def getShocks(self):
'''
Draws a new Markov state and income shocks for the representative agent.
Parameters
----------
None
Returns
-------
None
'''
cutoffs = np.cumsum(self.MrkvArray[self.MrkvNow, :])
MrkvDraw = drawUniform(N=1, seed=self.RNG.randint(0, 2**31 - 1))
self.MrkvNow = np.searchsorted(cutoffs, MrkvDraw)
t = self.t_cycle[0]
i = self.MrkvNow[0]
IncomeDstnNow = self.IncomeDstn[t - 1][
i] # set current income distribution
PermGroFacNow = self.PermGroFac[t -
1][i] # and permanent growth factor
Indices = np.arange(IncomeDstnNow[0].size) # just a list of integers
# Get random draws of income shocks from the discrete distribution
EventDraw = drawDiscrete(N=1,
X=Indices,
P=IncomeDstnNow[0],
exact_match=False,
seed=self.RNG.randint(0, 2**31 - 1))
PermShkNow = IncomeDstnNow[1][
EventDraw] * PermGroFacNow # permanent "shock" includes expected growth
TranShkNow = IncomeDstnNow[2][EventDraw]
self.PermShkNow = np.array(PermShkNow)
self.TranShkNow = np.array(TranShkNow)
def makeAggShkHist(self):
'''
Make simulated histories of aggregate transitory and permanent shocks. Histories are of
length self.act_T, for use in the general equilibrium simulation. This replicates the same
method for CobbDouglasEconomy; future version should create parent class.
Parameters
----------
None
Returns
-------
None
'''
sim_periods = self.act_T
Events = np.arange(self.AggShkDstn[0].size) # just a list of integers
EventDraws = drawDiscrete(N=sim_periods,
P=self.AggShkDstn[0],
X=Events,
seed=0)
PermShkAggHist = self.AggShkDstn[1][EventDraws]
TranShkAggHist = self.AggShkDstn[2][EventDraws]
# Store the histories
self.PermShkAggHist = PermShkAggHist
self.TranShkAggHist = TranShkAggHist
def makeAggShkHist(self):
'''
Make simulated histories of aggregate transitory and permanent shocks.
Histories are of length self.act_T, for use in the general equilibrium
simulation.
Parameters
----------
none
Returns
-------
none
'''
sim_periods = self.act_T
Events = np.arange(self.AggShkDstn[0].size) # just a list of integers
EventDraws = drawDiscrete(N=sim_periods,
P=self.AggShkDstn[0],
X=Events,
seed=0)
PermShkAggHist = self.AggShkDstn[1][EventDraws]
TranShkAggHist = self.AggShkDstn[2][EventDraws]
# Store the histories
self.PermShkAggHist = PermShkAggHist
self.TranShkAggHist = TranShkAggHist
def reset(self):
self.initializeSim()
self.t_age = drawDiscrete(self.AgentCount,P=self.AgeDstn,X=np.arange(self.AgeDstn.size),exact_match=False,seed=self.RNG.randint(0,2**31-1)).astype(int)
self.t_cycle = copy(self.t_age)
if hasattr(self,'kGrid'):
self.aLvlNow = self.kInit*np.ones(self.AgentCount) # Start simulation near SS
self.aNrmNow = self.aLvlNow/self.pLvlNow
def reset(self):
self.initializeSim()
self.t_age = drawDiscrete(self.AgentCount,
P=self.AgeDstn,
X=np.arange(self.AgeDstn.size),
exact_match=False,
seed=self.RNG.randint(0,
2**31 - 1)).astype(int)
self.t_cycle = copy(self.t_age)
def reset(self):
self.initializeSim()
self.t_age = drawDiscrete(self.AgentCount,
P=self.AgeDstn,
X=np.arange(self.AgeDstn.size),
exact_match=False,
seed=self.RNG.randint(0,
2**31 - 1)).astype(int)
self.t_cycle = copy(self.t_age)
if hasattr(self, 'kGrid'):
self.aLvlNow = self.kInit * np.ones(
self.AgentCount) # Start simulation near SS
self.aNrmNow = self.aLvlNow / self.pLvlNow
def makeIncShkHist(self):
'''
Makes histories of simulated income shocks for this consumer type by
drawing from the discrete income distributions, respecting the Markov
state for each agent in each period. Should be run after makeMrkvHist().
