From 3d8697e6a83b89f4e7d60c1a994db838910d4c64 Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?Fr=C3=A9d=C3=A9ric=20Karam=C3=A9?=
<frederic.karame@univ-lemans.fr>
Date: Fri, 6 Sep 2024 14:39:19 +0200
Subject: [PATCH] Add missing tests.
---
tests/particle/dsge_base2.mod | 267 +++++++++++++++-------------------
1 file changed, 121 insertions(+), 146 deletions(-)
diff --git a/tests/particle/dsge_base2.mod b/tests/particle/dsge_base2.mod
index ecc845db4b..f07148e9f8 100644
--- a/tests/particle/dsge_base2.mod
+++ b/tests/particle/dsge_base2.mod
@@ -1,58 +1,42 @@
-// DGP
-@#ifndef RISKY_CALIBRATION
- @#define RISKY_CALIBRATION = 1
-@#endif
-@#ifndef EXTREME_CALIBRATION
- @#define EXTREME_CALIBRATION = 0
-@#endif
-@#ifndef BENCHMARK_CALIBRATION
- @#define BENCHMARK_CALIBRATION = 0
-@#endif
-
// ALGORITHM
@#ifndef LINEAR_KALMAN
@#define LINEAR_KALMAN = 0
@#endif
-@#ifndef NON_LINEAR_KALMAN
- @#define NON_LINEAR_KALMAN = 1
+
+@#ifndef NONLINEAR_KALMAN
+ @#define NONLINEAR_KALMAN = 0
@#endif
+
@#ifndef ALGO_SIR
- @#define ALGO_SIR = 0
-@#endif
-@#ifndef ALGO_SISmoothR
- @#define ALGO_SISmoothR = 0
+ @#define ALGO_SIR = 1
@#endif
+
@#ifndef ALGO_APF
@#define ALGO_APF = 0
@#endif
-@#ifndef ALGO_CPF
- @#define ALGO_CPF = 0
-@#endif
-@#ifndef ALGO_GPF
- @#define ALGO_GPF = 0
-@#endif
+
@#ifndef ALGO_GCF
@#define ALGO_GCF = 0
@#endif
+
@#ifndef ALGO_GUF
@#define ALGO_GUF = 0
@#endif
-@#ifndef ALGO_GMPF
- @#define ALGO_GMPF = 0
-@#endif
-@#ifndef ALGO_GMCF
- @#define ALGO_GMCF = 0
-@#endif
-@#ifndef ALGO_ONLINE_1
- @#define ALGO_ONLINE_1 = 0
-@#endif
-@#ifndef ALGO_ONLINE_2
- @#define ALGO_ONLINE_2 = 0
+
+@#ifndef ALGO_ONLINE
+ @#define ALGO_ONLINE = 0
@#endif
+
@#ifndef MCMC
@#define MCMC = 0
@#endif
+@#ifndef SMC
+ @#define SMC = 0
+@#endif
+
+%%
+
var k A c l i y;
varexo e_a;
@@ -65,156 +49,147 @@ 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 ;
+ 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;
-
+ 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;
+ 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;
+ 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;
-@#if EXTREME_CALIBRATION
- 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, .00158;
- stderr l, .0011;
- stderr i, .000866;
- end;
-@#endif
-
-@#if RISKY_CALIBRATION
- 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, .0175;
- stderr l, .00312;
- stderr i, .00465;
- end;
-@#endif
+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 ;
-options_.mode_check.neighbourhood_size = .1 ;
-options_.mode_check.number_of_points = 250;
-options_.threads.local_state_space_iteration_2 = 4;
-
-@#if EXTREME_CALIBRATION
- data(file='./extreme.m');
-@#endif
-
-@#if RISKY_CALIBRATION
- data(file='./risky.m');
-@#endif
-
-@#if BENCHMARK_CALIBRATION
- data(file='./benchmark.m');
-@#endif
+%data(file='./risky.m');
+%stoch_simul(order=5,periods=1000);
+%datatomfile('mysample')
+%return;
+data(file='./mysample.m',first_obs=801Y,nobs=200); %no measurement errors added in the simulated data
@#if LINEAR_KALMAN
