From 614b79cf72849ece17bce501ccb35e3e3b4188c4 Mon Sep 17 00:00:00 2001
From: sebastien <sebastien@ac1d8469-bf42-47a9-8791-bf33cf982152>
Date: Wed, 16 Dec 2009 13:41:22 +0000
Subject: [PATCH] Updated and enhanced tests for block and bytecode options
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3245 ac1d8469-bf42-47a9-8791-bf33cf982152
---
tests/Makefile.am | 6 +
.../{ferhat => block_bytecode}/MARK3_endo.dat | 0
.../{ferhat => block_bytecode}/MARK3_exo.dat | 0
tests/block_bytecode/fs2000_bicgstab.mod | 7 ++
tests/block_bytecode/fs2000_bytecode.mod | 7 ++
tests/block_bytecode/fs2000_common.mod | 91 ++++++++++++++
tests/block_bytecode/fs2000_gmres.mod | 7 ++
tests/block_bytecode/fs2000_lu.mod | 7 ++
tests/block_bytecode/fs2000_optpath.mod | 7 ++
tests/block_bytecode/fs2000_simk.mod | 4 +
tests/{ferhat => block_bytecode}/ireland.mod | 59 +--------
tests/{ferhat => block_bytecode}/ls2003.mod | 34 +----
tests/{ferhat => block_bytecode}/mod1.mod | 0
tests/{ferhat => block_bytecode}/multimod.mod | 0
tests/{ferhat => block_bytecode}/ramst.mod | 0
tests/{ferhat => block_bytecode}/ramst_a.mod | 4 +-
tests/ferhat/fs2000.mod | 118 ------------------
17 files changed, 143 insertions(+), 208 deletions(-)
rename tests/{ferhat => block_bytecode}/MARK3_endo.dat (100%)
rename tests/{ferhat => block_bytecode}/MARK3_exo.dat (100%)
create mode 100644 tests/block_bytecode/fs2000_bicgstab.mod
create mode 100644 tests/block_bytecode/fs2000_bytecode.mod
create mode 100644 tests/block_bytecode/fs2000_common.mod
create mode 100644 tests/block_bytecode/fs2000_gmres.mod
create mode 100644 tests/block_bytecode/fs2000_lu.mod
create mode 100644 tests/block_bytecode/fs2000_optpath.mod
create mode 100644 tests/block_bytecode/fs2000_simk.mod
rename tests/{ferhat => block_bytecode}/ireland.mod (58%)
rename tests/{ferhat => block_bytecode}/ls2003.mod (62%)
rename tests/{ferhat => block_bytecode}/mod1.mod (100%)
rename tests/{ferhat => block_bytecode}/multimod.mod (100%)
rename tests/{ferhat => block_bytecode}/ramst.mod (100%)
rename tests/{ferhat => block_bytecode}/ramst_a.mod (83%)
delete mode 100644 tests/ferhat/fs2000.mod
diff --git a/tests/Makefile.am b/tests/Makefile.am
index dc215e0c1b..26b1e11046 100644
--- a/tests/Makefile.am
+++ b/tests/Makefile.am
@@ -11,6 +11,12 @@ OCTAVE_MODS = \
ramst_initval_file.mod \
example1_varexo_det.mod \
predetermined_variables.mod \
+ block_bytecode/fs2000_simk.mod \
+ block_bytecode/fs2000_lu.mod \
+ block_bytecode/fs2000_bytecode.mod \
+ block_bytecode/ramst.mod \
+ block_bytecode/ireland.mod \
+ block_bytecode/ls2003.mod \
k_order_perturbation/fs2000k2a.mod \
k_order_perturbation/fs2000k2.mod \
k_order_perturbation/fs2000k_1.mod \
diff --git a/tests/ferhat/MARK3_endo.dat b/tests/block_bytecode/MARK3_endo.dat
similarity index 100%
rename from tests/ferhat/MARK3_endo.dat
rename to tests/block_bytecode/MARK3_endo.dat
diff --git a/tests/ferhat/MARK3_exo.dat b/tests/block_bytecode/MARK3_exo.dat
similarity index 100%
rename from tests/ferhat/MARK3_exo.dat
rename to tests/block_bytecode/MARK3_exo.dat
