def feasible(bmat, nmat, rpath, args):
'''
--------------------------------------------------------------------
This function checks whether any constraints are violated by
matrices for savings and labor supply given a time path for interest
rates
--------------------------------------------------------------------
--------------------------------------------------------------------
'''
(lambdas, emat, omega_vec, mort_rates, zeta_mat, g_y, l_tilde, g_n_SS, Z,
gamma, delta) = args
J = len(lambdas)
b_feas = bmat > 0.0
if (bmat <= 0.0).sum() > 0.0:
err_msg = ('SS ERROR: Some value of initial guess for ' +
'bmat_ss is less than or equal to zero. ' +
'b_{j,s}<=0 for some j and s.')
print('b_feas:', b_feas)
raise RuntimeError(err_msg)
n_feas = (nmat > 0.0) & (nmat < l_tilde)
if ((nmat <= 0.0) | (nmat >= l_tilde)).sum() > 0.0:
err_msg = ('SS ERROR: Some value of initial guess for ' +
'nmat_ss is less than or equal to zero or greater ' +
'than or equal to l_tilde. n_{j,s}<=0 or ' +
'n_{j,s}>=l_tildefor some j and s.')
print('n_feas:', n_feas)
raise RuntimeError(err_msg)
w_params = (Z, gamma, delta)
wpath = firms.get_w(rpath, w_params)
b_s_mat = np.vstack((np.zeros(J), bmat[:-1, :]))
b_sp1_mat = bmat
BQ_args = (lambdas, omega_vec, mort_rates, g_n_SS)
BQ = aggr.get_BQ(bmat, rpath, BQ_args)
c_args = (emat, zeta_mat, lambdas, omega_vec, g_y)
cmat = get_cons(rpath, wpath, b_s_mat, b_sp1_mat, nmat, BQ, c_args)
c_feas = cmat > 0.0
if (cmat <= 0.0).sum() > 0.0:
err_msg = ('SS ERROR: Some value of initial guess for ' +
'bmat_ss or nmat_ss is not feasible because ' +
'resulting cmat_ss has a value that is less than ' +
'or equal to zero. c_{j,s}<=0 for some j and s.')
print('c_feas:', c_feas)
raise RuntimeError(err_msg)
return b_feas, n_feas, c_feas
def FOCs(b_sp1, n_s, *args):
(b_init, BQ, rho_s, omega, g_n, beta, sigma, l_tilde, chi, b_ellipse,
upsilon, r, w, method) = args
b_s = np.append(b_init, b_sp1)
b_sp1 = np.append(b_sp1, 0.0)
if method == 'SS':
# if method is SS, solve for BQ, else (case of TPI), use BQ
# as guessed in the "outer loop"
BQ_params = (omega, g_n, rho_s)
BQ = agg.get_BQ(b_s, r, BQ_params, method)
c = get_c(r, w, n_s, b_s, b_sp1, BQ)
b_args = (rho_s, beta, sigma, r)
b_errors = FOC_save(c, b_args)
n_args = (sigma, w, l_tilde, chi, b_ellipse, upsilon)
n_errors = FOC_labor(c, n_s, n_args)
errors = np.append(b_errors, n_errors)
return errors
def solve_tp(g_n_path, omega_S_preTP, rho_s, imm_rates_path, omega_SS, omega_path_S, params):
'''
Solves for the time path equilibrium using TPI
'''
# Missing some elements of params
b_ss, r_ss, n_s, r_11, alpha, A, delta, beta, sigma, T, S = params
dist = 8.0
mindist = 1e-08
maxiter = 300
tpi_iter = 0
xi = 0.2
while dist > mindist and tpi_iter < maxiter:
# Define paths
b_11 = 1.1 * b_ss
BQ_params = (g_n_path[0], omega_S_preTP, rho_s)
K_params = (g_n_path[0], omega_S_preTP, imm_rates_path[0, :])
BQ_11 = agg.get_BQ(b_11, r_11, BQ_params, method = "TPI")
BQ_ss = agg.get_BQ(b_ss, r_ss, BQ_params, method = "SS")
K_11 = agg.get_K(b_11, K_params)
BQpath_init = np.zeros(T + S - 1)
BQpath_init[:T] = np.linspace(BQ_11, BQ_ss, T)
BQpath_init[T:] = BQ_ss
L_ss = agg.get_L(n_s, omega_SS)
r_11 = firm.get_r(L_ss, K_11, alpha, A, delta)
# I can't figure out how r_11 and r_path differ
''' Is r_11 an initial guess? Depending on how you're defining
r_11, the arguments passed to the function call above and below
will vary
'''
r_path = firm.get_r(L_ss, K_11, alpha, A, delta)
w_path = firm.get_w(r_path, alpha, A, delta)
bmat = np.zeros((S - 1, T + S - 1))