- estimation(nograph,order=1,mode_compute=8,silent_optimizer,mh_replic=0,mode_check);
+ estimation(nograph,order=1,mode_compute=8,silent_optimizer,mh_replic=0,additional_optimizer_steps=[8 4],mode_check);
@#endif
-@#if NON_LINEAR_KALMAN
- estimation(nograph,order=2,filter_algorithm=nlkf,mode_compute=8,silent_optimizer,mh_replic=0);
+@#if NONLINEAR_KALMAN
+ estimation(nograph,order=2,filter_algorithm=nlkf,number_of_particles=10000,silent_optimizer,proposal_approximation=montecarlo,mode_compute=8,additional_optimizer_steps=[8,4],mh_replic=0);
+% estimation(nograph,order=3,filter_algorithm=nlkf,number_of_particles=10000,silent_optimizer,proposal_approximation=montecarlo,mode_compute=8,additional_optimizer_steps=[8,4],mh_replic=0);
+ estimation(nograph,order=2,filter_algorithm=nlkf,proposal_approximation=cubature,silent_optimizer,mode_compute=8,additional_optimizer_steps=[4,8],mh_replic=0,mode_check);
+% estimation(nograph,order=3,filter_algorithm=nlkf,proposal_approximation=cubature,silent_optimizer,mode_compute=8,additional_optimizer_steps=[4,8],mh_replic=0,mode_check);
@#endif
@#if ALGO_SIR
- estimation(order=2,nograph,number_of_particles=1000,mh_replic=0,silent_optimizer,mode_compute=8);
-@#endif
-
-@#if ALGO_SISmoothR
- estimation(order=2,nograph,number_of_particles=1000,resampling_method=smooth,mode_compute=8,silent_optimizer,mh_replic=0);
- estimation(order=2,nograph,number_of_particles=1000,resampling_method=smooth,mode_compute=8,silent_optimizer,mode_file=dsge_base2_mode,mh_replic=0);
- estimation(order=2,nograph,number_of_particles=1000,resampling_method=smooth,mode_compute=4,silent_optimizer,mode_file=dsge_base2_mode,mh_replic=0,mode_check);
+ estimation(order=2,nograph,number_of_particles=10000,mh_replic=0,mode_compute=8,cova_compute=0);
+ estimation(order=2,nograph,number_of_particles=10000,mh_replic=0,silent_optimizer,mode_compute=8,additional_optimizer_steps=[8 8],cova_compute=0);
+ estimation(order=3,nograph,number_of_particles=10000,mh_replic=0,silent_optimizer,mode_compute=8,additional_optimizer_steps=[8 8],cova_compute=0);
@#endif
@#if ALGO_APF
- estimation(order=2,nograph,filter_algorithm=apf,number_of_particles=10000,resampling=none,mh_replic=0,mode_compute=8,silent_optimizer,mode_check);
-@#endif
-
-@#if ALGO_CPF
- estimation(order=2,nograph,filter_algorithm=cpf,number_of_particles=10000,resampling=none,mh_replic=0,mode_compute=8,silent_optimizer,mode_check);
-@#endif
-
-@#if ALGO_GPF
- estimation(order=2,nograph,filter_algorithm=gf,distribution_approximation=montecarlo,number_of_particles=1000,mh_replic=0,mode_compute=8,silent_optimizer);
- estimation(order=2,nograph,filter_algorithm=gf,distribution_approximation=montecarlo,number_of_particles=1000,mode_file=dsge_base2_mode,mh_replic=0,mode_compute=4,silent_optimizer,mode_check);
+ estimation(order=2,nograph,filter_algorithm=apf,number_of_particles=10000,resampling=none,mh_replic=0,mode_compute=8,cova_compute=0);
+ estimation(order=2,nograph,filter_algorithm=apf,number_of_particles=10000,resampling=none,mh_replic=0,mode_compute=8,additional_optimizer_steps=[8,8],silent_optimizer,cova_compute=0);
