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series(:,2) ; -i = series(:,3) ; - -ti = [1950:0.25:1997.75] ; - diff --git a/tests/particle/data_risky_perturb.m b/tests/particle/data_risky_perturb.m deleted file mode 100644 index f53ebc639358326977538116acde47f48101b35e..0000000000000000000000000000000000000000 --- a/tests/particle/data_risky_perturb.m +++ /dev/null @@ -1,8 +0,0 @@ -data_q = 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2584473579031,0.325498873423245,0.326186695876345,0.329076448598955,0.333174515588995,0.329413557207047,0.333423719178516,0.335040422466900,0.333439492501018,0.324872578682320,0.332161817706365,0.337322917060891,0.334826505297280,0.334833183975604,0.339505186718257,0.335205797609264,0.329757692893045,0.323339992553803,0.314704361580380,0.304873604043781;0.465366173281072,0.604890352361134,0.562753966018590,0.544587974901857,0.544760214557814,0.474338991714300,0.549405192982290,0.526929083448939,0.472789925589274,0.488384871998912,0.539484034116646,0.526186304145351,0.560838501856019,0.568691213008218,0.457996880031744,0.544519472194905,0.443638757007182,0.538447562213121,0.654714072143710,0.618605720346050,0.666556976011854,0.621486652975839,0.576493703268832,0.621185238906510,0.645675436168625,0.587757685060072,0.575421210525733,0.508176905208948,0.557062874075496,0.513392793990503,0.433661350279103,0.410819553226565,0.503198309824002,0.534487975953763,0.481066797300822,0.487192478834121,0.489756435749308,0.480182870539979,0.512190696778338,0.463089381452200,0.500231796986690,0.487689885030122,0.492002421659576,0.477506501005810,0.419488032489574,0.370848114173346,0.412516107362288,0.411520122470378,0.408535323803708,0.355208488488084,0.410003069979326,0.432563155696434,0.378581169612771,0.367766687745538,0.391123836857064,0.323932048691867,0.327922859897876,0.334308432624227,0.389249157417789,0.343905675176623,0.327760636798103,0.306321771168099,0.304313549514702,0.361841865705823,0.401060127782717,0.405941851954901,0.424269429420338,0.485340158653842,0.512562768578495,0.494571398231693,0.454405293864739,0.488366191267342,0.467584147174278,0.421435979234834,0.445648060139850,0.443140572900168,0.395096673044304,0.357004785748865,0.287135552375699,0.353504704360779,0.413043250902117,0.435497696569867,0.465894150004515,0.415132178634639,0.445383689379165,0.403465521564028,0.392042472596075,0.387780292936795,0.405701814285459,0.422316389795284,0.442975579313849,0.484388455159984,0.440708288316090,0.513712304834395,0.505068076947055,0.440410093646661,0.404864329114871,0.464125277924531,0.508502889430184,0.534684523204093,0.566622090946023,0.572755573202055,0.696592426537259,0.660285512114629,0.623208190085299,0.646411654060830,0.648828718772022,0.673726263726368,0.646093679704419,0.662571493905742,0.559471649178386,0.514969910194678,0.564743156071433,0.609550962256962,0.657517169997371,0.648358656302754,0.603452689935781,0.586739017687046,0.614423490725170,0.665297430821724,0.580827938301539,0.641282443058500,0.678660622022239,0.673636506731242,0.735422902363134,0.714403559653518,0.662211230883140,0.572570393631551,0.548275956759778,0.614089117062981,0.622776106949100,0.687376332145960,0.519405675366196,0.547547237869293,0.577894433181303,0.584716515237054,0.614826676474129,0.662764384368211,0.622451704577427,0.664763314708238,0.684554702537288,0.667424929523086,0.573427916015605,0.652288181302580,0.714117542979267,0.684554989702729,0.689027162553574,0.741963009440269,0.691114317239296,0.628317636367585,0.559583372041440,0.472962953155901,0.380690498723089] ; -series = data_q' ; -y_obs = series(:,1) ; -l_obs = series(:,2) ; -i_obs = series(:,3) ; - -ti = [1950:0.25:1997.75] ; - diff --git a/tests/particle/dsge_base.mod b/tests/particle/dsge_base.mod deleted file mode 100644 index 3c173e0137b79f24abf5a3598956235ecb607558..0000000000000000000000000000000000000000 --- a/tests/particle/dsge_base.mod +++ /dev/null @@ -1,76 +0,0 @@ -var k A c l i y y_obs l_obs i_obs; -varexo e_a,e_y,e_i,e_l ; - -parameters alp bet tet tau delt rho ; -alp = 0.4; -bet = 0.99; -tet = 0.357 ; -tau = 50 ; -delt = 0.02; -rho = 0.95; - -model; -c = ((1 - alp)*tet/(1-tet))*A*(1-l)*((k(-1)/l)^alp) ; -y = A*(k(-1)^alp)*(l^(1-alp)) ; -i = y-c ; -k = (1-delt)*k(-1) + i ; -log(A) = rho*log(A(-1)) + e_a ; -(((c^(tet))*((1-l)^(1-tet)))^(1-tau))/c - bet*((((c(+1)^(tet))*((1-l(+1))^(1-tet)))^(1-tau))/c(+1))*(1 -delt+alp*(A(1)*(k^alp)*(l(1)^(1-alp)))/k)=0 ; -y_obs = y + e_y ; -l_obs = l + e_l ; -i_obs = i + e_i ; -end; - -steady; - -shocks; -var e_a; stderr 0.035; -var e_y; stderr 0.000158; -var