr e_y,INV_GAMMA_PDF,0.01,inf;
+end;
+
+varobs dx dy;
+
+estimation(datafile=data2,nobs=100,mh_replic=0);

tests/example1.mod

+// example 1 from Collard's guide to Dynare
+var y, c, k, a, h, b;
+varexo e,u;
+
+parameters beta, rho, beta, alpha, delta, theta, psi, 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;
+
+initval;
+y = 1.08068253095672;
+c = 0.80359242014163;
+h = 0.29175631001732;
+k = 5;
+a = 0;
+b = 0;
+e = 0;
+u = 0;
+end;
+
+shocks;
+var e; stderr 0.009;
+var u; stderr 0.009;
+var e, u = phi*0.009*0.009;
+end;
+
+stoch_simul(periods=2100);

tests/example2.mod

+// example 2 from Collard's guide to Dynare
+var y, c, k, a, h, b;
+varexo e,u;
+
+parameters beta, rho, beta, alpha, delta, theta, psi, tau ;
+
+alpha = 0.36;
+rho   = 0.95;
+tau   = 0.025;
+beta  = 0.99;
+delta = 0.025;
+psi   = 0;
+theta = 2.95;
+
+model;
+exp(c)*theta*exp(h)^(1+psi)=(1-alpha)*exp(y);
+exp(k) = beta*(((exp(b)*exp(c))/(exp(b(+1))*exp(c(+1))))
+         *(exp(b(+1))*alpha*exp(y(+1))+(1-delta)*exp(k)));
+exp(y) = exp(a)*(exp(k(-1))^alpha)*(exp(h)^(1-alpha));
+exp(k) = exp(b)*(exp(y)-exp(c))+(1-delta)*exp(k(-1));
+a = rho*a(-1)+tau*b(-1) + e;
+b = tau*a(-1)+rho*b(-1) + u;
+end;
+
+initval;
+y = 0.1;
+c = -0.2;
+h = -1.2;
+k =  2.4;
+a = 0;
+b = 0;
+e = 0;
+u = 0;
+end;
+
+steady;
+
+shocks;
+var e = 0.009^2;
+var u = 0.009^2;
+end;
+
+stoch_simul(dr_algo=1,drop=200);
+

tests/fs2000/fs2000.mod

+// This file replicates the estimation of the CIA model from 
+// Frank Schorfheide (2000) "Loss function-based evaluation of DSGE models" 
+// Journal of  Applied Econometrics, 15, 645-670.
+// the data are the ones provided on Schorfheide's web site with the programs.
+// http://www.econ.upenn.edu/~schorf/programs/dsgesel.ZIP
+// You need to have fsdat.m in the same directory as this file.
+// This file replicates: 
+// -the posterior mode as computed by Frank's Gauss programs
+// -the parameter mean posterior estimates reported in the paper
+// -the model probability (harmonic mean) reported in the paper
+// This file was tested with dyn_mat_test_0218.zip
+// the smooth shocks are probably stil buggy
+//
+// The equations are taken from J. Nason and T. Cogley (1994) 
+// "Testing the implications of long-run neutrality for monetary business
+// cycle models" Journal of Applied Econometrics, 9, S37-S70.
+// Note that there is an initial minus sign missing in equation (A1), p. S63.
+//
+// Michel Juillard, February 2004
+
+var m P c e W R k d n l gy_obs gp_obs y dA;
+varexo e_a e_m;
+
+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;
+end;
+
+steady;
+
+estimated_params;
+alp, beta_pdf, 0.356, 0.02; 
+bet, beta_pdf, 0.993, 0.002;
+gam, normal_pdf, 0.0085, 0.003;
+mst, normal_pdf, 1.0002, 0.007;
+rho, beta_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;
+end;
+
+varobs gp_obs gy_obs;
+
+estimation(datafile=fsdat,nobs=192,loglinear,mh_replic=2000,mh_nblocks=5,mh_jscale=0.8);
\ No newline at end of file

tests/fs2000/fs2000a.mod

+// This file replicates the estimation of the CIA model from 
+// Frank Schorfheide (2000) "Loss function-based evaluation of DSGE models" 
+// Journal of  Applied Econometrics, 15, 645-670.
+// the data are the ones provided on Schorfheide's web site with the programs.
+// http://www.econ.upenn.edu/~schorf/programs/dsgesel.ZIP
+// You need to have fsdat.m in the same directory as this file.
+// This file replicates: 
+// -the posterior mode as computed by Frank's Gauss programs
+// -the parameter mean posterior estimates reported in the paper
+// -the model probability (harmonic mean) reported in the paper
+// This file was tested with dyn_mat_test_0218.zip
+// the smooth shocks are probably stil buggy
+//
+// The equations are taken from J. Nason and T. Cogley (1994) 
+// "Testing the implications of long-run neutrality for monetary business
+// cycle models" Journal of Applied Econometrics, 9, S37-S70.
+// Note that there is an initial minus sign missing in equation (A1), p. S63.
+//
+// Michel Juillard, February 2004
+
+var m P c e W R k d n l gy_obs gp_obs Y_obs P_obs y dA;
+varexo e_a e_m;
+
+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;
+Y_obs/Y_obs(-1) = gy_obs;
+P_obs/P_obs(-1) = gp_obs;
+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;
+end;
+
+steady;
+
+check;
+
+estimated_params;
+alp, beta_pdf, 0.356, 0.02; 
+bet, beta_pdf, 0.993, 0.002;
+gam, normal_pdf, 0.0085, 0.003;
+mst, normal_pdf, 1.0002, 0.007;
+rho, beta_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;
+end;
+
+varobs P_obs Y_obs;
+
+observation_trends;
+P_obs (log(exp(gam)/mst));
+Y_obs (gam);
+end;
+
+options_.unit_root_vars = {'P_obs'; 'Y_obs'};
+
+//stoch_simul(order=1,nomoments,irf=0);
+estimation(datafile=fsdat,nobs=192,loglinear,mh_replic=5000,mh_nblocks=10,mh_drop=0.45,lik_init=2);
\ No newline at end of file

