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/*
* Example 1 from F. Collard (2001): "Stochastic simulations with DYNARE:
* A practical guide" (see "guide.pdf" in the documentation directory).
*/
/*
* Copyright © 2001-2022 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/>.
*/
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)=(1-alpha)*y;
k = beta*(((b*c)/(b(+1)*c(+1)))
*(b(+1)*alpha*y(+1)+(1-delta)*k));
y = a*(k(-1)^alpha)*(h^(1-alpha));
k = b*(y-c)+(1-delta)*k(-1);
log(a) = rho*log(a(-1))+tau*log(b(-1)) + e;
log(b) = tau*log(a(-1))+rho*log(b(-1)) + u;
end;
initval;
y = 1.08068253095672;
c = 0.80359242014163;
h = 0.29175631001732;
k = 11.08360443260358;
a = 1;
b = 1;
end;
resid;
shocks;
var e; stderr 0.009;
var u; stderr 0.009;
var e, u = phi*0.009*0.009;
end;
histval;
k(0) = 11.08;
a(0) = 1.2;
b(0) = 1;
end;
stoch_simul(loglinear,order=1,periods=1000);
forecast;
load results_exp_histval;
if max(max(abs(oo_.dr.ghx-oo_exp.dr.ghx)))>1e-10
error('Option loglinear wrong, ghx not equal')
end
if max(max(abs(oo_.dr.ghu-oo_exp.dr.ghu)))>1e-10
error('Option loglinear wrong, ghu not equal')
end
if max(max(abs(oo_.irfs.y_e-oo_exp.irfs.y_e)))>1e-10
error('Option loglinear wrong, IRFs not equal')
end
if max(max(abs(oo_.irfs.y_u-oo_exp.irfs.y_u)))>1e-10
error('Option loglinear wrong, ghu not equal')
end
if max(max(abs(oo_.mean-oo_exp.mean)))>1e-10
error('Option loglinear wrong, mean not equal')
end
if max(max(abs(oo_.dr.ys-oo_exp.dr.ys)))>1e-10
error('Option loglinear wrong, ys not equal')
end
if max(max(abs(oo_.steady_state-oo_exp.steady_state)))>1e-10
error('Option loglinear wrong, steady_state not equal')
end
if max(max(abs(struct2array(oo_.forecast.Mean)-struct2array(oo_exp.forecast.Mean))))>1e-10 || ...
max(max(abs(struct2array(oo_.forecast.HPDinf)-struct2array(oo_exp.forecast.HPDinf))))>1e-10 || ...
max(max(abs(struct2array(oo_.forecast.HPDsup)-struct2array(oo_exp.forecast.HPDsup))))>1e-10
error('Option loglinear wrong, forecast not equal')
end
conditional_forecast_paths;
var a;
periods 1 2 ;
values 0.01 -0.02;
var b;
periods 1 2;
values 0.05 0;
end;
conditional_forecast(parameter_set=calibration, controlled_varexo=(u,e));
forecasts=oo_.conditional_forecast;
if max(max(abs(struct2array(forecasts.cond.Mean)-struct2array(conditional_forecasts_exp.cond.Mean))))>1e-10 || ...
max(max(abs(struct2array(forecasts.cond.ci)-struct2array(conditional_forecasts_exp.cond.ci))))>1e-10 || ...
max(max(abs(struct2array(forecasts.uncond.Mean)-struct2array(conditional_forecasts_exp.uncond.Mean))))>1e-10 || ...
max(max(abs(struct2array(forecasts.uncond.ci)-struct2array(conditional_forecasts_exp.uncond.ci))))>1e-10
error('Option loglinear wrong, conditional forecast not equal')
end
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