def getinputdict_bayesian():
"""
Run this function before doing any evaluation
inputdict without solving for parameters
Note that we have specified an empty parameter dict here
"""
inputdict = getinputdict_noparamssdict()
# get model
# we haven't solved for the steady state so allow for missingparams
inputdict['missingparams'] = True
sys.path.append(str(__projectdir__ /
Path('submodules/dsge-perturbation/')))
from dsgesetup_func import getmodel_inputdict
getmodel_inputdict(inputdict)
# compute analytical fx, fxp, fy, fyp matrices
# don't cancel params so do full replace of variables
inputdict['fxefy_cancelparams'] = False
sys.path.append(str(__projectdir__ /
Path('submodules/dsge-perturbation/')))
from dsgediff_func import getfxefy_inputdict
inputdict = getfxefy_inputdict(inputdict)
# convert fx, fxy, fy, fyp matrices to functions (makes it quicker to do conversion)
sys.path.append(str(__projectdir__ /
Path('submodules/dsge-perturbation/')))
from dsgediff_func import funcstoeval_inputdict
inputdict = funcstoeval_inputdict(inputdict)
return (inputdict)
def getpartialeval(partialeval = False, partialeval_numeval = False):
"""
"""
inputdict = getinputdict_noparamssdict()
if partialeval is True:
# need to specify some parameters here since we're doing a partial eval
p = getparamssdict_partial()
# if we are doing a numeval then we should specify some steady state parameters
# otherwise doing a numerical eval makes no difference
if partialeval_numeval is True:
p['A'] = 1
inputdict['paramssdict'] = p
else:
# no need to specify parameters if not partially evaluating
# however we could choose to specify parameters here and it wouldn't make any difference
inputdict['paramssdict'] = {}
# get model
# we haven't solved for the steady state so allow for missingparams
inputdict['missingparams'] = True
sys.path.append(str(__projectdir__ / Path('submodules/dsge-perturbation/')))
from dsgesetup_func import getmodel_inputdict
getmodel_inputdict(inputdict)
if partialeval is True:
if partialeval_numeval is True:
# compute numerical fx, fxp, fy, fyp matrices
# since we don't specify fxefy_cancelparams = False then we do cancel the params we have defined
# since we specify fxefy_f_usenumerical then when we're doing the partial conversion, we use the numerical derivatives rather than the analytical derivatives
inputdict['fxefy_f_usenumerical'] = True
sys.path.append(str(__projectdir__ / Path('submodules/dsge-perturbation/')))
from dsgediff_func import getnfxenfy_inputdict
inputdict = getnfxenfy_inputdict(inputdict)
else:
# compute analytical fx, fxp, fy, fyp matrices
# since we don't specify fxefy_cancelparams = False then we do cancel the params we have defined
# however we don't cancel out any steady state variables
sys.path.append(str(__projectdir__ / Path('submodules/dsge-perturbation/')))
from dsgediff_func import getfxefy_inputdict
inputdict = getfxefy_inputdict(inputdict)
else:
# compute analytical fx, fxp, fy, fyp matrices
# don't cancel params so do full replace of variables
inputdict['fxefy_cancelparams'] = False
sys.path.append(str(__projectdir__ / Path('submodules/dsge-perturbation/')))
from dsgediff_func import getfxefy_inputdict
inputdict = getfxefy_inputdict(inputdict)
# convert fx, fxy, fy, fyp matrices to functions (makes it quicker to do conversion)
sys.path.append(str(__projectdir__ / Path('submodules/dsge-perturbation/')))
from dsgediff_func import funcstoeval_inputdict
inputdict = funcstoeval_inputdict(inputdict)
return(inputdict)
def simlinear():
sys.path.append(str(__projectdir__ / Path('dsgesetup')))
from rbc_simple import getinputdict
inputdict = getinputdict()
# add model
sys.path.append(str(__projectdir__ / Path('submodules/dsge-perturbation/')))
from dsgesetup_func import getmodel_inputdict
inputdict = getmodel_inputdict(inputdict)
# get policy function
sys.path.append(str(__projectdir__ / Path('submodules/dsge-perturbation/')))
from dsge_bkdiscrete_func import polfunc_inputdict
inputdict = polfunc_inputdict(inputdict)
# add shocks
inputdict['pathsimperiods'] = 100
inputdict['shocksddict'] = {'epsilon_a': 0.01}
sys.path.append(str(__projectdir__ / Path('submodules/dsge-perturbation/')))
from getshocks_func import getshockpath_inputdict
inputdict = getshockpath_inputdict(inputdict)
# simulate path
sys.path.append(str(__projectdir__ / Path('submodules/dsge-perturbation/')))
from simlineardsge_func import simpathlinear_inputdict
inputdict = simpathlinear_inputdict(inputdict)
# path of non log-linearized variable
print(inputdict['expssvarpath'])
# standard deviation of consumption
print(np.std(inputdict['varpath'][:, inputdict['stateshockcontrolposdict']['c']]))
def stochsimul(run=True):
sys.path.append(str(__projectdir__ / Path('dsgesetup')))
from rbc_simple import getinputdict
inputdict = getinputdict()
inputdict['savefolder'] = __projectdir__ / Path(
'python2dynare/temp/stochsimul/')
# add model
sys.path.append(str(__projectdir__ /
Path('submodules/dsge-perturbation/')))