e_l; stderr 0.00011; -var e_i; stderr 0.0000866; -end; - -steady; - - -estimated_params; -alp, uniform_pdf,,, 0.0001, 1; -bet, uniform_pdf,,, 0.75, 0.999; -tet, uniform_pdf,,, 0.0001, 1; -tau, uniform_pdf,,, 0.0001, 100; -delt, uniform_pdf,,, 0.0001, 0.05; -rho, uniform_pdf,,, 0.0001, 0.999; -stderr e_a, uniform_pdf,,, 0.00001, 0.1; -stderr e_y, uniform_pdf,,, 0.00001, 0.1; -stderr e_l, uniform_pdf,,, 0.00001, 0.1; -stderr e_i, uniform_pdf,,, 0.00001, 0.1; -end; - - -estimated_params_init; -alp, 0.4; -bet, 0.99; -tet, 0.357 ; -tau, 3; -delt, 0.02; -rho, 0.95; -stderr e_a, .035; -stderr e_y, .000158; -stderr e_l, .0011; -stderr e_i, .000866; -end; - - -varobs y_obs l_obs i_obs; - -options_.particle.status = 1; -options_.particle.algorithm = 'sequential_importance_particle_filter'; -options_.particle.initialization = 1; -particle.number_of_particles = 500; - -set_dynare_threads('local_state_space_iteration_2',2); - -//estimation(datafile=data_benchmark,order=2,nobs=100,mh_replic=0,mode_compute=6); -//estimation(datafile=data_benchmark,order=2,nobs=100,mh_replic=0,mode_compute=8,mode_file=dsge_base_mode); -//estimation(datafile=data_benchmark,order=2,nobs=100,mh_replic=0,mode_compute=8,mode_file=dsge_base_mode); -estimation(datafile=data_benchmark,order=2,nobs=100,mh_replic=0,mode_compute=4,mode_file=dsge_base_mode,mode_check); \ No newline at end of file diff --git a/tests/particle/dsge_base_steadystate.m b/tests/particle/dsge_base_steadystate.m deleted file mode 100644 index 9527ceeafa03cc2c42a0653fdea976c2ea6eb521..0000000000000000000000000000000000000000 --- a/tests/particle/dsge_base_steadystate.m +++ /dev/null @@ -1,52 +0,0 @@ -function [ys,check,penlt] = mze_steadystate(ys,exe) -global M_ - -persistent idx NumberOfParameters NumberOfEndogenousVariables -persistent load_parameters fill_ys - - -if isempty(idx) - NumberOfParameters = M_.param_nbr; - NumberOfEndogenousVariables = M_.orig_endo_nbr; - load_parameters = []; - for i = 1:NumberOfParameters - load_parameters = [ load_parameters deblank(M_.param_names(i,:)) ' = M_.params(' int2str(i) '); ']; - end - fill_ys = []; - for i = 1:NumberOfEndogenousVariables - fill_ys = [fill_ys 'ys(' int2str(i) ') = ' deblank(M_.endo_names(i,:)) '_ss' '; ']; - end - idx = 1; -end - - -% Do not call matlab's routine! - -eval(load_parameters); - -ys = zeros(NumberOfEndogenousVariables,1); -check = 0; - -k_ss = -(alp-1)*(alp^(1/(1-alp)))*(bet^(1/(1-alp)))*((bet*(delt-1)+1)^(alp/(alp-1)))*tet; - -k_ss = k_ss/(-alp*delt*bet+delt*bet+alp*tet*bet-bet-alp*tet+1); - -l_ss = (alp-1)*(bet*(delt-1)+1)*tet; - -l_ss = l_ss/(alp*tet+bet*((alp-1)*delt-alp*tet+1)-1) ; - -y_ss = (k_ss^alp)*(l_ss^(1-alp)) ; - -i_ss = delt*k_ss ; - -c_ss = y_ss - i_ss ; - -A_ss = 1; - - -y_obs_ss = y_ss; -l_obs_ss = l_ss ; -i_obs_ss = i_ss ; - -% Fill vector ys (steady state values). -eval(fill_ys); \ No newline at end of file diff --git a/tests/particle/fs2000_particle.mod b/tests/particle/fs2000_particle.mod deleted file mode 100644 index c9a3bb39f2769f010a438a204b98f0a2cd34c061..0000000000000000000000000000000000000000 --- a/tests/particle/fs2000_particle.mod +++ /dev/null @@ -1,101 +0,0 @@ -// 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; - -//stoch_simul(noprint,irf=0); - -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, 0.015449, inf; -stderr e_m, inv_gamma_pdf, 0.00862, inf; -end; - -//estimated_params_init; -//stderr e_a, .0000001; -//stderr e_m, .0000001; -//end; - -varobs gp_obs gy_obs; - -options_.particle_filter.algorithm = 'sequential_importance_particle_filter'; -options_.particle_filter.initialization = 1; - -options_.mode_check_neighbourhood_size = 0.02; - -estimation(datafile='../fs2000/fsdat_simul',nobs=192,loglinear,mh_replic=0,order=2,mode_compute=8,mode_check); \ No newline at end of file diff --git a/tests/particle/fs2000_particle_steadystate.m b/tests/particle/fs2000_particle_steadystate.m deleted file mode 100644 index d21d82b364284118801fa764e2109c8a2ce729cd..0000000000000000000000000000000000000000 --- a/tests/particle/fs2000_particle_steadystate.m +++ /dev/null @@ -1,56 +0,0 @@ -% computes the steady state of fs2000 analyticaly -% largely inspired by the program of F. Schorfheide -function [ys,check] = fs2000a_steadystate(ys,exe) - global M_ - - alp = M_.params(1); - bet = M_.params(2); - gam = M_.params(3); - mst = M_.params(4); - rho = M_.params(5); - psi = M_.params(6); - del = M_.params(7); - - 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; - - - ys =[ -m -P -c -e -W -R -k -d -n -l -gy_obs -gp_obs -y -dA ]; \ No newline at end of file