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new test models for estimating Hebst Schorfheide small NK model
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@MichelJuillard
MichelJuillard committed Jan 23, 2024
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88 changes: 88 additions & 0 deletions test/models/herbst_schorfheide/nk_est.mod
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var y R pi z g YGR INFL INT;
varexo eg ep ez;

parameters tau rho_R psi1 psi2 rho_g rho_z kappa piA gammaQ rA s_ep s_eg s_ez;

rA = 0.42;
piA = 3.3;
gammaQ = 0.52;
tau = 2.83;
kappa = 0.78;
psi1 = 1.8;
psi2 = 0.63;
rho_R = 0.77;
rho_g = 0.98;
rho_z = 0.88;
s_ep = 0.22;
s_eg = 0.72;
s_ez = 0.31;


model;
# beta = 1/(1 + rA/400);
y = y(+1) - (1/tau)*(R - pi(+1) - z(+1)) + g - g(+1);
pi = beta*pi(+1) + kappa*(y - g);
R = rho_R*R(-1) + (1 - rho_R)*(psi1*pi + psi2*(y - g)) + s_ep*ep/100;
g = rho_g*g(-1) + s_eg*eg/100;
z = rho_z*z(-1) + s_ez*ez/100;
YGR = gammaQ + 100*(y - y(-1) + z);
INFL = piA + 400*pi;
INT = piA + rA + 4*gammaQ + 400*R;
end;

steady_state_model;
y = 0;
pi = 0;
R = 0;
g = 0;
z = 0;
YGR = gammaQ;
INFL = piA;
INT = piA + rA + 4*gammaQ;
end;

shocks;
var ep; stderr 1.0;
var eg; stderr 1.0;
var ez; stderr 1.0;
// calibrated measurement errors
var YGR; stderr (0.20*0.579923);
var INFL; stderr (0.20*1.470832);
var INT; stderr(0.20*2.237937);
end;

estimated_params;
rA, gamma_pdf, 0.5, 0.2;
piA, gamma_pdf, 7, 2;
gammaQ, normal_pdf, 0.4, 0.2;
tau, gamma_pdf, 2, 0.5;
kappa, beta_pdf, 0.5, 0.2;
psi1, gamma_pdf, 1.5, 0.25;
psi2, gamma_pdf, 0.5, 0.25;
rho_R, beta_pdf, 0.5, 0.2;
rho_g, beta_pdf, 0.5, 0.2;
rho_z, beta_pdf, 0.5, 0.2;
s_ep, inv_gamma_pdf, 0.5013256549262002, 0.06867258771281654;
s_eg, inv_gamma_pdf, 1.2533141373155003, 0.4292036732051032;
s_ez, inv_gamma_pdf, 0.6266570686577502, 0.1073009183012758;
end;

estimated_params_init;
tau, 2.263895645223946;
kappa, 0.9;
psi1, 1.932357745633903;
psi2, 0.465714640873466;
rA, 0.333453026636814;
piA, 3.427852381637088;
gammaQ, 0.624767199308368;
rho_R, 0.764476492352786;
rho_g, 0.990359718181570;
rho_z, 0.917302546854851;
s_ep, 0.211571288023659;
s_eg, 0.632177304244290;
s_ez, 0.192160214260411;
end;

varobs YGR INFL INT;

estimation(datafile='dsge1_data.csv', mh_replic=10000, mh_jscale=0.2);
89 changes: 89 additions & 0 deletions test/models/herbst_schorfheide/nk_est_a.mod
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var y R pi z g YGR INFL INT;
varexo eg ep ez;

parameters tau rho_R psi1 psi2 rho_g rho_z kappa piA gammaQ rA s_ep s_eg s_ez;

rA = 0.42;
piA = 3.3;
gammaQ = 0.52;
tau = 2.83;
kappa = 0.78;
psi1 = 1.8;
psi2 = 0.63;
rho_R = 0.77;
rho_g = 0.98;
rho_z = 0.88;
s_ep = 0.22;
s_eg = 0.72;
s_ez = 0.31;


model;
# beta = 1/(1 + rA/400);
y = y(+1) - (1/tau)*(R - pi(+1) - z(+1)) + g - g(+1);
pi = beta*pi(+1) + kappa*(y - g);
R = rho_R*R(-1) + (1 - rho_R)*(psi1*pi + psi2*(y - g)) + s_ep*ep/100;
g = rho_g*g(-1) + s_eg*eg/100;
z = rho_z*z(-1) + s_ez*ez/100;
YGR = gammaQ + 100*(y - y(-1) + z);
INFL = piA + 400*pi;
INT = piA + rA + 4*gammaQ + 400*R;
end;

steady_state_model;
y = 0;
pi = 0;
R = 0;
g = 0;
z = 0;
YGR = gammaQ;
INFL = piA;
INT = piA + rA + 4*gammaQ;
end;

shocks;
var ep; stderr 1.0;
var eg; stderr 1.0;
var ez; stderr 1.0;
// calibrated measurement errors
var YGR; stderr (0.20*0.579923);
var INFL; stderr (0.20*1.470832);
var INT; stderr(0.20*2.237937);
end;