diff --git a/tests/block_bytecode/fs2000_bicgstab.mod b/tests/block_bytecode/fs2000_bicgstab.mod
new file mode 100644
index 0000000000..3a39594ed7
--- /dev/null
+++ b/tests/block_bytecode/fs2000_bicgstab.mod
@@ -0,0 +1,7 @@
+// Tests option block + stack_solve_algo = 3 + solve_algo = 1
+// Must be launched after fs2000_simk.mod
+
+@#define block_bytecode = 1
+@#define solve_algo = 1
+@#define stack_solve_algo = 3
+@#include "fs2000_common.mod"
diff --git a/tests/block_bytecode/fs2000_bytecode.mod b/tests/block_bytecode/fs2000_bytecode.mod
new file mode 100644
index 0000000000..880d715e5f
--- /dev/null
+++ b/tests/block_bytecode/fs2000_bytecode.mod
@@ -0,0 +1,7 @@
+// Tests option block+bytecode
+// Must be launched after fs2000_simk.mod
+
+@#define block_bytecode = 2
+@#define solve_algo = 5
+@#define stack_solve_algo = 5
+@#include "fs2000_common.mod"
diff --git a/tests/block_bytecode/fs2000_common.mod b/tests/block_bytecode/fs2000_common.mod
new file mode 100644
index 0000000000..0d86c7d468
--- /dev/null
+++ b/tests/block_bytecode/fs2000_common.mod
@@ -0,0 +1,91 @@
+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;
+
+@#if block_bytecode == 2
+model(block, bytecode);
+@#else
+@# if block_bytecode == 1
+model(block);
+@# else
+model;
+@# endif
+@#endif
+
+/*0*/ exp(gam+e_a) = dA ;
+/*1*/ log(m) = (1-rho)*log(mst) + rho*log(m(-1))+e_m;
+/*2*/ -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;
+/*3*/ l/n = W;
+/*4*/ -(psi/(1-psi))*(c*P/(1-n))+l/n = 0;
+/*5*/ R = P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(-alp)/W;
+/*6*/ 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;
+/*7*/ c+k = exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)+(1-del)*exp(-(gam+e_a))*k(-1);
+/*8*/ P*c = m;
+/*9*/ m-1+d = l;
+/*10*/ e = exp(e_a);
+/*11*/ k(-1)^alp*n^(1-alp)*exp(-alp*(gam+e_a)) = y ;
+/*12*/ gy_obs = dA*y/y(-1);
+/*13*/ gp_obs = (P/P(-1))*m(-1)/dA;
+end;
+
+initval;
+k = 6;
+m = mst;
+P = 2.25;
+c = 0.45;
+e = 1;
+W = 4;
+R = 1.02;
+d = 0.85;
+n = 0.19;
+l = 0.86;
+y = 0.6;
+gy_obs = exp(gam);
+gp_obs = exp(-gam);
+dA = exp(gam);
+e_a=0;
+e_m=0;
+end;
+
+shocks;
+var e_a; stderr 0.014;
+var e_m; stderr 0.005;
+end;
+
+options_.maxit_=10;
+steady(solve_algo = @{solve_algo});
+
+@#if block_bytecode > 0
+model_info;
+@#endif
+
+shocks;
+var e_a;
+periods 1;
+values 0.16;
+end;
+
+simul(periods=200, stack_solve_algo = @{stack_solve_algo});
+
+@#if block_bytecode > 0
+if ~exist('fs2000_simk_results.mat','file');
+ error('fs2000_simk must be run first');
+end;
+
+oo1 = load('fs2000_simk_results','oo_');
+
+err = max(max(abs(oo_.endo_simul - oo1.oo_.endo_simul)))
+disp(['Max error in simulation: ' num2str(err)])
+if err > 1e-4
+ error('Error above the threshold')
+end;
+@#endif
diff --git a/tests/block_bytecode/fs2000_gmres.mod b/tests/block_bytecode/fs2000_gmres.mod
new file mode 100644
index 0000000000..e45caee150
--- /dev/null
+++ b/tests/block_bytecode/fs2000_gmres.mod
@@ -0,0 +1,7 @@
+// Tests option block + stack_solve_algo = 2 + solve_algo = 3
+// Must be launched after fs2000_simk.mod
+
+@#define block_bytecode = 1
+@#define solve_algo = 3
+@#define stack_solve_algo = 2
