1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
|
var y x;
varexo e;
parameters beta theta rho xbar;
xbar = 0.0179;
rho = -0.139;
theta = -1.5;
beta = 0.95;
model;
1 = beta*exp(theta*x(+1))*(1+y(+1))/y;
x = (1-rho)*xbar + rho*x(-1)+e;
end;
shocks;
var e; stderr 0.0348;
end;
initval;
x = xbar;
y = beta*exp(theta*xbar)/(1-beta*exp(theta*xbar));
end;
resid;
steady;
check;
if beta*exp(theta*xbar+.5*theta^2*M_.Sigma_e/(1-rho)^2)>1-eps
disp('The model doesn''t have a solution!')
return
end
seed = 31415;
set_dynare_seed(seed);
stoch_simul(order=1,irf=0,periods=200);
e_1 = oo_.exo_simul;
set_dynare_seed(seed);
stoch_simul(order=2,irf=0,periods=200);
e_2 = oo_.exo_simul;
set_dynare_seed(seed);
stoch_simul(order=4,irf=0,periods=200);
e_4 = oo_.exo_simul;
T = 100;
options_.ep.stochastic.algo=1; // Default is to use a sparse tree
tic
options_.ep.stochastic.order = 0;
[ts0, o0] = extended_path([], T, e_1, options_, M_, oo_);
if ~o0.extended_path.status, error('EP failed'), end
options_.ep.stochastic.order = 1;
options_.ep.stochastic.IntegrationAlgorithm='Tensor-Gaussian-Quadrature';
options_.ep.stochastic.quadrature.nodes = 3;
[ts1, o1] = extended_path([], T, e_1, options_, M_, oo_);
if ~o1.extended_path.status, error('SEP(1) failed'), end
options_.ep.stochastic.order = 1;
options_.ep.stochastic.IntegrationAlgorithm='Tensor-Gaussian-Quadrature';
options_.ep.stochastic.quadrature.nodes = 3;
options_.ep.stochastic.hybrid_order = 2;
[ts1h, o1h] = extended_path([], T, e_1, options_, M_, oo_);
options_.ep.stochastic.hybrid_order = 0;
if ~o1h.extended_path.status, error('Hybrid SEP(1) failed'), end
options_.ep.stochastic.order = 2;
options_.ep.stochastic.IntegrationAlgorithm='Tensor-Gaussian-Quadrature';
options_.ep.stochastic.quadrature.nodes = 3;
[ts2, o2] = extended_path([], T, e_1, options_, M_, oo_);
if ~o2.extended_path.status, error('SEP(2) failed'), end
options_.ep.stochastic.order = 2;
options_.ep.stochastic.IntegrationAlgorithm='Tensor-Gaussian-Quadrature';
options_.ep.stochastic.quadrature.nodes = 3;
options_.ep.stochastic.algo=0; // Full tree of future innovations
[ts2__, o2full] = extended_path([], T, e_1, options_, M_, oo_);
options_.ep.stochastic.algo=1;
if ~o2full.extended_path.status,, error('SEP(2) with perfect tree failed'), end
options_.ep.stochastic.order = 2;
options_.ep.stochastic.IntegrationAlgorithm='Tensor-Gaussian-Quadrature';
options_.ep.stochastic.quadrature.nodes = 3;
options_.ep.stochastic.hybrid_order = 2;
[ts2h, o2h] = extended_path([], T, e_1, options_, M_, oo_);
if ~o2h.extended_path.status, error('Hybrid (order 2) SEP(2) failed'), end
options_.ep.stochastic.order = 2;
options_.ep.stochastic.IntegrationAlgorithm='Tensor-Gaussian-Quadrature';
options_.ep.stochastic.quadrature.nodes = 3;
options_.ep.stochastic.hybrid_order = 4;
[ts2hh, o2hh] = extended_path([], T, e_1, options_, M_, oo_);
if ~o2hh.extended_path.status, error('Hybrid (order 4) SEP(2) failed'), end
options_.ep.stochastic.order = 2;
options_.ep.stochastic.IntegrationAlgorithm='Tensor-Gaussian-Quadrature';
options_.ep.stochastic.quadrature.nodes = 3;
options_.ep.stochastic.hybrid_order = 2;
options_.ep.stochastic.algo = 0;
[ts2h__, o2hfull] = extended_path([], T, e_1, options_, M_, oo_);
options_.ep.stochastic.algo = 1;
if ~o2hfull.extended_path.status, error('Hybrid (order 2) SEP(2) with perfect tree failed'), end
toc
testresults = false;
if testresults
saveresults = false;
if saveresults
save('burnside-simulations.mat', 'o0', 'o1', 'o1h', 'o2', 'o2full', 'o2h', 'o2hh', 'o2hfull')
end
if isfile('burnside-simulations.mat')
simulations = load('burnside-simulations.mat');
errorflag = false;
if max(abs(o0.endo_simul(:)-simulations.o0.endo_simul(:)))>1e-16
errorflag = true;
dprintf('EP simulations are wrong.')
end
if max(abs(o1.endo_simul(:)-simulations.o1.endo_simul(:)))>1e-16
errorflag = true;
dprintf('SEP(1) simulations are wrong.')
end
if max(abs(o1h.endo_simul(:)-simulations.o1h.endo_simul(:)))>1e-16
errorflag = true;
dprintf('Hybrid SEP(1) simulations are wrong.')
end
if max(abs(o2.endo_simul(:)-simulations.o2.endo_simul(:)))>1e-16
errorflag = true;
dprintf('SEP(2) simulations are wrong.')
end
if max(abs(o2full.endo_simul(:)-simulations.o2full.endo_simul(:)))>1e-16
errorflag = true;
dprintf('SEP(2) with perfect tree simulations are wrong.')
end
if max(abs(o2h.endo_simul(:)-simulations.o2h.endo_simul(:)))>1e-16
errorflag = true;
dprintf('Hybrid SEP(2) simulations are wrong.')
end
if max(abs(o2hh.endo_simul(:)-simulations.o2hh.endo_simul(:)))>1e-16
errorflag = true;
dprintf('Hybrid (fourth order) SEP(2) simulations are wrong.')
end
if max(abs(o2hfull.endo_simul(:)-simulations.o2hfull.endo_simul(:)))>1e-16
errorflag = true;
dprintf('Hybrid SEP(2) with perfect tree simulations are wrong.')
end
if errorflag
error('Some simulations do not match the expected results.')
end
end
end
|