Parameters
----------
none
Returns
-------
none
'''
orig_time = self.time_flow
self.timeFwd()
self.resetRNG()
# Initialize the shock histories
N = self.MrkvArray.shape[0]
PermShkHist = np.zeros((self.sim_periods,self.Nagents)) + np.nan
TranShkHist = np.zeros((self.sim_periods,self.Nagents)) + np.nan
PermShkHist[0,:] = 1.0
TranShkHist[0,:] = 1.0
t_idx = 0
# Draw income shocks for each simulated period, respecting the Markov state
for t in range(1,self.sim_periods):
MrkvNow = self.MrkvHist[t,:]
IncomeDstn_list = self.IncomeDstn[t_idx]
PermGroFac_list = self.PermGroFac[t_idx]
for n in range(N):
these = MrkvNow == n
IncomeDstnNow = IncomeDstn_list[n]
PermGroFacNow = PermGroFac_list[n]
Indices = np.arange(IncomeDstnNow[0].size) # just a list of integers
# Get random draws of income shocks from the discrete distribution
EventDraws = drawDiscrete(N=np.sum(these),X=Indices,P=IncomeDstnNow[0],exact_match=False,seed=self.RNG.randint(0,2**31-1))
PermShkHist[t,these] = IncomeDstnNow[1][EventDraws]*PermGroFacNow
TranShkHist[t,these] = IncomeDstnNow[2][EventDraws]
# Advance the time index, looping if we've run out of income distributions
t_idx += 1
if t_idx >= len(self.IncomeDstn):
t_idx = 0
# Store the results as attributes of self and restore time to its original flow
self.PermShkHist = PermShkHist
self.TranShkHist = TranShkHist
if not orig_time:
self.timeRev()
def simBirth(self, which_agents):
'''
Agents do not die in this model, so birth only happens at time 0.
Agents get given levels of labor income and assets according to the
steady state distribution
Parameters
----------
which_agents : np.array(Bool)
Boolean array of size self.AgentCount indicating which agents should be "born".
Note in this model birth only happens once at time zero, for all agents
Returns
-------
None
'''
# Get and store states for newly born agents
N = np.sum(which_agents) # Number of new consumers to make
# Agents are given productivity and asset levels from the steady state
#distribution
joint_distr = self.SR['joint_distr']
mgrid = self.mgrid
col_indicies = np.repeat([range(joint_distr.shape[1])],
joint_distr.shape[0], 0).flatten()
row_indicies = np.transpose(
np.repeat([range(joint_distr.shape[0])], joint_distr.shape[1],
0)).flatten()
draws = drawDiscrete(N,
np.array(joint_distr).flatten(),
range(joint_distr.size),
seed=self.RNG.randint(0, 2**31 - 1))
draws_rows = row_indicies[draws]
draws_cols = col_indicies[draws]
#steady state consumption function is in terms of end of period savings and income state
self.bNow[which_agents] = mgrid[draws_rows]
self.incStateNow[which_agents] = draws_cols
self.t_age[
which_agents] = 0 # How many periods since each agent was born
self.t_cycle[
which_agents] = 0 # Which period of the cycle each agent is currently in
return None
def makeAggShkHist(self):
'''
Make simulated histories of aggregate transitory and permanent shocks.
Histories are of length self.act_T, for use in the general equilibrium
simulation.
Parameters
----------
none
Returns
-------
none
'''
sim_periods = self.act_T
Events = np.arange(self.AggShkDstn[0].size) # just a list of integers
EventDraws = drawDiscrete(N=sim_periods,P=self.AggShkDstn[0],X=Events,seed=0)
PermShkAggHist = self.AggShkDstn[1][EventDraws]
# TranShkAggHist = self.AggShkDstn[2][EventDraws]
# Store the histories
self.PermShkAggHist = PermShkAggHist
def makeAggShkHist(self):
'''
Make simulated histories of aggregate transitory and permanent shocks. Histories are of
length self.act_T, for use in the general equilibrium simulation. This replicates the same
method for CobbDouglasEconomy; future version should create parent class.