# What is b_1 supposed to be?
bmat[:, 0] = b_1
# Solve for households
for p in range(2, S):
b_guess = np.diagonal(bmat[S - p:, :p - 1])
b_init = bmat[S - p - 1, 0]
b_params = (b_init, n_s[-p:], r_path[:p], w_path[:p],
BQpath_init[:p], rho_s[-p:], beta, sigma)
results_bp = opt.root(hh.FOCs, b_guess, args=(b_params))
b_solve_p = results_bp.x
DiagMaskbp = np.eye(p - 1, dtype=bool)
bmat[S - p:, 1:p] = DiagMaskbp * b_solve_p + bmat[S - p:, 1:p]
for t in range(1, T + 1):
b_guess = np.diagonal(bmat[:, t - 1:t + S - 2])
b_init = 0.0
b_params = (b_init, n_s, r_path[t - 1:t + S - 1],
w_path[t - 1:t + S - 1], BQpath_init[t - 1:t + S - 1],
rho_s, beta, sigma)
results_bt = opt.root(hh.FOCs, b_guess, args=(b_params))
b_solve_t = results_bt.x
DiagMaskbt = np.eye(S - 1, dtype=bool)
bmat[:, t:t + S - 1] = (DiagMaskbt * b_solve_t +
bmat[:, t:t + S - 1])
new_Kpath = np.zeros(T)
new_Kpath[0] = K_11
new_Kpath[1:] = \
(1 / (omega_path_S[:T - 1, :-1]) *
bmat[:, 1:T].T +
imm_rates_path[:T - 1, 1:] *
omega_path_S[:T - 1, 1:] * bmat[:, 1:T].T).sum(axis=1)
new_BQpath = np.zeros(T)
new_BQpath[0] = BQ_11
new_BQpath[1:] = \
((1 + r_path[1:T]) / (rho_s[:-1]) *
omega_path_S[:T - 1, :-1] * bmat[:, 1:T].T).sum(axis=1)
dist = ((BQ_init - new_BQ) ** 2).sum()
BQpath_init[:T] = xi * new_BQpath[:T] + (1 - xi) * BQpath_init[:T]
# update iteration counter
tpi_iter += 1
if tpi_iter < maxiter:
print('The time path solved! ->', ' iter:', tpi_iter, ', dist: ', dist)
else:
print('The time path did not solve.')
return [new_Kpath, new_BQpath]
def get_SS(init_vals, args, graphs=False):
'''
--------------------------------------------------------------------
Solve for the steady-state solution of the S-period-lived agent OG
model with endogenous labor supply using the bisection method in K
and L for the outer loop
--------------------------------------------------------------------
INPUTS:
init_vals = length 3 tuple, (r_init, c1_init, factor_init)
args = length 19 tuple, (J, S, lambdas, emat, beta, sigma,
l_tilde, b_ellip, upsilon, chi_n_vec_hat, Z, gamma,
delta, Bsct_Tol, Eul_Tol, xi, maxiter, mean_ydata,
init_calc)
graphs = boolean, =True if output steady-state graphs
OTHER FUNCTIONS AND FILES CALLED BY THIS FUNCTION:
firms.get_r()
firms.get_w()
utils.print_time()
inner_loop()
creat_graphs()
OBJECTS CREATED WITHIN FUNCTION:
start_time = scalar > 0, clock time at beginning of program
r_init = scalar > -delta, initial guess for steady-state
interest rate
c1_init = (J,) vector, initial guess for first period
consumption by all J ability types
factor_init = scalar > 0, initial guess for factor that scales
model units to data units
J = integer >= 1, number of heterogeneous ability groups
S = integer in [3, 80], number of periods an individual
lives
lambdas = (J,) vector, income percentiles for distribution of
ability within each cohort
emat = (S, J) matrix, lifetime ability profiles for each
lifetime income group j
beta = scalar in (0,1), discount factor for each model per
sigma = scalar > 0, coefficient of relative risk aversion
l_tilde = scalar > 0, time endowment of each agent each period
b_ellip = scalar > 0, fitted value of b for elliptical
disutility of labor
upsilon = scalar > 1, fitted value of upsilon for elliptical
disutility of labor
chi_n_vec_hat = (S,) vector, values for chi^n_s hat from data
Z = scalar > 0, total factor productivity parameter in
firms' production function
gamma = scalar in (0,1), capital share of income
delta = scalar in [0,1], model-period depreciation rate of
capital
Bsct_Tol = scalar > 0, tolerance level for outer-loop bisection
method
Eul_Tol = scalar > 0, tolerance level for inner-loop root
finder
xi = scalar in (0, 1], SS updating parameter in outer-
loop bisection method
maxiter = integer >= 1, maximum number of iterations in outer-
loop bisection method
mean_ydata = scalar > 0, average household income from the data
init_calc = boolean, =True if initial steady-state calculation
with chi_n_vec = 1 for all s
iter_SS = integer >= 0, index of iteration number
dist = scalar > 0, distance metric for current iteration
c1_options = length 1 dict, options to pass into
opt.root(c1_bSp1err,...)
