dsge results updated, except for DSM

mcreel · Jun 7, 2024 · 1de7f3a · 1de7f3a
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diff --git a/Examples/DSGE/Bayesian/MONTECARLO/CK.txt b/Examples/DSGE/Bayesian/MONTECARLO/CK.txt
@@ -0,0 +1 @@
+../../GenData/CK.txt
diff --git a/Examples/DSGE/Bayesian/MONTECARLO/CK_processed.txt b/Examples/DSGE/Bayesian/MONTECARLO/CK_processed.txt
@@ -0,0 +1,278 @@
+nx = 3 
+
+ny = 7 
+
+ns = 2 
+
+nv = 10 
+
+ne = 10 
+
+jumps_to_approximate = [4, 6] 
+
+eqns_to_approximate = [7] 
+
+variables = OrderedCollections.OrderedDict("z" => 1, "η" => 2, "k" => 3, "y" => 4, "c" => 5, "n" => 6, "r" => 7, "w" => 8, "MUC" => 9, "MUL" => 10) 
+
+function nlsolve_static_equations(f::Array{T,1},x::Array{T,1},p::Array{T1,1}) where {T<:Number,T1<:Real} 
+
+  f[1] = x[1] - ((p[3])*x[1] + (p[4]) * 0.0)
+  f[2] = x[2] - ((p[5])*x[2]  + (p[6]) * 0.0)
+  f[3] = x[10] - ((p[7])*exp(x[2]))
+  f[4] = x[9] - (x[5]^(-(p[2])))
+  f[5] = x[7] - ((0.33) * exp(x[1]) * x[3]^((0.33)-1) * x[6]^(1-(0.33)))
+  f[6] = x[8] - ((1-(0.33))*exp(x[1])* x[3]^(0.33) * x[6]^(-(0.33)))
+  f[7] = x[9] - ((p[1])*x[9] * (1 + x[7] - (0.025)))
+  f[8] = x[4] - (exp(x[1]) * (x[3]^(0.33)) * (x[6]^(1-(0.33))))
+  f[9] = x[3] - (x[4] - x[5] + (1-(0.025))*x[3])
+  f[10] = x[8] - (x[10]/x[9])
+
+end 
+
+function static_equations(x::Array{T,1},p::Array{T1,1}) where {T<:Number,T1<:Real} 
+
+  f = Array{T,1}(undef,length(x)) 
+
+  f[1] = x[1] - ((p[3])*x[1] + (p[4]) * 0.0)
+  f[2] = x[2] - ((p[5])*x[2]  + (p[6]) * 0.0)
+  f[3] = x[10] - ((p[7])*exp(x[2]))
+  f[4] = x[9] - (x[5]^(-(p[2])))
+  f[5] = x[7] - ((0.33) * exp(x[1]) * x[3]^((0.33)-1) * x[6]^(1-(0.33)))
+  f[6] = x[8] - ((1-(0.33))*exp(x[1])* x[3]^(0.33) * x[6]^(-(0.33)))
+  f[7] = x[9] - ((p[1])*x[9] * (1 + x[7] - (0.025)))
+  f[8] = x[4] - (exp(x[1]) * (x[3]^(0.33)) * (x[6]^(1-(0.33))))
+  f[9] = x[3] - (x[4] - x[5] + (1-(0.025))*x[3])
+  f[10] = x[8] - (x[10]/x[9])
+
+  return f 
+
+end 
+
+function dynamic_equations(x::Array{T,1},p::Array{T1,1}) where {T<:Number,T1<:Real} 
+
+  f = Array{T,1}(undef,10) 
+
+  f[1] = x[11] - ((p[3])*x[1] + (p[4]) * x[21])
+  f[2] = x[12] - ((p[5])*x[2]  + (p[6]) * x[22])
+  f[3] = x[10] - ((p[7])*exp(x[2]))
+  f[4] = x[9] - (x[5]^(-(p[2])))
+  f[5] = x[7] - ((0.33) * exp(x[1]) * x[3]^((0.33)-1) * x[6]^(1-(0.33)))
+  f[6] = x[8] - ((1-(0.33))*exp(x[1])* x[3]^(0.33) * x[6]^(-(0.33)))
+  f[7] = x[9] - ((p[1])*x[19] * (1 + x[17] - (0.025)))
+  f[8] = x[4] - (exp(x[1]) * (x[3]^(0.33)) * (x[6]^(1-(0.33))))
+  f[9] = x[13] - (x[4] - x[5] + (1-(0.025))*x[3])
+  f[10] = x[8] - (x[10]/x[9])
+
+  return f 
+
+end 
+
+function dynamic_eqn_1(x::Array{T,1},p::Array{T1,1}) where {T<:Number,T1<:Real} 
+
+  f = x[11] - ((p[3])*x[1] + (p[4]) * x[21])
+
+  return f 
+
+end 
+
+function dynamic_eqn_2(x::Array{T,1},p::Array{T1,1}) where {T<:Number,T1<:Real} 
+
+  f = x[12] - ((p[5])*x[2]  + (p[6]) * x[22])
+
+  return f 
+
+end 
+