Parameters
----------
None
Returns
-------
None
'''
sim_periods = self.act_T
Events = np.arange(self.AggShkDstn[0].size) # just a list of integers
EventDraws = drawDiscrete(N=sim_periods,P=self.AggShkDstn[0],X=Events,seed=0)
PermShkAggHist = self.AggShkDstn[1][EventDraws]
TranShkAggHist = self.AggShkDstn[2][EventDraws]
# Store the histories
self.PermShkAggHist = PermShkAggHist
self.TranShkAggHist = TranShkAggHist
# Set target Lorenz points and K/Y ratio (MOVE THIS TO SetupParams)
if Params.do_liquid:
lorenz_target = np.array([0.0, 0.004, 0.025, 0.117])
KY_target = 6.60
else: # This is hacky until I can find the liquid wealth data and import it
lorenz_target = getLorenzShares(
Params.SCF_wealth,
weights=Params.SCF_weights,
percentiles=Params.percentiles_to_match)
#lorenz_target = np.array([-0.002, 0.01, 0.053,0.171])
KY_target = 10.26
# Make a vector of initial wealth-to-permanent income ratios
a_init = drawDiscrete(N=Params.sim_pop_size,
P=Params.a0_probs,
X=Params.a0_values,
seed=Params.a0_seed)
# Make the list of types for this run, whether infinite or lifecycle
if Params.do_lifecycle:
# Make cohort scaling array
cohort_scale = Params.TFP_growth**(-np.arange(Params.total_T + 1))
cohort_scale_array = np.tile(
np.reshape(cohort_scale, (Params.total_T + 1, 1)),
(1, Params.sim_pop_size))
# Make base consumer types for each education level
DropoutType = cstwMPCagent(**Params.init_dropout)
DropoutType.a_init = a_init
DropoutType.cohort_scale = cohort_scale_array
HighschoolType = deepcopy(DropoutType)
def getShocks(self):
'''
Gets permanent and transitory income shocks for this period. Samples from IncomeDstn for
each period in the cycle.
Parameters
----------
None
Returns
-------
None
'''
PermShkNow = np.zeros(self.AgentCount) # Initialize shock arrays
TranShkNow = np.zeros(self.AgentCount)
PrefShkNow = np.zeros(self.AgentCount)
newborn = self.t_age == 0
for t in range(self.T_cycle):
these = t == self.t_cycle
N = np.sum(these)
if N > 0:
IncomeDstnNow = self.IncomeAndPrefDstn[
t - 1] # set current income distribution
PermGroFacNow = self.PermGroFac[
t - 1] # and permanent growth factor
Indices = np.arange(
IncomeDstnNow[0].size) # just a list of integers
# Get random draws of income shocks from the discrete distribution
EventDraws = drawDiscrete(N,
X=Indices,
P=IncomeDstnNow[0],
exact_match=False,
seed=self.RNG.randint(0, 2**31 - 1))
PermShkNow[these] = IncomeDstnNow[1][
EventDraws] * PermGroFacNow # permanent "shock" includes expected growth
TranShkNow[these] = IncomeDstnNow[2][EventDraws]
PrefShkNow[these] = IncomeDstnNow[3][EventDraws]