rw_params = length 3 tuple, (Z, gamma, delta) args to pass into
firms.get_w()
c1ss_init = (J,) vector, initial guess for css_{j,1}, updates
each iteration
lambda_mat = (S, J) matrix, lambdas vector copied down S rows
w_init = scalar, initial value for wage
chi_n_vec = (S,) vector, chi^n_s values that scale the
disutility of labor supply
inner_args = length 16 tuple, args to pass into inner_loop()
K_new = scalar > 0, updated K given r_init and w_init
L_new = scalar > 0, updated L given r_init and w_init
cmat = (S, J) matrix, lifetime household consumption by age
s and ability j
nmat = (S, J) matrix, lifetime household labor supply by
age s and ability j
bmat = (S, J) matrix, lifetime household savings by age s
and ability j (b1, b2,...bS)
b_Sp1_vec = (J,) vector, household savings in last period for
each ability type, should be arbitrarily close to 0
r_new = scalar > 0, updated interest rate given nmat, bmat
w_new = scalar > 0, updated wage given nmat and bmat
n_err_mat = (S, J) matrix, labor supply Euler errors given
r_init and w_init
b_err_mat = (S, J) matrix, savings Euler errors given r_init
and w_init. First row is identically zeros
all_errors = (2JS + J,) vector, (n_errors, b_errors, b_Sp1_vec)
avg_inc_model = scalar > 0, average household income in model
factor_new = scalar > 0, updated factor value given nmat, bmat,
r_new, and w_new
c_ss = (S, J) matrix, steady-state lifetime consumption
n_ss = (S, J) matrix, steady-state lifetime labor supply
b_ss = (S, J) matrix, steady-state wealth (savings) at
beginning of each period (b1, b2, ...bS)
b_Sp1_ss = (J,) vector, steady-state savings in last period of
life for all J ability types, approx. 0 in equilbrm
n_err_ss = (S, J) matrix, lifetime labor supply Euler errors
b_err_ss = (S, J) matrix, lifetime savings Euler errors
r_ss = scalar > 0, steady-state interest rate
w_ss = scalar > 0, steady-state wage
K_ss = scalar > 0, steady-state aggregate capital stock
L_ss = scalar > 0, steady-state aggregate labor
Y_params = length 2 tuple, (Z, gamma)
Y_ss = scalar > 0, steady-state aggregate output (GDP)
C_ss = scalar > 0, steady-state aggregate consumption
RCerr_ss = scalar, resource constraint error
ss_time = scalar, seconds elapsed for steady-state computation
ss_output = length 16 dict, steady-state objects {c_ss, n_ss,
b_ss, b_Sp1_ss, w_ss, r_ss, K_ss, L_ss, Y_ss, C_ss,
n_err_ss, b_err_ss, RCerr_ss, ss_time, chi_n_vec,
factor_ss}
FILES CREATED BY THIS FUNCTION: None
RETURNS: ss_output
--------------------------------------------------------------------
'''
start_time = time.clock()
r_init, BQ_init, factor_init, bmat_init, nmat_init = init_vals
(J, E, S, lambdas, emat, mort_rates, imm_rates, omega_SS, g_n_SS, zeta_mat,
chi_n_vec_hat, chi_b_vec, beta, sigma, l_tilde, b_ellip, upsilon, g_y, Z,
gamma, delta, SS_tol_outer, SS_tol_inner, xi, maxiter, mean_ydata,
init_calc) = args
iter_SS = 0
dist = 10
rw_params = (Z, gamma, delta)
BQ_args = (lambdas, omega_SS, mort_rates, g_n_SS)
lambda_mat = np.tile(lambdas.reshape((1, J)), (S, 1))
omega_mat = np.tile(omega_SS.reshape((S, 1)), (1, J))
while (iter_SS < maxiter) and (dist >= SS_tol_outer):
iter_SS += 1
w_init = firms.get_w(r_init, rw_params)
if init_calc:
print('Factor init is one. No modification performed to ' +
'chi_n_vec. Dist calculated without factor.')
