diff --git a/preprocessor b/preprocessor index 045e81d0d7ec1f4c82d7d8f73c36ad2213e6f3a6..bbc621ca6fdc0382fc7ab84b451fa801343fc4fd 160000 --- a/preprocessor +++ b/preprocessor @@ -1 +1 @@ -Subproject commit 045e81d0d7ec1f4c82d7d8f73c36ad2213e6f3a6 +Subproject commit bbc621ca6fdc0382fc7ab84b451fa801343fc4fd diff --git a/tests/Makefile.am b/tests/Makefile.am index 5ac5af669e23448d7f3e08ec8524575c4a2cea1a..ed47492f15fb599856950a102536a8961ba2607a 100644 --- a/tests/Makefile.am +++ b/tests/Makefile.am @@ -191,6 +191,7 @@ MODFILES = \ identification/as2007/as2007_QT.mod \ identification/as2007/as2007_QT_equal_autocorr.mod \ identification/as2007/as2007_order_1_2_3.mod \ + identification/as2007/as2007_order3_no_stoch_simul.mod \ identification/BrockMirman/BrockMirman.mod \ identification/cgg/cgg_criteria_differ.mod \ identification/ident_unit_root/ident_unit_root.mod \ diff --git a/tests/identification/as2007/as2007_order3_no_stoch_simul.mod b/tests/identification/as2007/as2007_order3_no_stoch_simul.mod new file mode 100644 index 0000000000000000000000000000000000000000..b01d36e5e49eec0280781175c8c950cebf865c70 --- /dev/null +++ b/tests/identification/as2007/as2007_order3_no_stoch_simul.mod @@ -0,0 +1,106 @@ +% This is a regression test for issue preprocessor#40 +% (“identification†without “stoch_simulâ€) + +%this is the mod file used in replication files of An and Schorfheide (2007) +% modified to include some obvious and artificial identification failures +% and to check whether all kronflags are working +% created by Willi Mutschler (willi@mutschler.eu) + +var y R g z c dy p YGR INFL INT; +varobs y R g z c dy p YGR INFL INT; +varexo e_r e_g e_z; +parameters sigr sigg sigz tau phi psi1 psi2 rhor rhog rhoz rrst pist gamst nu cyst dumpy dumpyrhog; + +rrst = 1.0000; +pist = 3.2000; +gamst= 0.5500; +tau = 2.0000; +nu = 0.1000; +kap = 0.3300; +phi = tau*(1-nu)/nu/kap/exp(pist/400)^2; +cyst = 0.8500; +psi1 = 1.5000; +psi2 = 0.1250; +rhor = 0.7500; +rhog = 0.9500; +rhoz = 0.9000; +sigr = 0.2; +sigg = 0.6; +sigz = 0.3; +dumpy = 0; +dumpyrhog = 1; + +model; +#pist2 = exp(pist/400); +#rrst2 = exp(rrst/400); +#bet = 1/rrst2; +#gst = 1/cyst; +#cst = (1-nu)^(1/tau); +#yst = cst*gst; +1 = exp(-tau*c(+1)+tau*c+R-z(+1)-p(+1)); +(1-nu)/nu/phi/(pist2^2)*(exp(tau*c)-1) = (exp(p)-1)*((1-1/2/nu)*exp(p)+1/2/nu) - bet*(exp(p(+1))-1)*exp(-tau*c(+1)+tau*c+dy(+1)+p(+1)); +exp(c-y) = exp(-g) - phi*pist2^2*gst/2*(exp(p)-1)^2; +R = rhor*R(-1) + (1-rhor)*psi1*p + (1-rhor)*psi2*(y-g) + sigr*e_r; +g = dumpyrhog*rhog*g(-1) + sigg*e_g; +z = rhoz*z(-1) + sigz*e_z; +YGR = gamst+100*(dy+z); +INFL = pist+400*p; +INT = pist+rrst+4*gamst+400*R; +dy = y - y(-1); +end; + +shocks; +var e_r = 0.6^2; +var e_g = 0.5^2; +var e_z = 0.4^2; +corr e_r, e_g = 0.3; +corr e_r, e_z = 0.2; +corr e_z, e_g = 0.1; +end; + +steady_state_model; +z=0; g=0; c=0; y=0; p=0; R=0; dy=0; +YGR=gamst; INFL=pist; INT=pist+rrst+4*gamst; +end; + +estimated_params; +tau, 2, 1e-5, 10, gamma_pdf, 2, 0.5; + +%these parameters do not enter the linearized solution +cyst, 0.85, 1e-5, 0.99999, beta_pdf, 0.85, 0.1; +sigg, 0.6, 1e-8, 5, inv_gamma_pdf, 0.4, 4; +rhoz, 0.9, 1e-5, 0.99999, beta_pdf, 0.66, 0.15; +corr e_r,e_g, 0.3, 1e-8, 5, inv_gamma_pdf, 0.4, 4; +corr e_z,e_g, 0.3, 1e-8, 5, inv_gamma_pdf, 0.4, 4; +corr e_z,e_r, 0.3, 1e-8, 5, inv_gamma_pdf, 0.4, 4; + +%these parameters could only be identified from the steady state of YGR INFL and INT, however, we observer y pi R instead +rrst, 1, 1e-5, 10, gamma_pdf, 0.8, 0.5; +gamst, 0.55, -5, 5, normal_pdf, 0.4, 0.2; +dumpy, 0, -10, 10, normal_pdf, 0, 1; + +%these parameters jointly determine the slope kappa of the linearized new keynesian phillips curve +pist, 3.2, 1e-5, 20, gamma_pdf, 4, 2; +nu, 0.1, 1e-5, 0.99999, beta_pdf, 0.1, .05; +phi, 50, 1e-5, 100, gamma_pdf, 50, 20; + +%these parameters are pairwise collinear as one should not use both formulations for the standard error of a shock +sigz, 0.3, 1e-8, 5, inv_gamma_pdf, 0.4, 4; +stderr e_z, 0.3, 1e-8, 5, inv_gamma_pdf, 0.4, 4; + +%these parameters are pairwise collinear as they are multiplicative +rhog, 0.95, 1e-5, 0.99999, beta_pdf, 0.8, 0.1; +dumpyrhog, 1, -10, 10, normal_pdf, 1, 1; + +%these parameters are jointly not identified due to the specification of the Taylor rule +psi1, 1.5, 1e-5, 10, gamma_pdf, 1.5, 0.25; +psi2, 0.125, 1e-5, 10, gamma_pdf, 0.5, 0.25; +rhor, 0.75, 1e-5, 0.99999, beta_pdf, 0.5, 0.2; +stderr e_r, 0.2, 1e-8, 5, inv_gamma_pdf, 0.3, 4; + +end; + +steady; +check; + +identification(order=3, parameter_set=calibration, grid_nbr=10);