# That procedure used the *last* period in the sequence for newborns, but that's not right
# Redraw shocks for newborns, using the *first* period in the sequence. Approximation.
N = np.sum(newborn)
if N > 0:
these = newborn
IncomeDstnNow = self.IncomeAndPrefDstn[
0] # set current income distribution
PermGroFacNow = self.PermGroFac[0] # and permanent growth factor
Indices = np.arange(
IncomeDstnNow[0].size) # just a list of integers
# Get random draws of income shocks from the discrete distribution
EventDraws = drawDiscrete(N,
X=Indices,
P=IncomeDstnNow[0],
exact_match=False,
seed=self.RNG.randint(0, 2**31 - 1))
PermShkNow[these] = IncomeDstnNow[1][
EventDraws] * PermGroFacNow # permanent "shock" includes expected growth
TranShkNow[these] = IncomeDstnNow[2][EventDraws]
PrefShkNow[these] = IncomeDstnNow[3][EventDraws]
# PermShkNow[newborn] = 1.0
TranShkNow[newborn] = 1.0
# Store the shocks in self
self.EmpNow = np.ones(self.AgentCount, dtype=bool)
self.EmpNow[TranShkNow == self.IncUnemp] = False
self.PermShkNow = PermShkNow
self.TranShkNow = TranShkNow
self.PrefShkNow = PrefShkNow
# Set booleans to determine which tasks should be done
estimate_model = True
compute_standard_errors = False
make_contour_plot = True
#=====================================================
# Define objects and functions used for the estimation
#=====================================================
# Make a lifecycle consumer to be used for estimation, including simulated shocks (plus an initial distribution of wealth)
EstimationAgent = Model.ConsumerType(**Params.init_consumer_objects)
EstimationAgent(sim_periods=EstimationAgent.T_total + 1)
EstimationAgent.makeIncShkHist()
EstimationAgent.a_init = drawDiscrete(
P=Params.initial_wealth_income_ratio_probs,
X=Params.initial_wealth_income_ratio_vals,
N=Params.num_agents,
seed=Params.seed)
# Define the objective function for the estimation
def smmObjectiveFxn(DiscFacAdj,
CRRA,
agent=EstimationAgent,
DiscFacAdj_bound=Params.DiscFacAdj_bound,
CRRA_bound=Params.CRRA_bound,
empirical_data=Data.w_to_y_data,
empirical_weights=Data.empirical_weights,
empirical_groups=Data.empirical_groups,
map_simulated_to_empirical_cohorts=Data.
simulation_map_cohorts_to_age_indices):
which_agents] = 0 # How many periods since each agent was born
self.t_cycle[
which_agents] = 0 # Which period of the cycle each agents is currently in
return None
# Make a lifecycle consumer to be used for estimation, including simulated shocks (plus an initial distribution of wealth)
EstimationAgent = TempConsumerType(
**Params.init_consumer_objects) # Make a TempConsumerType for estimation
EstimationAgent(T_sim=EstimationAgent.T_cycle +
1) # Set the number of periods to simulate
EstimationAgent.track_vars = ['bNrmNow'
] # Choose to track bank balances as wealth
EstimationAgent.aNrmInit = drawDiscrete(
N=Params.num_agents,
P=Params.initial_wealth_income_ratio_probs,
X=Params.initial_wealth_income_ratio_vals,
seed=Params.seed) # Draw initial assets for each consumer
EstimationAgent.makeShockHistory()
# Define the objective function for the simulated method of moments estimation
def smmObjectiveFxn(DiscFacAdj,
CRRA,
agent=EstimationAgent,
DiscFacAdj_bound=Params.DiscFacAdj_bound,
CRRA_bound=Params.CRRA_bound,
empirical_data=Data.w_to_y_data,
empirical_weights=Data.empirical_weights,
empirical_groups=Data.empirical_groups,
map_simulated_to_empirical_cohorts=Data.