chi_n_vec = chi_n_vec_hat
else:
chi_n_vec = chi_n_vec_hat * (factor_init**(sigma - 1))
rpath = r_init * np.ones(S)
wpath = w_init * np.ones(S)
BQpath = BQ_init * np.ones(S)
cnb_args = (S, lambdas, emat, mort_rates, omega_SS, zeta_mat,
chi_n_vec, chi_b_vec, beta, sigma, l_tilde, b_ellip,
upsilon, g_y, g_n_SS, SS_tol_inner)
cmat, nmat, bmat, n_err_mat, b_err_mat = \
hh.get_cnb_mats(bmat_init, nmat_init, np.zeros(J), rpath,
wpath, BQpath, cnb_args)
K_args = (lambdas, omega_SS, imm_rates, g_n_SS)
K_new, K_cstr = aggr.get_K(bmat, K_args)
L_args = (emat, lambdas, omega_SS)
L_new, L_cstr = aggr.get_L(nmat, L_args)
r_new = firms.get_r(K_new, L_new, rw_params)
w_new = firms.get_w(r_new, rw_params)
BQ_new = aggr.get_BQ(bmat, r_new, BQ_args)
all_errors = \
np.hstack((b_err_mat.flatten(), n_err_mat.flatten()))
if init_calc:
dist = max(np.absolute((r_new - r_init) / r_init),
np.absolute((BQ_new - BQ_init) / BQ_init))
else:
avg_inc_model = (omega_mat * lambda_mat *
(r_new * bmat + w_new * emat * nmat)).sum()
factor_new = mean_ydata / avg_inc_model
print('mean_ydata: ', mean_ydata, ', avg_inc_model: ',
avg_inc_model)
print('r_new: ', r_new, 'BQ_new', BQ_new, 'factor_new: ',
factor_new)
dist = max(np.absolute((r_new - r_init) / r_init),
np.absolute((BQ_new - BQ_init) / BQ_init),
np.absolute((factor_new - factor_init) / factor_init))
factor_init = xi * factor_new + (1 - xi) * factor_init
r_init = xi * r_new + (1 - xi) * r_init
BQ_init = xi * BQ_new + (1 - xi) * BQ_init
print('SS Iter=', iter_SS, ', SS Dist=', '%10.4e' % (dist),
', Max Abs Err=', '%10.4e' % (np.absolute(all_errors).max()))
bmat_init = bmat
nmat_init = nmat
chi_n_vec = chi_n_vec_hat * (factor_init**(sigma - 1))
c_ss = cmat.copy()
n_ss = nmat.copy()
b_ss = bmat.copy()
n_err_ss = n_err_mat.copy()
b_err_ss = b_err_mat.copy()
r_ss = r_new.copy()
w_ss = w_new.copy()
BQ_ss = BQ_new.copy()
K_ss = K_new.copy()
L_ss = L_new.copy()
factor_ss = factor_init
I_args = (lambdas, omega_SS, imm_rates, g_n_SS, g_y, delta)
I_ss = aggr.get_I(b_ss, I_args)
NX_args = (lambdas, omega_SS, imm_rates, g_y)
NX_ss = aggr.get_NX(b_ss, NX_args)
Y_params = (Z, gamma)
Y_ss = aggr.get_Y(K_ss, L_ss, Y_params)
C_args = (lambdas, omega_SS)
C_ss = aggr.get_C(c_ss, C_args)
RCerr_ss = Y_ss - C_ss - I_ss - NX_ss
ss_time = time.clock() - start_time
ss_output = {
'c_ss': c_ss,
'n_ss': n_ss,
'b_ss': b_ss,
'BQ_ss': BQ_ss,
'w_ss': w_ss,
'r_ss': r_ss,
'K_ss': K_ss,
'L_ss': L_ss,
'I_ss': I_ss,
'Y_ss': Y_ss,
'C_ss': C_ss,
'NX_ss': NX_ss,
'n_err_ss': n_err_ss,
'b_err_ss': b_err_ss,
'RCerr_ss': RCerr_ss,
'ss_time': ss_time,
'chi_n_vec': chi_n_vec,
'factor_ss': factor_ss
}
print('n_ss is: ', n_ss)
print('b_ss is: ', b_ss)
print('c_ss is: ', c_ss)
print('K_ss=', K_ss, ', L_ss=', L_ss, 'Y_ss=', Y_ss)
print('r_ss=', r_ss, ', w_ss=', w_ss, 'C_ss=', C_ss)
print('BQ_ss=', BQ_ss, ', I_ss=', I_ss, ', NX_ss=', NX_ss)
print('Maximum abs. labor supply Euler error is: ',
np.absolute(n_err_ss).max())
print('Maximum abs. savings Euler error is: ', np.absolute(b_err_ss).max())
print('Resource constraint error is: ', RCerr_ss)
print('Final chi_n_vec from SS:', chi_n_vec)
print('SS factor is: ', factor_ss)