from dsgesetup_func import getmodel_inputdict
inputdict = getmodel_inputdict(inputdict)
# add shocksddict
sys.path.append(str(__projectdir__ /
Path('submodules/dsge-perturbation/')))
from getshocks_func import getshocksddict_inputdict
inputdict = getshocksddict_inputdict(inputdict)
# python2dynare
inputdict['python2dynare_simulation'] = 'stoch_simul(order=1);'
sys.path.append(str(__projectdir__ /
Path('submodules/dsge-perturbation/')))
from python2dynare_func import python2dynare_inputdict
python2dynare_inputdict(inputdict)
# run dynare
if run is True:
# run dynare
sys.path.append(
str(__projectdir__ / Path('submodules/dsge-perturbation/')))
from python2dynare_func import rundynare_inputdict
rundynare_inputdict(inputdict)
def stochsimul(run = True):
sys.path.append(str(__projectdir__ / Path('dsgesetup')))
from rbc_simple import getinputdict
inputdict = getinputdict()
inputdict['savefolder'] = __projectdir__ / Path('python2dynare/temp/stochsimul/')
# add model
sys.path.append(str(__projectdir__ / Path('submodules/dsge-perturbation/')))
from dsgesetup_func import getmodel_inputdict
inputdict = getmodel_inputdict(inputdict)
# add shocksddict
inputdict['shocksddict'] = {'epsilon_a': 0.01}
sys.path.append(str(__projectdir__ / Path('submodules/dsge-perturbation/')))
from getshocks_func import getshocksddict_inputdict
inputdict = getshocksddict_inputdict(inputdict)
# python2dynare
inputdict['python2dynare_simulation'] = 'extended_path(periods=100,solver_periods=100);'
sys.path.append(str(__projectdir__ / Path('submodules/dsge-perturbation/')))
from python2dynare_func import python2dynare_inputdict
python2dynare_inputdict(inputdict)
# run dynare
if run is True:
# run dynare
sys.path.append(str(__projectdir__ / Path('submodules/dsge-perturbation/')))
from python2dynare_func import rundynare_inputdict
rundynare_inputdict(inputdict)
# get irfs
sys.path.append(str(__projectdir__ / Path('submodules/dsge-perturbation/')))
from python2dynare_func import getirfs_dynare_inputdict
getirfs_dynare_inputdict(inputdict)
def getsimdata(varnames, numperiods = 100):
"""
To get simulated data, we simulate out the system of equations.
"""
inputdict = getinputdict_full()
# complete inputdict
sys.path.append(str(__projectdir__ / Path('submodules/dsge-perturbation/')))
from dsgesetup_func import getmodel_inputdict
inputdict = getmodel_inputdict(inputdict)
# get policy function
sys.path.append(str(__projectdir__ / Path('submodules/dsge-perturbation/')))
from dsge_bkdiscrete_func import polfunc_inputdict
inputdict = polfunc_inputdict(inputdict)
# add shocks
inputdict['pathsimperiods'] = numperiods
sys.path.append(str(__projectdir__ / Path('submodules/dsge-perturbation/')))
from getshocks_func import getshockpath_inputdict
inputdict = getshockpath_inputdict(inputdict)
# simulate path
sys.path.append(str(__projectdir__ / Path('submodules/dsge-perturbation/')))
from simlineardsge_func import simpathlinear_inputdict
inputdict = simpathlinear_inputdict(inputdict)
data = inputdict['varpath'][:, [inputdict['stateshockcontrolposdict'][varnames[i]] for i in range(len(varnames))]]
return(data)
def getmodel():
from rbc_simple import getinputdict
inputdict = getinputdict()
sys.path.append(str(__projectdir__ / Path('submodules/dsge-perturbation/')))
from dsgesetup_func import getmodel_inputdict
inputdict = getmodel_inputdict(inputdict)
return(inputdict)
def simul(run=False, shockpathspecify=False):
"""
If run = True, need to specify inputdict['dynarepath'] and (if you want to use Octave) inputdict['runwithoctave'] = True
"""
sys.path.append(str(__projectdir__ / Path('dsgesetup')))
from rbc_simple import getinputdict
inputdict = getinputdict()
inputdict['savefolder'] = __projectdir__ / Path(
'python2dynare/temp/simul_shockpath/')
# add model
sys.path.append(str(__projectdir__ /
Path('submodules/dsge-perturbation/')))
from dsgesetup_func import getmodel_inputdict
inputdict = getmodel_inputdict(inputdict)
# add pathshock
if shockpathspecify is True:
inputdict['shockpath'] = np.array([[1, 1, 1] + [0] * 17]).transpose()
else:
inputdict['pathsimperiods'] = 20
inputdict['pathsimperiods_noshock'] = 10
sys.path.append(
str(__projectdir__ / Path('submodules/dsge-perturbation/')))
from getshocks_func import getshockpath_inputdict
inputdict = getshockpath_inputdict(inputdict)
# python2dynare
inputdict['python2dynare_simulation'] = 'simul(periods = 300);'
sys.path.append(str(__projectdir__ /
Path('submodules/dsge-perturbation/')))
from python2dynare_func import python2dynare_inputdict
python2dynare_inputdict(inputdict)
# run dynare
if run is True:
# run dynare
sys.path.append(
str(__projectdir__ / Path('submodules/dsge-perturbation/')))
from python2dynare_func import rundynare_inputdict
rundynare_inputdict(inputdict)
# get irfs
sys.path.append(
str(__projectdir__ / Path('submodules/dsge-perturbation/')))
from python2dynare_func import getirfs_dynare_inputdict
getirfs_dynare_inputdict(inputdict)
def dynare_extendedpath(p=None, run=False):
"""
Solve model by extended path.