estimated_params;
rA, gamma_pdf, 0.5, 0.2;
piA, gamma_pdf, 7, 2;
gammaQ, normal_pdf, 0.4, 0.2;
tau, gamma_pdf, 2, 0.5;
kappa, beta_pdf, 0.5, 0.2;
psi1, gamma_pdf, 1.5, 0.25;
psi2, gamma_pdf, 0.5, 0.25;
rho_R, beta_pdf, 0.5, 0.2;
rho_g, beta_pdf, 0.5, 0.2;
rho_z, beta_pdf, 0.5, 0.2;
s_ep, inv_gamma_pdf, 0.5013256549262002, 0.06867258771281654;
s_eg, inv_gamma_pdf, 1.2533141373155003, 0.4292036732051032;
s_ez, inv_gamma_pdf, 0.6266570686577502, 0.1073009183012758;
end;

estimated_params_init;
tau, 2.263895645223946;
kappa, 0.9;
psi1, 1.932357745633903;
psi2, 0.465714640873466;
rA, 0.333453026636814;
piA, 3.427852381637088;
gammaQ, 0.624767199308368;
rho_R, 0.764476492352786;
rho_g, 0.990359718181570;
rho_z, 0.917302546854851;
s_ep, 0.211571288023659;
s_eg, 0.632177304244290;
s_ez, 0.192160214260411;
end;

varobs YGR INFL INT;

//estimation(datafile='dsge1_data.csv', mh_replic=0);
rwmh_compute!(datafile="dsge1_data.csv", mcmc_replic=100000, mcmc_jscale=0.03, mcmc_chains=2, transformed_parameters=false, initial_values=context.work.estimated_parameters.initialvalue);
60 changes: 60 additions & 0 deletions test/models/herbst_schorfheide/nk_recfor.mod
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var y R pi z g YGR INFL INT;
varexo eg ep ez;

parameters tau rho_R psi1 psi2 rho_g rho_z kappa piA gammaQ rA s_ep s_eg s_ez;

rA = 0.42;
piA = 3.3;
gammaQ = 0.52;
tau = 2.83;
kappa = 0.78;
psi1 = 1.8;
psi2 = 0.63;
rho_R = 0.77;
rho_g = 0.98;
rho_z = 0.88;
s_ep = 0.22;
s_eg = 0.72;
s_ez = 0.31;


model;
# beta = 1/(1 + rA/400);
y = y(+1) - (1/tau)*(R - pi(+1) - z(+1)) + g - g(+1);
pi = beta*pi(+1) + kappa*(y - g);
R = rho_R*R(-1) + (1 - rho_R)*(psi1*pi + psi2*(y - g)) + s_ep*ep/100;
g = rho_g*g(-1) + s_eg*eg/100;
z = rho_z*z(-1) + s_ez*ez/100;
YGR = gammaQ + 100*(y - y(-1) + z);
INFL = piA + 400*pi;
INT = piA + rA + 4*gammaQ + 400*R;
end;

steady_state_model;
y = 0;
pi = 0;
R = 0;
g = 0;
z = 0;
YGR = gammaQ;
INFL = piA;
INT = piA + rA + 4*gammaQ;
end;

varobs YGR INFL INT;

shocks;
var ep; stderr 1.0;
var eg; stderr 1.0;
var ez; stderr 1.0;
// calibrated measurement errors
var YGR; stderr (0.20*0.579923);
var INFL; stderr (0.20*1.470832);
var INT; stderr(0.20*2.237937);
end;

stoch_simul(order=1, irf=0);

recursive_forecasting!(periods=12, first_period=78, last_period=80, datafile="dsge1_data.csv");


50 changes: 50 additions & 0 deletions test/models/herbst_schorfheide/nk_sol.mod
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var y R pi z g YGR INFL INT;
varexo eg ep ez;

parameters tau rho_R psi1 psi2 rho_g rho_z kappa piA gammaQ rA s_ep s_eg s_ez;

rA = 0.42;
piA = 3.3;
gammaQ = 0.52;
tau = 2.83;
kappa = 0.78;
psi1 = 1.8;
psi2 = 0.63;
rho_R = 0.77;
rho_g = 0.98;
rho_z = 0.88;
s_ep = 0.22;
s_eg = 0.72;
s_ez = 0.31;


model;
# beta = 1/(1 + rA/400);
y = y(+1) - (1/tau)*(R - pi(+1) - z(+1)) + g - g(+1);
pi = beta*pi(+1) + kappa*(y - g);
R = rho_R*R(-1) + (1 - rho_R)*(psi1*pi + psi2*(y - g)) + s_ep*ep/100;
g = rho_g*g(-1) + s_eg*eg/100;
z = rho_z*z(-1) + s_ez*ez/100;
YGR = gammaQ + 100*(y - y(-1) + z);
INFL = piA + 400*pi;
INT = piA + rA + 4*gammaQ + 400*R;
end;

steady_state_model;
y = 0;
pi = 0;
R = 0;
g = 0;
z = 0;
YGR = gammaQ;
INFL = piA;
INT = piA + rA + 4*gammaQ;
end;

shocks;
var ep; stderr 1.0;
var eg; stderr 1.0;
var ez; stderr 1.0;
end;

stoch_simul(order=1, irf=0);

2 comments on commit 90c1af2

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Release notes:

  • fix rwmh_compute!()

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Registration pull request updated: JuliaRegistries/General/99388

Tagging

After the above pull request is merged, it is recommended that a tag is created on this repository for the registered package version.

This will be done automatically if the Julia TagBot GitHub Action is installed, or can be done manually through the github interface, or via:

git tag -a v0.9.2 -m "<description of version>" 90c1af22f712c476755ba03dc4d541ee87983e64
git push origin v0.9.2

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