# Print SS computation time
utils.print_time(ss_time, 'SS')
if graphs:
gr_args = (E, S, J, chi_n_vec, lambdas)
create_graphs(c_ss, b_ss, n_ss, gr_args)
return ss_output
def get_TPI(bmat1, args, graphs):
'''
--------------------------------------------------------------------
Solves for transition path equilibrium using time path iteration
(TPI)
--------------------------------------------------------------------
INPUTS:
bmat1 = (S, J) matrix, initial period wealth (savings) distribution
args = length 25 tuple, (J, S, T1, T2, lambdas, emat, beta, sigma,
l_tilde, b_ellip, upsilon, chi_n_vec, Z, gamma, delta, r_ss,
K_ss, L_ss, C_ss, b_ss, n_ss, maxiter, Out_Tol, In_Tol, xi)
graphs = Boolean, =True if want graphs of TPI objects
OTHER FUNCTIONS AND FILES CALLED BY THIS FUNCTION:
get_path()
firms.get_r()
firms.get_w()
get_cnbpath()
aggr.get_K()
aggr.get_L()
aggr.get_Y()
aggr.get_C()
utils.print_time()
create_graphs()
OBJECTS CREATED WITHIN FUNCTION:
start_time = scalar, current processor time in seconds (float)
J = integer >= 1, number of heterogeneous ability groups
S = integer in [3,80], number of periods an individual
lives
T1 = integer > S, number of time periods until steady
state is assumed to be reached
T2 = integer > T1, number of time periods after which
steady-state is forced in TPI
lambdas = (J,) vector, income percentiles for distribution of
ability within each cohort
emat = (S, J) matrix, lifetime ability profiles for each
lifetime income group j
beta = scalar in (0,1), discount factor for model period
sigma = scalar > 0, coefficient of relative risk aversion
l_tilde = scalar > 0, time endowment for each agent each
period
b_ellip = scalar > 0, fitted value of b for elliptical
disutility of labor
upsilon = scalar > 1, fitted value of upsilon for elliptical
disutility of labor
chi_n_vec = (S,) vector, values for chi^n_s
Z = scalar > 0, total factor productivity parameter in
firms' production function
gamma = scalar in (0,1), capital share of income
delta = scalar in [0,1], per-period capital depreciation rt
r_ss = scalar > 0, steady-state aggregate interest rate
K_ss = scalar > 0, steady-state aggregate capital stock
L_ss = scalar > 0, steady-state aggregate labor
C_ss = scalar > 0, steady-state aggregate consumption
b_ss = (S,) vector, steady-state savings distribution
(b1, b2,... bS)
n_ss = (S,) vector, steady-state labor supply distribution
(n1, n2,... nS)
maxiter = integer >= 1, Maximum number of iterations for TPI
Out_Tol = scalar > 0, convergence criterion for TPI outer loop
In_Tol = scalar > 0, tolerance level for TPI inner-loop root
finders
xi = scalar in (0,1], TPI path updating parameter
K1 = scalar > 0, initial aggregate capital stock
K1_cnstr = Boolean, =True if K1 <= 0
rpath_init = (T2+S-1,) vector, initial guess for the time path of
interest rates
iter_TPI = integer >= 0, current iteration of TPI
dist = scalar >= 0, distance measure between initial and
new paths
rw_params = length 3 tuple, (Z, gamma, delta)
Y_params = length 2 tuple, (Z, gamma)
cnb_args = length 13 tuple, args to pass into get_cnbpath()
rpath = (T2+S-1,) vector, time path of the interest rates
wpath = (T2+S-1,) vector, time path of the wages
