Commit 4cbe2d46 authored by Houtan Bastani's avatar Houtan Bastani

modify test to include nested expectations

parent ce9fe30a
......@@ -26,6 +26,7 @@ MODFILES = \
expectations/expectation.mod \
expectations/expectation_ss.mod \
expectations/expectation_ss_old.mod \
expectations/expectation_nested.mod \
steady_state/walsh1_initval.mod \
steady_state/walsh1_old_ss.mod \
steady_state/walsh1_ssm.mod \
......
// Example 1 from Collard's guide to Dynare
var y, c, k, a, h, b;
varexo e, u;
parameters beta, rho, alpha, delta, theta, psi, tau;
alpha = 0.36;
rho = 0.95;
tau = 0.025;
beta = 0.99;
delta = 0.025;
psi = 0;
theta = 2.95;
phi = 0.1;
model;
c*theta*h^(1+psi)=expectation(1)(((1-alpha)*y)+expectation(3)((1-alpha)*y));
k = beta*(((exp(b)*c)/(exp(b(+1))*c(+1)))
*(exp(b(+1))*alpha*y(+1)+(1-delta)*k));
y = exp(a)*(k(-1)^alpha)*(h^(1-alpha));
k = exp(b)*(y-c)+(1-delta)*k(-1);
a = rho*a(-1)+tau*b(-1) + e;
b = tau*a(-1)+rho*b(-1) + u;
end;
initval;
y = 1.08068253095672;
c = 0.80359242014163;
h = 0.29175631001732;
k = 11.08360443260358;
a = 0;
b = 0;
e = 0;
u = 0;
end;
shocks;
var e; stderr 0.009;
var u; stderr 0.009;
var e, u = phi*0.009*0.009;
end;
stoch_simul(order=1,irf=0);
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