tests/particle/DSMH.mod

+/*
+ * Copyright © 2004-2025 Dynare Team
+ *
+ * This file is part of Dynare.
+ *
+ * Dynare is free software: you can redistribute it and/or modify
+ * it under the terms of the GNU General Public License as published by
+ * the Free Software Foundation, either version 3 of the License, or
+ * (at your option) any later version.
+ *
+ * Dynare is distributed in the hope that it will be useful,
+ * but WITHOUT ANY WARRANTY; without even the implied warranty of
+ * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
+ * GNU General Public License for more details.
+ *
+ * You should have received a copy of the GNU General Public License
+ * along with Dynare.  If not, see <https://www.gnu.org/licenses/>.
+ *   
+ */
+
+
+var k A c l i y;
+varexo e_a;
+
+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 ;
+end;
+
+steady_state_model;
+	k = -(alp-1)*(alp^(1/(1-alp)))*(bet^(1/(1-alp)))*((bet*(delt-1)+1)^(alp/(alp-1)))*tet/(-alp*delt*bet+delt*bet+alp*tet*bet-bet-alp*tet+1);
+	l = (alp-1)*(bet*(delt-1)+1)*tet/(alp*tet+bet*((alp-1)*delt-alp*tet+1)-1) ;
+	y = (k^alp)*(l^(1-alp)) ;
+	i = delt*k ;
+	c = y - i ;
+	A = 1;
+end;
+
+shocks;
+    var e_a; stderr 0.035;
+end;
+
+steady;
+
+estimated_params;
+    alp, uniform_pdf,,, 0.0001, 0.99;
+    bet, uniform_pdf,,, 0.0001, 0.99999;
+    tet, uniform_pdf,,, 0.0001, .999;
+    tau, uniform_pdf,,, 0.0001, 100;
+    delt, uniform_pdf,,, 0.0001, 0.05;
+    rho, uniform_pdf,,, 0.0001, 0.9999;
+    stderr e_a, uniform_pdf,,, 0.00001, 0.1;
+    stderr y, uniform_pdf,,, 0.00001, 0.1;
+    stderr l, uniform_pdf,,, 0.00001, 0.1;
+    stderr i, uniform_pdf,,, 0.00001, 0.1;
+end;
+
+estimated_params_init;
+	alp, 0.4;
+	bet, 0.99;
+	tet, 0.357;
+	tau, 50;
+	delt, 0.02;
+	rho, 0.95;
+	stderr e_a, .035;
+	stderr y, .001;
+	stderr l, .001;
+	stderr i, .001;
+end;
+
+varobs y l i ;
+
+// simulate the dataset
+set_dynare_seed(123456);
+stoch_simul(order=5,periods=1000,noprint,nograph);
+ds = dseries(oo_.endo_simul','1Y',M_.endo_names);
+data(series=ds,first_obs=801Y,nobs=200);
+
+estimation(order=1,posterior_sampling_method='dsmh',posterior_sampler_options=('particles',10000));

tests/particle/dsge_base2.mod

@@ -200,7 +200,7 @@ estimation(order=3,filter_algorithm=nlkf,number_of_particles=10000,proposal_appr
 @#endif
 
 @#if DSMH
-  estimation(order=1,posterior_sampling_method='dsmh',posterior_sampler_options=('particles',1000));
+  estimation(order=1,posterior_sampling_method='dsmh',posterior_sampler_options=('particles',10000));
 %  estimation(order=2,posterior_sampling_method='dsmh',posterior_sampler_options=('particles',1000));
 %  estimation(order=3,posterior_sampling_method='dsmh',filter_algorithm=nlkf,proposal_approximation=montecarlo,number_of_particles=500,posterior_sampler_options=('particles',500));
 @#endif