+@#include "fs2000_common.mod"
diff --git a/tests/block_bytecode/fs2000_lu.mod b/tests/block_bytecode/fs2000_lu.mod
new file mode 100644
index 0000000000..08e61cf0ba
--- /dev/null
+++ b/tests/block_bytecode/fs2000_lu.mod
@@ -0,0 +1,7 @@
+// Tests option block + stack_solve_algo = 1 + solve_algo = 2
+// Must be launched after fs2000_simk.mod
+
+@#define block_bytecode = 1
+@#define solve_algo = 2
+@#define stack_solve_algo = 1
+@#include "fs2000_common.mod"
diff --git a/tests/block_bytecode/fs2000_optpath.mod b/tests/block_bytecode/fs2000_optpath.mod
new file mode 100644
index 0000000000..5b691611f6
--- /dev/null
+++ b/tests/block_bytecode/fs2000_optpath.mod
@@ -0,0 +1,7 @@
+// Tests option block + stack_solve_algo = 4 + solve_algo = 4
+// Must be launched after fs2000_simk.mod
+
+@#define block_bytecode = 1
+@#define solve_algo = 4
+@#define stack_solve_algo = 4
+@#include "fs2000_common.mod"
diff --git a/tests/block_bytecode/fs2000_simk.mod b/tests/block_bytecode/fs2000_simk.mod
new file mode 100644
index 0000000000..9f2aa75181
--- /dev/null
+++ b/tests/block_bytecode/fs2000_simk.mod
@@ -0,0 +1,4 @@
+@#define block_bytecode = 0
+@#define solve_algo = 2
+@#define stack_solve_algo = 0
+@#include "fs2000_common.mod"
diff --git a/tests/ferhat/ireland.mod b/tests/block_bytecode/ireland.mod
similarity index 58%
rename from tests/ferhat/ireland.mod
rename to tests/block_bytecode/ireland.mod
index b5ca4100c7..654b451fd2 100644
--- a/tests/ferhat/ireland.mod
+++ b/tests/block_bytecode/ireland.mod
@@ -23,10 +23,7 @@ scy = 0.0040;
shy = 0.0015;
shc = 0.0010;
-//model(block, bytecode, cutoff=0);
model(block,cutoff=0);
-//model(block);
-//model;
exp(y) = exp(a)*exp(k(-1))^theta*exp(h)^(1-theta);
a = (1-rho)*aa+rho*a(-1)+e;
exp(y) = exp(c) + exp(i);
@@ -42,19 +39,6 @@ oh = h + eoh;
end;
initval;
-/*a = 1.7;
-y = 8;
-c = 8;
-k = 10;
-i = 5;
-h = 4;
-eoy = 0;
-eoc = 0;
-eoh = 0;
-oy = y;
-oc = c;
-oh = h;
-*/
e=0;
eeoy=0;
eeoc=0;
@@ -79,55 +63,18 @@ options_.dynatol=1e-12;
options_.maxit_=5;
options_.slowc=1;
steady(solve_algo=2);
-//steady;
-options_.dynatol=4e-5;
-
-//check;
+options_.dynatol=4e-5;
shocks;
var e;
periods 1;
values 0.02;
end;
+
options_.maxit_=20;
model_info;
-simul(periods=2000, method=LU/*GMRES*//*bicgstab*/);
+simul(periods=2000, stack_solve_algo = 1);
rplot y;
rplot k;
-
-
-/*estimated_params;
-theta , 0.22, 0.1, 0.5;
-rho , 0.99, 0.7, 0.9999;
-eta , 1.0051, 1, 1.03;
-gam , 0.0045, 0.001, 0.01;
-aa , 1.8, 0.1, 4;
-r11 , 1.4187, -2, 2;
-r12 , 0.2251, -2, 2;
-r13 , -0.4441, -2, 2;
-r21 , 0.0935, -2, 2;
-r22 , 1.0236, -2, 2;
-r23 , -0.0908, -2, 2;
-r31 , 0.7775, -2, 2;
-r32 , 0.3706, -2, 2;
-r33 , 0.2398, -2, 2;
-scy , 0.0040, -2, 2;
-shy , 0.0015, -2, 2;
-shc , 0.0010, -2, 2;
-stderr e , 0.0056, 0, 0.2;
-stderr eeoy , 0.0070, 0, 0.1;
-stderr eeoc , 0.0069, 0, 0.1;
-stderr eeoh , 0.0018, 0, 0.1;
-end;
-
-varobs oy oc oh;
-
-observation_trends;
-oy (log(eta));
-oc (log(eta));
-end;
-
-estimation(datafile=idata,mode_compute=1,nograph);
-*/
diff --git a/tests/ferhat/ls2003.mod b/tests/block_bytecode/ls2003.mod
similarity index 62%