+ estimation(order=3,nograph,filter_algorithm=apf,number_of_particles=10000,resampling=none,mh_replic=0,silent_optimizer,mode_compute=8,additional_optimizer_steps=[8,8],cova_compute=0);
@#endif
@#if ALGO_GCF
- estimation(order=2,nograph,filter_algorithm=gf,mh_replic=0,mode_compute=8,silent_optimizer);
- estimation(order=2,nograph,filter_algorithm=gf,mh_replic=0,mode_compute=4,silent_optimizer,mode_file=dsge_base2_mode,mode_check);
-@#endif
+estimation(order=2,nograph,filter_algorithm=gf,proposal_approximation=montecarlo,distribution_approximation=montecarlo,number_of_particles=10000,mh_replic=0,mode_compute=8,additional_optimizer_steps=[8,8],silent_optimizer);
+estimation(order=3,nograph,filter_algorithm=gf,proposal_approximation=montecarlo,distribution_approximation=montecarlo,number_of_particles=10000,mh_replic=0,mode_compute=8,additional_optimizer_steps=[8,8],silent_optimizer);
-@#if ALGO_GUF
- estimation(order=2,nograph,filter_algorithm=gf,proposal_approximation=unscented,distribution_approximation=unscented,mh_replic=0,silent_optimizer,mode_compute=8);
- estimation(order=2,nograph,filter_algorithm=gf,proposal_approximation=unscented,distribution_approximation=unscented,mh_replic=0,mode_compute=8,silent_optimizer,mode_check);
-@#endif
+%estimation(order=2,nograph,filter_algorithm=gf,proposal_approximation=cubature,distribution_approximation=montecarlo,mh_replic=0,mode_compute=8,additional_optimizer_steps=[4,8],silent_optimizer);
+%estimation(order=3,nograph,filter_algorithm=gf,proposal_approximation=cubature,distribution_approximation=montecarlo,mh_replic=0,mode_compute=8,additional_optimizer_steps=[4,8],silent_optimizer);
-@#if ALGO_GMPF
- estimation(nograph,order=2,filter_algorithm=gmf,distribution_approximation=montecarlo,number_of_particles=1000,mh_replic=0,mode_compute=8,silent_optimizer);
- estimation(nograph,order=2,filter_algorithm=gmf,distribution_approximation=montecarlo,number_of_particles=1000,mh_replic=0,mode_file=dsge_base2_mode,mode_compute=8);
- estimation(nograph,order=2,filter_algorithm=gmf,distribution_approximation=montecarlo,number_of_particles=1000,mh_replic=0,mode_file=dsge_base2_mode,mode_compute=4,mode_check);
-@#endif
+%estimation(order=2,nograph,filter_algorithm=gf,proposal_approximation=cubature,distribution_approximation=cubature,mh_replic=0,mode_compute=8,additional_optimizer_steps=[4,8],silent_optimizer);
+%estimation(order=3,nograph,filter_algorithm=gf,proposal_approximation=cubature,distribution_approximation=cubature,mh_replic=0,mode_compute=8,additional_optimizer_steps=[4,8],silent_optimizer);
-@#if ALGO_GMCF
- estimation(nograph,order=2,filter_algorithm=gmf,mh_replic=0,mode_compute=8,silent_optimizer);
- estimation(nograph,order=2,filter_algorithm=gmf,mh_replic=0,mode_compute=4,silent_optimizer,mode_file=dsge_base2_mode,mode_check);