+function dynamic_eqn_3(x::Array{T,1},p::Array{T1,1}) where {T<:Number,T1<:Real} 
+
+  f = x[10] - ((p[7])*exp(x[2]))
+
+  return f 
+
+end 
+
+function dynamic_eqn_4(x::Array{T,1},p::Array{T1,1}) where {T<:Number,T1<:Real} 
+
+  f = x[9] - (x[5]^(-(p[2])))
+
+  return f 
+
+end 
+
+function dynamic_eqn_5(x::Array{T,1},p::Array{T1,1}) where {T<:Number,T1<:Real} 
+
+  f = x[7] - ((0.33) * exp(x[1]) * x[3]^((0.33)-1) * x[6]^(1-(0.33)))
+
+  return f 
+
+end 
+
+function dynamic_eqn_6(x::Array{T,1},p::Array{T1,1}) where {T<:Number,T1<:Real} 
+
+  f = x[8] - ((1-(0.33))*exp(x[1])* x[3]^(0.33) * x[6]^(-(0.33)))
+
+  return f 
+
+end 
+
+function dynamic_eqn_7(x::Array{T,1},p::Array{T1,1}) where {T<:Number,T1<:Real} 
+
+  f = x[9] - ((p[1])*x[19] * (1 + x[17] - (0.025)))
+
+  return f 
+
+end 
+
+function dynamic_eqn_8(x::Array{T,1},p::Array{T1,1}) where {T<:Number,T1<:Real} 
+
+  f = x[4] - (exp(x[1]) * (x[3]^(0.33)) * (x[6]^(1-(0.33))))
+
+  return f 
+
+end 
+
+function dynamic_eqn_9(x::Array{T,1},p::Array{T1,1}) where {T<:Number,T1<:Real} 
+
+  f = x[13] - (x[4] - x[5] + (1-(0.025))*x[3])
+
+  return f 
+
+end 
+
+function dynamic_eqn_10(x::Array{T,1},p::Array{T1,1}) where {T<:Number,T1<:Real} 
+
+  f = x[8] - (x[10]/x[9])
+
+  return f 
+
+end 
+
+individual_equations = Array{Function}(undef,10) 
+individual_equations[1] = dynamic_eqn_1
+individual_equations[2] = dynamic_eqn_2
+individual_equations[3] = dynamic_eqn_3
+individual_equations[4] = dynamic_eqn_4
+individual_equations[5] = dynamic_eqn_5
+individual_equations[6] = dynamic_eqn_6
+individual_equations[7] = dynamic_eqn_7
+individual_equations[8] = dynamic_eqn_8
+individual_equations[9] = dynamic_eqn_9
+individual_equations[10] = dynamic_eqn_10
+
+function closure_chebyshev_equations(state,scaled_weights,order,domain,p) 
+
+  function chebyshev_equations(f::Array{T,1},x::Array{T,1}) where {T<:Number} 
+
+    approx4 = chebyshev_evaluate(scaled_weights[1],x[7+1:end],order,domain)
+    approx6 = chebyshev_evaluate(scaled_weights[2],x[7+1:end],order,domain)
+
+    #f = Array{T,1}(undef,10) 
+
+    f[1] = x[8] - ((p[3])*state[1] + (p[4]) * 0.0)
+    f[2] = x[9] - ((p[5])*state[2]  + (p[6]) * 0.0)
+    f[3] = x[7] - ((p[7])*exp(state[2]))
+    f[4] = x[6] - (x[2]^(-(p[2])))
+    f[5] = x[4] - ((0.33) * exp(state[1]) * state[3]^((0.33)-1) * x[3]^(1-(0.33)))
+    f[6] = x[5] - ((1-(0.33))*exp(state[1])* state[3]^(0.33) * x[3]^(-(0.33)))
+    f[7] = x[6] - ((p[1])*approx6 * (1 + approx4 - (0.025)))
+    f[8] = x[1] - (exp(state[1]) * (state[3]^(0.33)) * (x[3]^(1-(0.33))))
+    f[9] = x[10] - (x[1] - x[2] + (1-(0.025))*state[3])
+    f[10] = x[5] - (x[7]/x[6])
+
+    #return f 
+
+  end 
+
+  return chebyshev_equations 
+
+end 
+
+function closure_smolyak_equations(state,scaled_weights,order,domain,p) 
+
+  function smolyak_equations(f::Array{T,1},x::Array{T,1}) where {T<:Number} 
+
+    poly = smolyak_polynomial(x[7+1:end],order,domain) 
+    approx4 = smolyak_evaluate(scaled_weights[1],poly)