The extended path method in Dynare assumes agents at t only know shocks at t.
If I could input the shockpath, this should yield the same as occbin/myoccbin.
But I don't see to be able to do that - I have to specify the shock s.d. instead.
"""
if p is None:
p = getp_default()
p['monetary'] = 'taylor-zlb'
inputdict = getinputdict(p)
inputdict['savefolder'] = os.path.join(__projectdir__,
'regimes/temp/extendedpath/')
# add model
sys.path.append(str(__projectdir__ /
Path('submodules/dsge-perturbation/')))
from dsgesetup_func import getmodel_inputdict
inputdict = getmodel_inputdict(inputdict)
# add shock path
inputdict['shocksddict'] = copy.deepcopy(shocksddict_default)
# generate python2dynare
inputdict[
'python2dynare_simulation'] = 'extended_path(periods = 20,solver_periods=100);'
sys.path.append(str(__projectdir__ /
Path('submodules/dsge-perturbation/')))
from python2dynare_func import python2dynare_inputdict
python2dynare_inputdict(inputdict)
# run dynare
if run is True:
# run dynare
sys.path.append(
str(__projectdir__ / Path('submodules/dsge-perturbation/')))
from python2dynare_func import rundynare_inputdict
rundynare_inputdict(inputdict)
# get irfs
sys.path.append(
str(__projectdir__ / Path('submodules/dsge-perturbation/')))
from python2dynare_func import getirfs_dynare_inputdict
getirfs_dynare_inputdict(inputdict)
def dynare_simul(p=None, run=False):
"""
Use the Dynare simul method to solve given the constraint.
This method implies that at time t, agents anticipate the values of future shocks.
Thus, this method does not produce the same results as occbin which assumes that agents only know the values of shocks today.
"""
if p is None:
p = getp_default()
p['monetary'] = 'taylor-zlb'
inputdict = getinputdict(p)
inputdict['savefolder'] = os.path.join(__projectdir__,
'regimes/temp/perfect_foresight/')
# add model
sys.path.append(str(__projectdir__ /
Path('submodules/dsge-perturbation/')))
from dsgesetup_func import getmodel_inputdict
inputdict = getmodel_inputdict(inputdict)
# add shock path
inputdict['shockpath'] = shockpath_default
# generate python2dynare
inputdict['python2dynare_simulation'] = 'simul(periods = 20);'
sys.path.append(str(__projectdir__ /
Path('submodules/dsge-perturbation/')))
from python2dynare_func import python2dynare_inputdict
python2dynare_inputdict(inputdict)
# run dynare
if run is True:
# run dynare
sys.path.append(
str(__projectdir__ / Path('submodules/dsge-perturbation/')))
from python2dynare_func import rundynare_inputdict
rundynare_inputdict(inputdict)
# get irfs
sys.path.append(
str(__projectdir__ / Path('submodules/dsge-perturbation/')))
from python2dynare_func import getirfs_dynare_inputdict
getirfs_dynare_inputdict(inputdict)
def polfunc():
sys.path.append(str(__projectdir__ / Path('dsgesetup')))
from rbc_simple import getinputdict
inputdict = getinputdict()
# add model
sys.path.append(str(__projectdir__ /
Path('submodules/dsge-perturbation/')))
from dsgesetup_func import getmodel_inputdict
inputdict = getmodel_inputdict(inputdict)
# get policy function
sys.path.append(str(__projectdir__ /
Path('submodules/dsge-perturbation/')))
from dsge_bkdiscrete_func import polfunc_inputdict
inputdict = polfunc_inputdict(inputdict)
print(inputdict['hx'])
print(inputdict['gx'])