+%estimation(order=2,nograph,filter_algorithm=gf,proposal_approximation=montecarlo,distribution_approximation=montecarlo,number_of_particles=100000,resampling=systematic,mh_replic=0,mode_compute=8,additional_optimizer_steps=[4,8],silent_optimizer);
+%estimation(order=3,nograph,filter_algorithm=gf,proposal_approximation=montecarlo,distribution_approximation=montecarlo,number_of_particles=100000,resampling=systematic,mh_replic=0,mode_compute=8,additional_optimizer_steps=[4,8],silent_optimizer);
@#endif
-@#if ALGO_ONLINE_2
- estimation(order=2,number_of_particles=1000,mode_compute=11,silent_optimizer,mh_replic=0,particle_filter_options=('liu_west_delta',0.9));
+@#if ALGO_GUF
+ estimation(order=2,nograph,filter_algorithm=gf,mh_replic=0,silent_optimizer,mode_compute=8);
+ estimation(order=3,nograph,filter_algorithm=gf,mh_replic=0,mode_compute=8,silent_optimizer,mode_check);
@#endif
-@#if ALGO_ONLINE_1
- estimation(order=1,number_of_particles=1000,mode_compute=11,silent_optimizer,mh_replic=0,particle_filter_options=('liu_west_delta',0.9));
+@#if ALGO_ONLINE
+ estimation(order=1,nograph,mode_compute=11,mh_replic=0,particle_filter_options=('liu_west_delta',0.9));
+ estimation(order=2,nograph,number_of_particles=10000,mode_compute=11,mh_replic=0,particle_filter_options=('liu_west_delta',0.9));
+ estimation(order=3,nograph,number_of_particles=10000,mode_compute=11,mh_replic=0,particle_filter_options=('liu_west_delta',0.9));
@#endif
@#if MCMC
- options_.mh_nblck = 10 ;
- options_.posterior_sampling_method = 'RWGMH';
- options_.rwgmh_scale_shock = (1e-5)*[10 10 1 1 10 10 10 1000 10 10] ;
- estimation(order=1,mh_replic=5000,mode_compute=0,mode_file=dsge_base2_mode);
+
+ estimated_params_init;
+ alp, 0.3980;
+ bet, 0.9907;
+ tet, 0.3565;
+ tau, 48.054;
+ delt, 0.0197;
+ rho, 0.9511;
+ stderr e_a, .0346;
+ stderr y, 0.0004;
+ stderr l, 0.0001;
+ stderr i, 0.0002;
+ end;
+% estimation(order=3,number_of_particles=10000,silent_optimizer,mode_compute=8,cova_compute=0,MCMC_jumping_covariance=prior_variance,mh_init_scale_factor=0.01);
+
+ estimated_params_init;
+ alp, 0.3982;
+ bet, 0.9910;
+ tet, 0.3566;
+ tau, 46.883;
+ delt, 0.0197;
+ rho, 0.9511;
+ stderr e_a, .0346;
+ stderr y, 0.0004;
+ stderr l, 0.0001;
+ stderr i, 0.0001;
+ end;
+estimation(order=3,filter_algorithm=nlkf,number_of_particles=10000,proposal_approximation=montecarlo,resampling=none,silent_optimizer,mode_compute=0,cova_compute=0,MCMC_jumping_covariance=prior_variance,mh_init_scale_factor=0.01);
+@#endif
+
+@#if SMC
+% estimation(order=1,nograph,posterior_sampling_method='hssmc');
+% estimation(order=2,nograph,posterior_sampling_method='hssmc',filter_algorithm=nlkf,proposal_approximation=montecarlo);
+% estimation(order=2,nograph,posterior_sampling_method='hssmc',number_of_particles=10000);
+% estimation(order=3,nograph,posterior_sampling_method='hssmc',number_of_particles=10000,filter_algorithm=apf,resampling=none);%,posterior_sampler_options=('particles',1000));
+ estimation(order=3,nograph,posterior_sampling_method='hssmc',filter_algorithm=nlkf,proposal_approximation=montecarlo);
@#endif
--
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