rename from tests/ferhat/ls2003.mod
rename to tests/block_bytecode/ls2003.mod
index 8dd2eb7bec..8a0b5f01ea 100644
--- a/tests/ferhat/ls2003.mod
+++ b/tests/block_bytecode/ls2003.mod
@@ -18,8 +18,6 @@ rho_pies = 0.7;
model(block, bytecode, cutoff=0);
-//model(sparse);
-//model;
y = y(+1) - (tau +alpha*(2-alpha)*(1-tau))*(R-pie(+1))-alpha*(tau +alpha*(2-alpha)*(1-tau))*dq(+1) + alpha*(2-alpha)*((1-tau)/tau)*(y_s-y_s(+1))-A(+1);
pie = exp(-rr/400)*pie(+1)+alpha*exp(-rr/400)*dq(+1)-alpha*dq+(k/(tau+alpha*(2-alpha)*(1-tau)))*y+alpha*(2-alpha)*(1-tau)/(tau*(tau+alpha*(2-alpha)*(1-tau)))*y_s;
pie = de+(1-alpha)*dq+pie_s;
@@ -54,34 +52,8 @@ var e_ys = 1.89;
var e_pies = 1.89;
end;
-/*varobs y_obs R_obs pie_obs dq de;
-
-estimated_params;
-psi1 , gamma_pdf,1.5,0.5;
-psi2 , gamma_pdf,0.25,0.125;
-psi3 , gamma_pdf,0.25,0.125;
-rho_R ,beta_pdf,0.5,0.2;
-alpha ,beta_pdf,0.3,0.1;
-rr ,gamma_pdf,2.5,1;
-k , gamma_pdf,0.5,0.25;
-tau ,gamma_pdf,0.5,0.2;
-rho_q ,beta_pdf,0.4,0.2;
-rho_A ,beta_pdf,0.5,0.2;
-rho_ys ,beta_pdf,0.8,0.1;
-rho_pies,beta_pdf,0.7,0.15;
-stderr e_R,inv_gamma_pdf,1.2533,0.6551;
-stderr e_q,inv_gamma_pdf,2.5066,1.3103;
-stderr e_A,inv_gamma_pdf,1.2533,0.6551;
-stderr e_ys,inv_gamma_pdf,1.2533,0.6551;
-stderr e_pies,inv_gamma_pdf,1.88,0.9827;
-end;
-
-estimation(datafile=data_ca1,first_obs=8,nobs=79,mh_nblocks=10,prefilter=1,mh_jscale=0.5,mh_replic=0,nograph);
-*/
-
-
options_.maxit_=100;
-steady;
+steady(solve_algo = 5);
model_info;
//check;
@@ -92,12 +64,10 @@ periods 1;
values 0.5;
end;
-//simul(periods=200,method=bicgstab);
-simul(periods=20, markowitz=0);
+simul(periods=20, markowitz=0, stack_solve_algo = 5);
rplot vv;
rplot ww;
rplot A;
rplot pie;
-//stoch_simul(periods=200,order=1);
diff --git a/tests/ferhat/mod1.mod b/tests/block_bytecode/mod1.mod
similarity index 100%
rename from tests/ferhat/mod1.mod
rename to tests/block_bytecode/mod1.mod
diff --git a/tests/ferhat/multimod.mod b/tests/block_bytecode/multimod.mod
similarity index 100%
rename from tests/ferhat/multimod.mod
rename to tests/block_bytecode/multimod.mod
diff --git a/tests/ferhat/ramst.mod b/tests/block_bytecode/ramst.mod
similarity index 100%
rename from tests/ferhat/ramst.mod
rename to tests/block_bytecode/ramst.mod
diff --git a/tests/ferhat/ramst_a.mod b/tests/block_bytecode/ramst_a.mod
similarity index 83%
rename from tests/ferhat/ramst_a.mod
rename to tests/block_bytecode/ramst_a.mod
index 57c8923add..21ad4bd24c 100644
--- a/tests/ferhat/ramst_a.mod
+++ b/tests/block_bytecode/ramst_a.mod
@@ -23,7 +23,7 @@ end;
steady;
-check;
+//check;
shocks;
var x;
@@ -31,7 +31,7 @@ periods 1 2 3 4;
values 1.1 1.2 1.3 1.4;
end;
-simul(periods=200);
+simul(periods=200, stack_solve_algo = 2);
rplot c;
rplot k;
diff --git a/tests/ferhat/fs2000.mod b/tests/ferhat/fs2000.mod
deleted file mode 100644
index ac78d80523..0000000000
--- a/tests/ferhat/fs2000.mod
+++ /dev/null
@@ -1,118 +0,0 @@
-// This file replicates the estimation of the CIA model from
-// Frank Schorfheide (2000) "Loss function-based evaluation of DSGE models"
-// Journal of Applied Econometrics, 15, 645-670.
