From 4cf9f7d1a7fa5dac8f91ff3344a6114c7f15959c Mon Sep 17 00:00:00 2001
From: Johannes Pfeifer <jpfeifer@gmx.de>
Date: Tue, 15 Dec 2020 14:38:33 +0100
Subject: [PATCH] stoch_simul.m: reports second moments based on pruned state
space at order=2 when pruning is specified
Related to https://git.dynare.org/Dynare/dynare/-/merge_requests/1744
---
doc/manual/source/the-model-file.rst | 8 +++-
...m => disp_th_moments_pruned_state_space.m} | 0
matlab/stoch_simul.m | 6 +--
tests/Makefile.am | 1 +
tests/moments/example1_order2_pruning.mod | 46 +++++++++++++++++++
5 files changed, 56 insertions(+), 5 deletions(-)
rename matlab/{disp_th_moments_order3.m => disp_th_moments_pruned_state_space.m} (100%)
create mode 100644 tests/moments/example1_order2_pruning.mod
diff --git a/doc/manual/source/the-model-file.rst b/doc/manual/source/the-model-file.rst
index d5f6e6e01d..1b134750a3 100644
--- a/doc/manual/source/the-model-file.rst
+++ b/doc/manual/source/the-model-file.rst
@@ -3819,7 +3819,7 @@ Computing the stochastic solution
:mvar:`oo_.conditional_variance_decomposition_ME`). The
variance decomposition is only conducted, if theoretical
moments are requested, *i.e.* using the ``periods=0``-option.
- Only available at ``order<3``. In case of ``order=2``,
+ Only available at ``order<3`` and without ``pruning''. In case of ``order=2``,
Dynare provides a second-order accurate
approximation to the true second moments based on the linear
terms of the second-order solution (see *Kim, Kim,
@@ -3836,7 +3836,11 @@ Computing the stochastic solution
algorithm of *Kim, Kim, Schaumburg and Sims (2008)*, while at
third order its generalization by *Andreasen,
Fernández-Villaverde and Rubio-Ramírez (2018)* is used.
- Not available above third order.
+ Not available above third order. When specified, theoretical moments
+ are based on the pruned state space, i.e. the computation of second moments
+ uses all terms as in *Andreasen, Fernández-Villaverde and Rubio-Ramírez (2018), page 10*
+ as opposed to simply providing a second-order accurate result based on the
+ linear solution as in *Kim, Kim, Schaumburg and Sims (2008)*.
.. option:: partial_information
diff --git a/matlab/disp_th_moments_order3.m b/matlab/disp_th_moments_pruned_state_space.m
similarity index 100%
rename from matlab/disp_th_moments_order3.m
rename to matlab/disp_th_moments_pruned_state_space.m
diff --git a/matlab/stoch_simul.m b/matlab/stoch_simul.m
index ce517a8af7..47415c8ede 100644
--- a/matlab/stoch_simul.m
+++ b/matlab/stoch_simul.m
@@ -189,11 +189,11 @@ if ~options_.nomoments
if PI_PCL_solver
PCL_Part_info_moments(0, PCL_varobs, oo_.dr, i_var);
elseif options_.periods == 0
- if options_.order <= 2
+ if options_.order == 1 || (options_.order == 2 && ~options_.pruning)
oo_=disp_th_moments(oo_.dr,var_list,M_,options_,oo_);
- elseif options_.order == 3 && options_.pruning
+ elseif (ismember(options_.order,[2,3])) && options_.pruning
% There is no code for theoretical moments at 3rd order without pruning
- oo_=disp_th_moments_order3(oo_.dr,M_,options_,i_var,oo_);
+ oo_=disp_th_moments_pruned_state_space(oo_.dr,M_,options_,i_var,oo_);
end
else
oo_=disp_moments(oo_.endo_simul,var_list,M_,options_,oo_);
diff --git a/tests/Makefile.am b/tests/Makefile.am
index 64a77571eb..3fdbcb9e62 100644
--- a/tests/Makefile.am
+++ b/tests/Makefile.am
@@ -3,6 +3,7 @@ MODFILES = \
optimizers/fs2000_6.mod \
moments/example1_hp_test.mod \
moments/fs2000_post_moments.mod \
+ moments/example1_order2_pruning.mod \
lmmcp/rbcii.mod \
lmmcp/purely_backward.mod \
lmmcp/purely_forward.mod \
diff --git a/tests/moments/example1_order2_pruning.mod b/tests/moments/example1_order2_pruning.mod
new file mode 100644
index 0000000000..bd13e0c84a
--- /dev/null
+++ b/tests/moments/example1_order2_pruning.mod
@@ -0,0 +1,46 @@
+// Example 1 from Collard's guide to Dynare
+// tests moments at order=2 with pruning
+var y, k, a, h, b;
+varexo e, u;
+
+parameters beta, rho, 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;
+[endogenous='c',name='law of motion of capital']
+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 = 11.08360443260358;
+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(order=2,pruning);
\ No newline at end of file
--
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