From c46eef685dd6084017d8a53ad2afdcf1969f8cfa Mon Sep 17 00:00:00 2001
From: Willi Mutschler <willi@mutschler.eu>
Date: Thu, 21 Dec 2023 01:46:27 +0100
Subject: [PATCH] irf_matching: add test for interface
---
meson.build | 6 +
.../method_of_moments/CET/cet_interface.mod | 183 ++++++++++++++++++
2 files changed, 189 insertions(+)
create mode 100644 tests/estimation/method_of_moments/CET/cet_interface.mod
diff --git a/meson.build b/meson.build
index 8e9d27d68e..9c33d94d78 100644
--- a/meson.build
+++ b/meson.build
@@ -911,6 +911,12 @@ mod_and_m_tests = [
'extra' : [ 'estimation/method_of_moments/AFVRR/AFVRR_common.inc',
'estimation/method_of_moments/AFVRR/AFVRR_data.mat',
'estimation/method_of_moments/AFVRR/AFVRR_steady_helper.m' ] },
+ { 'test' : [ 'estimation/method_of_moments/CET/cet_interface.mod' ],
+ 'extra' : [ 'estimation/method_of_moments/CET/cet_data.mat',
+ 'estimation/method_of_moments/CET/cet_irf_matching_file.m',
+ 'estimation/method_of_moments/CET/cet_model.inc',
+ 'estimation/method_of_moments/CET/cet_original_mode.mat',
+ 'estimation/method_of_moments/CET/cet_steady_helper.m' ] },
{ 'test' : [ 'estimation/method_of_moments/CET/cet_imh.mod' ],
'extra' : [ 'estimation/method_of_moments/CET/cet_data.mat',
'estimation/method_of_moments/CET/cet_irf_matching_file.m',
diff --git a/tests/estimation/method_of_moments/CET/cet_interface.mod b/tests/estimation/method_of_moments/CET/cet_interface.mod
new file mode 100644
index 0000000000..c074da8400
--- /dev/null
+++ b/tests/estimation/method_of_moments/CET/cet_interface.mod
@@ -0,0 +1,183 @@
+% -------------------------------------------------------------------------
+% Functionality testing of interface for IRF matching
+% -------------------------------------------------------------------------
+
+% Copyright © 2023 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/>.
+
+@#include "cet_model.inc"
+xx = [23,24,25];
+ww = [51,52];
+
+matched_irfs(overwrite);
+var GDPAGG; varexo epsR_eps; periods 5; values 7; weights 25;
+var GDPAGG; varexo mupsi_eps; periods 1,2; values 17,18; weights 37,38;
+var RAGG; varexo muz_eps; periods 3:5; values (xx);
+var ukAGG; varexo mupsi_eps; periods 1:2; values 30; weights (ww);
+
+varexo epsR_eps;
+var wAGG;
+periods 1, 13:15, 2:12;
+values 2, (xx), 15;
+weights 3, (xx), 4;
+end;
+
+method_of_moments(mom_method = irf_matching
+, cova_compute=0
+, irf_matching_file = cet_irf_matching_file
+, mcmc_jumping_covariance = prior_variance
+, mh_jscale = 0.5
+, mh_nblocks = 1
+, mh_replic=1000
+, mode_compute = 0
+, mode_file = cet_original_mode
+, plot_priors = 0
+, posterior_sampling_method = 'independent_metropolis_hastings'
+);
+
+
+%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
+%% CHECKS ON INTERFACE AND TRANSFORMATIONS %%
+%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
+verbatim;
+
+% check on matched_irfs
+matched_irfs = [
+ {'GDPAGG'} {'epsR_eps'} {[ {[5] [ 7] [25]} ]};
+ {'GDPAGG'} {'mupsi_eps'} {[ {[1] [17] [37]};
+ {[2] [18] [38]} ]};
+ {'RAGG'} {'muz_eps'} {[ {[3 4 5] [23 24 25] [1]} ]};
+ {'ukAGG'} {'mupsi_eps'} {[ {[1 2] [30] [51 52]} ]};
+ {'wAGG'} {'epsR_eps'} {[ {[1] [2] [3]};
+ {[13:15] [23 24 25] [23 24 25]};
+ {[2:12] [15] [4]}; ]};
+];
+if ~isequal(M_.matched_irfs,matched_irfs)
+ error('Something wrong with the transformation of the matched_irfs block!')
+else
+ fprintf('matched_irfs transformation was successful!\n\n')
+end
+
+% check on data_moments
+data_moments = [7 2 15 15 15 15 15 15 15 15 15 15 15 23 24 25 23 24 25 17 18 30 30]';
+if ~isequal(oo_.mom.data_moments,data_moments)
+ error('Something wrong with the creation of data_moments!')
