From 7f497fb1ef28428f573450d3504fc2be16634434 Mon Sep 17 00:00:00 2001
From: Johannes Pfeifer <jpfeifer@gmx.de>
Date: Fri, 7 Feb 2025 08:29:09 +0100
Subject: [PATCH] testsuite: split particle unit test in separate files
---
meson.build | 7 ++-
tests/particle/dsge_base.inc | 56 +++++++++++++++++++
tests/particle/dsge_base2.mod | 71 ++-----------------------
tests/particle/dsge_base_HSSMC_DSMH.mod | 35 ++++++++++++
tests/particle/dsge_base_Liu_West.mod | 32 +++++++++++
5 files changed, 131 insertions(+), 70 deletions(-)
create mode 100644 tests/particle/dsge_base.inc
create mode 100644 tests/particle/dsge_base_HSSMC_DSMH.mod
create mode 100644 tests/particle/dsge_base_Liu_West.mod
diff --git a/meson.build b/meson.build
index 126982f044..96b3a6dfb1 100644
--- a/meson.build
+++ b/meson.build
@@ -1768,11 +1768,14 @@ mod_and_m_tests = [
{ 'test' : [ 'ecb/pooled_fgls/test_param_names.mod' ] },
# Particle files
- { 'test' : [ 'particle/dsge_base2.mod' ],
+ { 'test' : [ 'particle/dsge_base2.mod',
+ 'particle/dsge_base_Liu_West.mod',
+ 'particle/dsge_base_HSSMC_DSMH.mod',],
'extra' : [ 'particle/risky.m',
'particle/extreme.m',
'particle/benchmark.m',
- 'particle/mysample.m'] },
+ 'particle/mysample.m',
+ 'particle/dsge_base.inc'] },
{ 'test' : [ 'particle/first_spec.mod',
'particle/first_spec_hssmc.mod',
'particle/local_state_space_iteration_k_test.mod',
diff --git a/tests/particle/dsge_base.inc b/tests/particle/dsge_base.inc
new file mode 100644
index 0000000000..1c9e0ce120
--- /dev/null
+++ b/tests/particle/dsge_base.inc
@@ -0,0 +1,56 @@
+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;
+
+varobs y l i ;
+
+%data(file='./risky.m');
+%stoch_simul(order=5,periods=1000);
+%datatomfile('mysample')
+%return;
+
+data(file='./mysample.m',first_obs=801Y,nobs=50); %no measurement errors added in the simulated data
diff --git a/tests/particle/dsge_base2.mod b/tests/particle/dsge_base2.mod
index 2b3873ec5a..c5e5f3b59f 100644
--- a/tests/particle/dsge_base2.mod
+++ b/tests/particle/dsge_base2.mod
@@ -8,7 +8,7 @@
@#endif
@#ifndef ALGO_SIR
- @#define ALGO_SIR = 0
+ @#define ALGO_SIR = 1
@#endif
@#ifndef ALGO_APF
@@ -36,58 +36,13 @@
@#endif
@#ifndef DSMH
- @#define DSMH = 1
+ @#define DSMH = 0
@#endif
%%
-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;
+@#include "dsge_base.inc"
-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;
@@ -102,14 +57,6 @@ estimated_params_init;
stderr i, .001;
end;
-varobs y l i ;
-
-%data(file='./risky.m');
-%stoch_simul(order=5,periods=1000);
-%datatomfile('mysample')
-%return;
-
-data(file='./mysample.m',first_obs=801Y,nobs=50); %no measurement errors added in the simulated data
@#if LINEAR_KALMAN
estimation(nograph,order=1,mode_compute=8,silent_optimizer,mh_replic=0,additional_optimizer_steps=[8 4],mode_check);
@@ -192,15 +139,3 @@ estimation(order=3,nograph,filter_algorithm=gf,proposal_approximation=montecarlo
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 HSSMC
- estimation(order=1,posterior_sampling_method='hssmc',posterior_sampler_options=('particles',1000));
-% estimation(order=2,posterior_sampling_method='hssmc',posterior_sampler_options=('particles',1000));
-% estimation(order=3,posterior_sampling_method='hssmc',filter_algorithm=nlkf,proposal_approximation=montecarlo,number_of_particles=500,posterior_sampler_options=('particles',500));
-@#endif
-
-@#if DSMH
- estimation(order=1,posterior_sampling_method='dsmh',posterior_sampler_options=('particles',200));
-% 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
diff --git a/tests/particle/dsge_base_HSSMC_DSMH.mod b/tests/particle/dsge_base_HSSMC_DSMH.mod
new file mode 100644
index 0000000000..4767fa95ad
--- /dev/null
+++ b/tests/particle/dsge_base_HSSMC_DSMH.mod
@@ -0,0 +1,35 @@
+@#ifndef HSSMC
+ @#define HSSMC = 1
+@#endif
+
+@#ifndef DSMH
+ @#define DSMH = 1
+@#endif
+
+@#include "dsge_base.inc"
+
+
+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;
+
+@#if HSSMC
+ estimation(order=1,posterior_sampling_method='hssmc',posterior_sampler_options=('particles',1000));
+% estimation(order=2,posterior_sampling_method='hssmc',posterior_sampler_options=('particles',1000));
+% estimation(order=3,posterior_sampling_method='hssmc',filter_algorithm=nlkf,proposal_approximation=montecarlo,number_of_particles=500,posterior_sampler_options=('particles',500));
+@#endif
+
+@#if DSMH
+ estimation(order=1,posterior_sampling_method='dsmh',posterior_sampler_options=('particles',200));
+% 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
\ No newline at end of file
diff --git a/tests/particle/dsge_base_Liu_West.mod b/tests/particle/dsge_base_Liu_West.mod
new file mode 100644
index 0000000000..4550928117
--- /dev/null
+++ b/tests/particle/dsge_base_Liu_West.mod
@@ -0,0 +1,32 @@
+@#ifndef ALGO_ONLINE
+ @#define ALGO_ONLINE = 1
+@#endif
+
+@#include "dsge_base.inc"
+
+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;
+options_.TeX=true;
+
+@#if ALGO_ONLINE
+ // estimation(order=1,posterior_sampling_method='online',posterior_sampler_options=('particles',100));
+ // estimation(order=2,posterior_sampling_method='online',posterior_sampler_options=('particles',100));
+ estimation(order=3,posterior_sampling_method='online',filter_algorithm=nlkf,proposal_approximation=montecarlo,posterior_sampler_options=('particles',100));
+@#endif
+
+collect_latex_files;
+[status, cmdout]=system(['pdflatex -halt-on-error -interaction=nonstopmode ' M_.fname '_TeX_binder.tex']);
+if status
+ cmdout
+ error('TeX-File did not compile.')
+end
--
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