# Set booleans to determine which tasks should be done
estimate_model = True # Whether to estimate the model
compute_standard_errors = False # Whether to get standard errors via bootstrap
make_contour_plot = False # Whether to make a contour map of the objective function
#=====================================================
# Define objects and functions used for the estimation
#=====================================================
# Make a lifecycle consumer to be used for estimation, including simulated shocks (plus an initial distribution of wealth)
EstimationAgent = Model.IndShockConsumerType(**Params.init_consumer_objects) # Make a ConsumerType for estimation
<<<<<<< HEAD
EstimationAgent(sim_periods = EstimationAgent.T_total+1) # Set the number of periods to simulate
EstimationAgent.makeIncShkHist() # Make a simulated history of income shocks for many consumers
EstimationAgent.a_init = drawDiscrete(P=Params.initial_wealth_income_ratio_probs,
X=Params.initial_wealth_income_ratio_vals,
N=Params.num_agents,
=======
EstimationAgent.time_inv.remove('DiscFac') # This estimation uses age-varying discount factors as
EstimationAgent.time_vary.append('DiscFac') # estimated by Cagetti (2003), so switch from time_inv to time_vary
EstimationAgent(sim_periods = EstimationAgent.T_total+1) # Set the number of periods to simulate
EstimationAgent.makeIncShkHist() # Make a simulated history of income shocks for many consumers
EstimationAgent.a_init = drawDiscrete(N=Params.num_agents,
P=Params.initial_wealth_income_ratio_probs,
X=Params.initial_wealth_income_ratio_vals,
>>>>>>> eeb37f24755d0c683c9d9efbe5e7447425c98b86
seed=Params.seed) # Draw initial assets for each consumer
# Define the objective function for the simulated method of moments estimation
def smmObjectiveFxn(DiscFacAdj, CRRA,
agent = EstimationAgent,
if __name__ == "__main__":
# =================================================================
# ====== Make the list of consumer types for estimation ===========
#==================================================================
# Set target Lorenz points and K/Y ratio (MOVE THIS TO SetupParams)
if Params.do_liquid:
lorenz_target = np.array([0.0, 0.004, 0.025,0.117])
KY_target = 6.60
else: # This is hacky until I can find the liquid wealth data and import it
lorenz_target = getLorenzShares(Params.SCF_wealth,weights=Params.SCF_weights,percentiles=Params.percentiles_to_match)
#lorenz_target = np.array([-0.002, 0.01, 0.053,0.171])
KY_target = 10.26
# Make a vector of initial wealth-to-permanent income ratios
a_init = drawDiscrete(N=Params.sim_pop_size,P=Params.a0_probs,X=Params.a0_values,seed=Params.a0_seed)
# Make the list of types for this run, whether infinite or lifecycle
if Params.do_lifecycle:
# Make cohort scaling array
cohort_scale = Params.TFP_growth**(-np.arange(Params.total_T+1))
cohort_scale_array = np.tile(np.reshape(cohort_scale,(Params.total_T+1,1)),(1,Params.sim_pop_size))
# Make base consumer types for each education level
DropoutType = cstwMPCagent(**Params.init_dropout)
DropoutType.a_init = a_init
DropoutType.cohort_scale = cohort_scale_array
HighschoolType = deepcopy(DropoutType)
HighschoolType(**Params.adj_highschool)
CollegeType = deepcopy(DropoutType)
CollegeType(**Params.adj_college)
None
'''
# Get and store states for newly born agents
self.aNrmNow[which_agents] = self.aNrmInit[which_agents] # Take directly from pre-specified distribution
self.pLvlNow[which_agents] = 1.0 # No variation in permanent income needed
self.t_age[which_agents] = 0 # How many periods since each agent was born
self.t_cycle[which_agents] = 0 # Which period of the cycle each agents is currently in
return None
# Make a lifecycle consumer to be used for estimation, including simulated shocks (plus an initial distribution of wealth)
EstimationAgent = TempConsumerType(**Params.init_consumer_objects) # Make a TempConsumerType for estimation
EstimationAgent(T_sim = EstimationAgent.T_cycle+1) # Set the number of periods to simulate
EstimationAgent.track_vars = ['bNrmNow'] # Choose to track bank balances as wealth
EstimationAgent.aNrmInit = drawDiscrete(N=Params.num_agents,
P=Params.initial_wealth_income_ratio_probs,
X=Params.initial_wealth_income_ratio_vals,
seed=Params.seed) # Draw initial assets for each consumer
EstimationAgent.makeShockHistory()
# Define the objective function for the simulated method of moments estimation
def smmObjectiveFxn(DiscFacAdj, CRRA,
agent = EstimationAgent,
DiscFacAdj_bound = Params.DiscFacAdj_bound,
CRRA_bound = Params.CRRA_bound,
empirical_data = Data.w_to_y_data,
empirical_weights = Data.empirical_weights,
empirical_groups = Data.empirical_groups,
map_simulated_to_empirical_cohorts = Data.simulation_map_cohorts_to_age_indices):
'''
The objective function for the SMM estimation. Given values of discount factor
adjuster DiscFacAdj, coeffecient of relative risk aversion CRRA, a base consumer