+else
+ fprintf('creation of data_moments was successful!\n\n')
+end
+
+% check on weighting matrix
+weighting_mat = sparse(size(data_moments,1));
+weighting_mat(1,1) = 25;
+weighting_mat(2,2) = 3;
+weighting_mat(3,3) = 4;
+weighting_mat(4,4) = 4;
+weighting_mat(5,5) = 4;
+weighting_mat(6,6) = 4;
+weighting_mat(7,7) = 4;
+weighting_mat(8,8) = 4;
+weighting_mat(9,9) = 4;
+weighting_mat(10,10) = 4;
+weighting_mat(11,11) = 4;
+weighting_mat(12,12) = 4;
+weighting_mat(13,13) = 4;
+weighting_mat(14,14) = 23;
+weighting_mat(15,15) = 24;
+weighting_mat(16,16) = 25;
+weighting_mat(17,17) = 1;
+weighting_mat(18,18) = 1;
+weighting_mat(19,19) = 1;
+weighting_mat(20,20) = 37;
+weighting_mat(21,21) = 38;
+weighting_mat(22,22) = 51;
+weighting_mat(23,23) = 52;
+if ~isequal(oo_.mom.weighting_info.W,weighting_mat)
+ error('Something wrong with the creation of weighting_info.W!')
+else
+ fprintf('creation of weighting_info.W was successful!\n\n')
+end
+
+end;//verbatim
+
+
+%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
+%% SIMPLIFIED EXAMPLE TO TEST INTERFACE ON WEIGHTING MATRIX %%
+%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
+
+matched_irfs(overwrite);
+var GDPAGG; varexo epsR_eps; periods 1 3; values 11 13; weights 111 222;
+var RAGG; varexo muz_eps; periods 2 4; values 22 24; weights 333 444;
+end;
+
+matched_irfs_weights(overwrite);
+RAGG(2), muz_eps, GDPAGG(1), epsR_eps, 555;
+GDPAGG(1), epsR_eps, RAGG(4), muz_eps, 666;
+RAGG(2), muz_eps, GDPAGG(3), epsR_eps, 777;
+GDPAGG(3), epsR_eps, RAGG(4), muz_eps, 888;
+GDPAGG(1), epsR_eps, RAGG(1), muz_eps, 999;
+end;
+
+verbatim;
+% check on matched_irfs_weights
+matched_irfs_weights = [
+ {'GDPAGG'} {[1]} {'epsR_eps'} {'RAGG' } {[1]} {'muz_eps' } {[999]};
+ {'GDPAGG'} {[1]} {'epsR_eps'} {'RAGG' } {[4]} {'muz_eps' } {[666]};
+ {'GDPAGG'} {[3]} {'epsR_eps'} {'RAGG' } {[4]} {'muz_eps' } {[888]};
+ {'RAGG' } {[2]} {'muz_eps' } {'GDPAGG'} {[1]} {'epsR_eps'} {[555]};
+ {'RAGG' } {[2]} {'muz_eps' } {'GDPAGG'} {[3]} {'epsR_eps'} {[777]};
+];
+if ~isequal(M_.matched_irfs_weights,matched_irfs_weights)
+ error('Something wrong with the transformation of the matched_irfs_weights block!')
+else
+ fprintf('matched_irfs_weights transformation was successful!\n\n')
+end
+
+% test transformation function
+[data_moments, W, irfIndex] = mom.matched_irfs_blocks(M_.matched_irfs, M_.matched_irfs_weights, options_mom_.varobs_id, length(options_mom_.varobs_id), M_.exo_nbr, M_.endo_names, M_.exo_names);
+
+if ~isequal(data_moments, [11 13 22 24]')
+ error('Something wrong with the creation of data_moments in simple example!');
+else
+ fprintf('simple example: creation of data_moments was successful!\n\n');
+end
+
+if ~isequal(irfIndex, [1 3 58 60]')
+ error('Something wrong with the creation of irfIndex in simple example!');
+else
+ fprintf('simple example: creation of irfIndex was successful!\n\n')
+end
+
+W0 = eye(4);
+W0(1,1) = 111; % (GDPAGG(1) epsR_eps) x (GDPAGG(1) epsR_eps)
+W0(2,2) = 222; % (GDPAGG(3) epsR_eps) x (GDPAGG(3) epsR_eps)
+W0(3,3) = 333; % (RAGG(2) muz_eps) x (RAGG(2) muz_eps)
+W0(4,4) = 444; % (RAGG(4) muz_eps) x (RAGG(4) muz_eps)
+W0(1,3) = 555; % (GDPAGG(1) epsR_eps) x (RAGG(2) muz_eps)
+W0(3,1) = 555; % (RAGG(2) muz_eps) x (GDPAGG(1) epsR_eps)
+W0(1,4) = 666; % (GDPAGG(1) epsR_eps) x (RAGG(4) muz_eps)
+W0(4,1) = 666; % (RAGG(4) muz_eps) x (GDPAGG(1) epsR_eps)
+W0(2,3) = 777; % (GDPAGG(3) epsR_eps) x (RAGG(2) muz_eps)
+W0(3,2) = 777; % (RAGG(2) muz_eps) x (GDPAGG(3) epsR_eps)
+W0(2,4) = 888; % (GDPAGG(3) epsR_eps) x (RAGG(4) muz_eps)
+W0(4,2) = 888; % (RAGG(4) muz_eps) x (GDPAGG(3) epsR_eps)
+
+if ~isequal(W, W0)
+ error('Something wrong with the creation of W in simple example!')
+else
+ fprintf('simple example: creation of W was successful!\n\n')
+end
+end;
\ No newline at end of file
--
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