+    approx6 = smolyak_evaluate(scaled_weights[2],poly)
+
+    #f = Array{T,1}(undef,10) 
+
+    f[1] = x[8] - ((p[3])*state[1] + (p[4]) * 0.0)
+    f[2] = x[9] - ((p[5])*state[2]  + (p[6]) * 0.0)
+    f[3] = x[7] - ((p[7])*exp(state[2]))
+    f[4] = x[6] - (x[2]^(-(p[2])))
+    f[5] = x[4] - ((0.33) * exp(state[1]) * state[3]^((0.33)-1) * x[3]^(1-(0.33)))
+    f[6] = x[5] - ((1-(0.33))*exp(state[1])* state[3]^(0.33) * x[3]^(-(0.33)))
+    f[7] = x[6] - ((p[1])*approx6 * (1 + approx4 - (0.025)))
+    f[8] = x[1] - (exp(state[1]) * (state[3]^(0.33)) * (x[3]^(1-(0.33))))
+    f[9] = x[10] - (x[1] - x[2] + (1-(0.025))*state[3])
+    f[10] = x[5] - (x[7]/x[6])
+
+    #return f 
+
+  end 
+
+  return smolyak_equations 
+
+end 
+
+function closure_hcross_equations(state,scaled_weights,order,domain,p) 
+
+  function hcross_equations(f::Array{T,1},x::Array{T,1}) where {T<:Number} 
+
+    poly = hyperbolic_cross_polynomial(x[7+1:end],order,domain) 
+    approx4 = hyperbolic_cross_evaluate(scaled_weights[1],poly)
+    approx6 = hyperbolic_cross_evaluate(scaled_weights[2],poly)
+
+    #f = Array{T,1}(undef,10) 
+
+    f[1] = x[8] - ((p[3])*state[1] + (p[4]) * 0.0)
+    f[2] = x[9] - ((p[5])*state[2]  + (p[6]) * 0.0)
+    f[3] = x[7] - ((p[7])*exp(state[2]))
+    f[4] = x[6] - (x[2]^(-(p[2])))
+    f[5] = x[4] - ((0.33) * exp(state[1]) * state[3]^((0.33)-1) * x[3]^(1-(0.33)))
+    f[6] = x[5] - ((1-(0.33))*exp(state[1])* state[3]^(0.33) * x[3]^(-(0.33)))
+    f[7] = x[6] - ((p[1])*approx6 * (1 + approx4 - (0.025)))
+    f[8] = x[1] - (exp(state[1]) * (state[3]^(0.33)) * (x[3]^(1-(0.33))))
+    f[9] = x[10] - (x[1] - x[2] + (1-(0.025))*state[3])
+    f[10] = x[5] - (x[7]/x[6])
+
+    #return f 
+
+  end 
+
+  return hcross_equations 
+
+end 
+
+function closure_piecewise_equations(variables,grid,state,integrals,p) 
+
+  function piecewise_equations(f::Array{T,1},x::Array{T,1}) where {T<:Number} 
+
+    approx4 = piecewise_linear_evaluate(variables[4],grid,x[7+1:end],integrals)
+    approx6 = piecewise_linear_evaluate(variables[6],grid,x[7+1:end],integrals)
+
+    #f = Array{T,1}(undef,10) 
+
+    f[1] = x[8] - ((p[3])*state[1] + (p[4]) * 0.0)
+    f[2] = x[9] - ((p[5])*state[2]  + (p[6]) * 0.0)
+    f[3] = x[7] - ((p[7])*exp(state[2]))
+    f[4] = x[6] - (x[2]^(-(p[2])))
+    f[5] = x[4] - ((0.33) * exp(state[1]) * state[3]^((0.33)-1) * x[3]^(1-(0.33)))
+    f[6] = x[5] - ((1-(0.33))*exp(state[1])* state[3]^(0.33) * x[3]^(-(0.33)))
+    f[7] = x[6] - ((p[1])*approx6 * (1 + approx4 - (0.025)))
+    f[8] = x[1] - (exp(state[1]) * (state[3]^(0.33)) * (x[3]^(1-(0.33))))
+    f[9] = x[10] - (x[1] - x[2] + (1-(0.025))*state[3])
+    f[10] = x[5] - (x[7]/x[6])
+
+    #return f 
+
+  end 
+
+  return piecewise_equations 
+
+end 
+
+unassigned_parameters = ["β", "γ", "ρz", "σz", "ρη", "ση", "ψ"] 
+
+solvers = "Any" 
diff --git a/Examples/DSGE/Bayesian/MONTECARLO/CKlib.jl b/Examples/DSGE/Bayesian/MONTECARLO/CKlib.jl
@@ -0,0 +1 @@
+../../GenData/CKlib.jl