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var y y_s R pie dq pie_s de A y_obs pie_obs R_obs;
varexo e_R e_q e_ys e_pies e_A;
parameters psi1 psi2 psi3 rho_R tau alpha rr k rho_q rho_A rho_ys rho_pies;
psi1 = 1.54;
psi2 = 0.25;
psi3 = 0.25;
rho_R = 0.5;
alpha = 0.3;
rr = 2.51;
k = 0.5;
tau = 0.5;
rho_q = 0.4;
rho_A = 0.2;
rho_ys = 0.9;
rho_pies = 0.7;
model(linear);
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;
R = rho_R*R(-1)+(1-rho_R)*(psi1*pie+psi2*(y+alpha*(2-alpha)*((1-tau)/tau)*y_s)+psi3*de)+e_R;
dq = rho_q*dq(-1)+e_q;
y_s = rho_ys*y_s(-1)+e_ys;
pie_s = rho_pies*pie_s(-1)+e_pies;
A = rho_A*A(-1)+e_A;
y_obs = y-y(-1)+A;
pie_obs = 4*pie;
R_obs = 4*R;
end;
epilogue;
// annualized level of y
ya = exp(y)+exp(y(-1))+exp(y(-2))+exp(y(-3));
// annualized growth rate of y
gya = ya/ya(-4)-1;
end;
shocks;
var e_R = 1.25^2;
var e_q = 2.5^2;
var e_A = 1.89;
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='../ls2003/data_ca1',silent_optimizer,first_obs=8,nobs=79,mh_nblocks=10,prefilter=1,mh_jscale=0.5,mh_replic=0,tex);
close all
shock_groups(name=trade);
supply = e_A ;
trade = e_q ;
monetary = e_R ;
end;
shock_groups(name=row);
supply = e_A ;
'RoW shocks' = e_q e_ys e_pies ;
monetary = e_R ;
end;
init2shocks;
dq e_q;
A e_A;
end;
options_.initial_date=dates('1989Q4'); % date arbitrarily set for testing purposes
shock_decomposition(nograph, with_epilogue);
// test for nothing to squeeze
squeeze_shock_decomposition;
// standard plot
plot_shock_decomposition y_obs R_obs pie_obs dq de;
// grouped shocks
plot_shock_decomposition(use_shock_groups=trade) y_obs R_obs pie_obs dq de;
// test datailed, custom name and yoy plots
plot_shock_decomposition(detail_plot, fig_name = MR, type = yoy) y_obs R_obs pie_obs dq de;
// testing init2shocks
initial_condition_decomposition(detail_plot, type=aoa, steadystate, write_xls, plot_init_date=1991Q1, plot_end_date=1995Q4) R_obs;
plot_shock_decomposition(init2shocks) y_obs R_obs pie_obs dq de;
plot_shock_decomposition(init2shocks,use_shock_groups=trade) y_obs R_obs pie_obs dq de;
// testing flip and diff
plot_shock_decomposition(diff, use_shock_groups=trade) y_obs;
plot_shock_decomposition(flip, use_shock_groups=trade) de;
close all,
// testing realtime decomposition
// first compute realtime decompositions [pre-processor not yet available]
realtime_shock_decomposition(forecast=8, save_realtime=[5 9 13 17 21 25 29 33 37 41 45 49 53 57 61 65 69 73 77]) y_obs R_obs pie_obs dq de;
// test squeeze
squeeze_shock_decomposition;
//realtime pooled
plot_shock_decomposition(realtime = 1) y_obs R_obs pie_obs dq de;
//conditional pooled
plot_shock_decomposition(realtime = 2) y_obs R_obs pie_obs dq de;
// conditional 8-step ahead decomposition, given 1989q4
plot_shock_decomposition(detail_plot, realtime = 2, vintage = 29) y_obs R_obs pie_obs dq de;
close all,
//forecast pooled
plot_shock_decomposition(realtime = 3) y_obs R_obs pie_obs dq de;
// forecast 8-step ahead decomposition, given 1989q4
plot_shock_decomposition(detail_plot, realtime = 3, vintage = 29) y_obs R_obs pie_obs dq de;
close all,
// now I test annualized variables
// this also triggers re-computing of decompositions since y was not present in squeeze set
plot_shock_decomposition(detail_plot, type = aoa) y;
plot_shock_decomposition(detail_plot, type = aoa) ya;
plot_shock_decomposition(realtime = 1) y;
plot_shock_decomposition(realtime = 1, vintage = 29) y;
plot_shock_decomposition(realtime = 2, vintage = 29) y;
plot_shock_decomposition(realtime = 3, vintage = 29) y;
close all
//test uimenu for groups
plot_shock_decomposition(detail_plot, interactive, use_shock_groups = row, type = qoq, plot_init_date=2004Q1) y_obs R_obs pie_obs dq de;
plot_shock_decomposition(detail_plot, interactive, realtime = 3, vintage = 29) y_obs R_obs pie_obs dq de;
close all,
// testing realtime decomposition with fast_realtime option
realtime_shock_decomposition(fast_realtime=75) y_obs R_obs pie_obs dq de;
// re-test squeeze
squeeze_shock_decomposition;
collect_latex_files;
[status, cmdout]=system(['pdflatex -halt-on-error -interaction=nonstopmode ' M_.fname '_TeX_binder.tex']);
if status
cmdout
error('TeX-File did not compile.')
end
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