-// the data are the ones provided on Schorfheide's web site with the programs.
-// http://www.econ.upenn.edu/~schorf/programs/dsgesel.ZIP
-// You need to have fsdat.m in the same directory as this file.
-// This file replicates:
-// -the posterior mode as computed by Frank's Gauss programs
-// -the parameter mean posterior estimates reported in the paper
-// -the model probability (harmonic mean) reported in the paper
-// This file was tested with dyn_mat_test_0218.zip
-// the smooth shocks are probably stil buggy
-//
-// The equations are taken from J. Nason and T. Cogley (1994)
-// "Testing the implications of long-run neutrality for monetary business
-// cycle models" Journal of Applied Econometrics, 9, S37-S70.
-// Note that there is an initial minus sign missing in equation (A1), p. S63.
-//
-// Michel Juillard, February 2004
-@#define bytecode = 1
-@#define block = 1
-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;
-
-@#if block == 1
- @#if bytecode == 1
- model(block, bytecode);
- @#else
- model(block);
- @#endif
-@#else
- model;
-@#endif
-/*0*/ exp(gam+e_a) = dA ;
-/*1*/ log(m) = (1-rho)*log(mst) + rho*log(m(-1))+e_m;
-/*2*/ -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;
-/*3*/ l/n = W;
-/*4*/ -(psi/(1-psi))*(c*P/(1-n))+l/n = 0;
-/*5*/ R = P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(-alp)/W;
-/*6*/ 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;
-/*7*/ c+k = exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)+(1-del)*exp(-(gam+e_a))*k(-1);
-/*8*/ P*c = m;
-/*9*/ m-1+d = l;
-/*10*/ e = exp(e_a);
-/*11*/ k(-1)^alp*n^(1-alp)*exp(-alp*(gam+e_a)) = y ;
-/*12*/ gy_obs = dA*y/y(-1);
-/*13*/ gp_obs = (P/P(-1))*m(-1)/dA;
-end;
-
-initval;
-k = 6;
-m = mst;
-P = 2.25;
-c = 0.45;
-e = 1;
-W = 4;
-R = 1.02;
-d = 0.85;
-n = 0.19;
-l = 0.86;
-y = 0.6;
-gy_obs = exp(gam);
-gp_obs = exp(-gam);
-dA = exp(gam);
-e_a=0;
-e_m=0;
-end;
-
-shocks;
-var e_a; stderr 0.014;
-var e_m; stderr 0.005;
-end;
-
-
-
-options_.maxit_=10;
-@#if bytecode == 1
- steady(solve_algo = 5);
-@#else
- steady(solve_algo = 4);
-@#endif
-
-model_info;
-
-
-@#if block == 0
- check;
-@#endif
-
-shocks;
-var e_a;
-periods 1;
-values 0.16;
-end;
-
-@#if block == 1
- @#if bytecode == 1
- simul(periods=200, stack_solve_algo = 5);
- @#else
- simul(periods=200, stack_solve_algo = 1);
- @#endif
-@#else
- simul(periods=200, stack_solve_algo = 0);
-@#endif
-
-rplot y;
-rplot k;
-rplot c;
--
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