From 6f063342524f7ac0128dc07822b804a68d66a517 Mon Sep 17 00:00:00 2001
From: Johannes Pfeifer <jpfeifer@gmx.de>
Date: Tue, 28 Jan 2025 12:37:27 +0100
Subject: [PATCH] Add integration test for newrate with analytic_derivation
Related to #1935
---
meson.build | 1 +
.../fs2000_analytic_derivation_newrat.mod | 80 +++++++++++++++++++
2 files changed, 81 insertions(+)
create mode 100644 tests/analytic_derivatives/fs2000_analytic_derivation_newrat.mod
diff --git a/meson.build b/meson.build
index 6a3458b934..126982f044 100644
--- a/meson.build
+++ b/meson.build
@@ -823,6 +823,7 @@ mod_and_m_tests = [
{ 'test' : [ 'estimation/slice/fs2000_slice.mod' ],
'extra' : [ 'estimation/fsdat_simul.m' ] },
{ 'test' : [ 'analytic_derivatives/fs2000_analytic_derivation.mod' ] },
+ { 'test' : [ 'analytic_derivatives/fs2000_analytic_derivation_newrat.mod' ] },
{ 'test' : [ 'analytic_derivatives/BrockMirman_PertParamsDerivs.mod' ],
'extra' : [ 'analytic_derivatives/nBrockMirmanSYM.mat' ] },
{ 'test' : [ 'analytic_derivatives/burnside_3_order_PertParamsDerivs.mod' ] },
diff --git a/tests/analytic_derivatives/fs2000_analytic_derivation_newrat.mod b/tests/analytic_derivatives/fs2000_analytic_derivation_newrat.mod
new file mode 100644
index 0000000000..11b5b1fe31
--- /dev/null
+++ b/tests/analytic_derivatives/fs2000_analytic_derivation_newrat.mod
@@ -0,0 +1,80 @@
+// Tests the analytic_derivation option
+
+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;
+
+steady_state_model;
+ 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;
+end;
+
+shocks;
+var e_a; stderr 0.014;
+var e_m; stderr 0.005;
+end;
+
+stoch_simul(order=1,periods=200, irf=0,nomoments,noprint);
+send_endogenous_variables_to_workspace;
+save('my_data.mat','gp_obs','gy_obs');
+
+estimated_params;
+alp, 0.356;
+rho, 0.129;
+psi, 0.65;
+stderr e_a, 0.035449, 0, inf;
+stderr e_m, 0.008862, 0, inf;
+end;
+
+varobs gp_obs gy_obs;
+
+options_.solve_tolf = 1e-12;
+
+estimation(order=1,mode_compute=5,analytic_derivation,kalman_algo=2,datafile=my_data,nobs=192,mh_replic=0,mh_nblocks=2,mh_jscale=0.8,plot_priors=0);
--
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