tests/fs2000/fs2000a_steadystate.m

+% computes the steady state of fs2000 analyticaly
+% largely inspired by the program of F. Schorfheide
+function [ys,check] = fs2000a_steadystate(junk,ys)
+  global alp bet gam mst rho psi del;
+
+  check = 0;
+  
+  dA = exp(gam);
+  gst = 1/dA;
+  m = mst;
+  
+  khst = ( (1-gst*bet*(1-del)) / (alp*gst^alp*bet) )^(1/(alp-1));
+  xist = ( ((khst*gst)^alp - (1-gst*(1-del))*khst)/mst )^(-1);
+  nust = psi*mst^2/( (1-alp)*(1-psi)*bet*gst^alp*khst^alp );
+  n  = xist/(nust+xist);
+  p  = xist + nust;
+  k  = khst*n;
+
+  l  = psi*mst*n/( (1-psi)*(1-n) );
+  c  = mst/p;
+  d  = l - mst + 1;
+  y  = k^alp*n^(1-alp)*gst^alp;
+  r  = mst/bet;
+  w  = l/n;
+  ist  = y-c;
+  q  = 1 - d;
+
+  e = 1;
+  
+  gp_obs = m/dA;
+  gy_obs = dA;
+  
+  P_obs = 1;
+  Y_obs = 1;
+  
+  ys =[
+      c
+      d
+      dA
+      e
+      gp_obs
+      gy_obs
+      k
+      l
+      m
+      n
+      p
+      P_obs
+      r
+      w
+      y
+      Y_obs
+      ];
\ No newline at end of file

tests/fs2000/fsdat.m

+data_q = [
+18.02 1474.5 150.2
+17.94 1538.2 150.9
+18.01 1584.5 151.4
+18.42 1644.1 152
+18.73 1678.6 152.7
+19.46 1693.1 153.3
+19.55 1724   153.9
+19.56 1758.2 154.7
+19.79 1760.6 155.4
+19.77 1779.2 156
+19.82 1778.8 156.6
+20.03 1790.9 157.3
+20.12 1846   158
+20.1  1882.6 158.6
+20.14 1897.3 159.2
+20.22 1887.4 160
+20.27 1858.2 160.7
+20.34 1849.9 161.4
+20.39 1848.5 162
+20.42 1868.9 162.8
+20.47 1905.6 163.6
+20.56 1959.6 164.3
+20.62 1994.4 164.9
+20.78 2020.1 165.7
+21    2030.5 166.5
+21.2  2023.6 167.2
+21.33 2037.7 167.9
+21.62 2033.4 168.7
+21.71 2066.2 169.5
+22.01 2077.5 170.2
+22.15 2071.9 170.9
+22.27 2094   171.7
+22.29 2070.8 172.5
+22.56 2012.6 173.1
+22.64 2024.7 173.8
+22.77 2072.3 174.5
+22.88 2120.6 175.3
+22.92 2165   176.045
+22.91 2223.3  176.727
+22.94 2221.4  177.481
+23.03 2230.95 178.268
+23.13 2279.22 179.694
+23.22 2265.48 180.335
+23.32 2268.29 181.094
+23.4  2238.57 181.915
+23.45 2251.68 182.634
+23.51 2292.02 183.337
+23.56 2332.61 184.103
+23.63 2381.01 184.894
+23.75 2422.59 185.553
+23.81 2448.01 186.203
+23.87 2471.86 186.926
+23.94 2476.67 187.68
+24    2508.7  188.299
+24.07 2538.05 188.906
+24.12 2586.26 189.631
+24.29 2604.62 190.362
+24.35 2666.69 190.954
+24.41 2697.54 191.56
+24.52 2729.63 192.256
+24.64 2739.75 192.938
+24.77 2808.88 193.467
+24.88 2846.34 193.994
+25.01 2898.79 194.647
+25.17 2970.48 195.279
+25.32 3042.35 195.763
+25.53 3055.53 196.277
+25.79 3076.51 196.877
+26.02 3102.36 197.481
+26.14 3127.15 197.967
+26.31 3129.53 198.455
+26.6  3154.19 199.012
+26.9  3177.98 199.572
+27.21 3236.18 199.995
+27.49 3292.07 200.452