cpath = (S, J, T2+S-1) array, time path of distribution of
household consumption c_{j,s,t}
npath = (S, J, T2+S-1) matrix, time path of distribution of
household labor supply n_{j,s,t}
bpath = (S, J, T2+S-1) matrix, time path of distribution of
household savings b_{j,s,t}
n_err_path = (S, J, T2+S-1) matrix, time path of distribution of
household labor supply Euler errors
b_err_path = (S, J, T2+S-1) matrix, time path of distribution of
household savings Euler errors. b_{j,1,t} = 0 for all
j and t
Kpath_new = (T2+S-1,) vector, new path of aggregate capital stock
implied by household and firm optimization
Kpath_cnstr = (T2+S-1,) Boolean vector, =True if K_t<=epsilon
Lpath_new = (T2+S-1,) vector, new path of aggregate labor implied
by household and firm optimization
Lpath_cstr = (T2+S-1,) Boolean vector, =True if L_t<=epsilon
rpath_new = (T2+S-1,) vector, updated time path of interest rate
Ypath = (T2+S-1,) vector, equilibrium time path of aggregate
output (GDP) Y_t
Cpath = (T2+S-1,) vector, equilibrium time path of aggregate
consumption C_t
RCerrPath = (T2+S-2,) vector, equilibrium time path of the
resource constraint error. Should be 0 in eqlb'm
Y_t - C_t - K_{t+1} + (1-delta)*K_t
MaxAbsEulErr = scalar > 0, maximum absolute Euler error. Includes
both labor supply and savings Euler errors
Kpath = (T2+S-1,) vector, equilibrium time path of aggregate
capital stock K_t
Lpath = (T2+S-1,) vector, equilibrium time path of aggregate
labor L_t
tpi_time = scalar, time to compute TPI solution (seconds)
tpi_output = length 13 dictionary, {cpath, npath, bpath, wpath,
rpath, Kpath, Lpath, Ypath, Cpath, n_err_path,
b_err_path, RCerrPath, tpi_time}
graph_args = length 4 tuple, (J, S, T2, lambdas)
FILES CREATED BY THIS FUNCTION:
Kpath.png
Lpath.png
rpath.png
wpath.png
Ypath.png
C_aggr_path.png
cpath_avg_s.png
cpath_avg_j.png
npath_avg_s.png
npath_avg_j.png
bpath_avg_s.png
bpath_avg_j.png
RETURNS: tpi_output
--------------------------------------------------------------------
'''
start_time = time.clock()
(J, E, S, T1, T2, lambdas, emat, mort_rates, imm_rates_mat, omega_path,
g_n_path, zeta_mat, chi_n_vec, chi_b_vec, beta, sigma, l_tilde, b_ellip,
upsilon, g_y, Z, gamma, delta, r_ss, BQ_ss, K_ss, L_ss, C_ss, b_ss, n_ss,
maxiter, Out_Tol, In_Tol, xi) = args
K1, K1_cnstr = aggr.get_K(bmat1, lambdas)
# Create time paths for r and BQ
rpath_init = np.zeros(T2 + S - 1)
BQpath_init = np.zeros(T2 + S - 1)
rpath_init[:T1] = get_path(r_ss, r_ss, T1, 'quadratic')
rpath_init[T1:] = r_ss
BQ_args = (lambdas, omega_path[0, :], mort_rates, g_n_path[0])
BQ_1 = aggr.get_BQ(bmat1, r_ss, BQ_args)
BQpath_init[:T1] = get_path(BQ_1, BQ_ss, T1, 'quadratic')
BQpath_init[T1:] = BQ_ss
iter_TPI = int(0)
dist = 10.0
rw_params = (Z, gamma, delta)
Y_params = (Z, gamma)
cnb_args = (J, S, T2, lambdas, emat, omega_path, beta, sigma, l_tilde,
b_ellip, upsilon, chi_n_vec, bmat1, n_ss, In_Tol)
while (iter_TPI < maxiter) and (dist >= Out_Tol):
iter_TPI += 1
rpath = rpath_init
BQpath = BQpath_init
wpath = firms.get_w(rpath_init, rw_params)
cpath, npath, bpath, n_err_path, b_err_path = \
get_cnbpath(rpath, wpath, cnb_args)
Kpath_new = np.zeros(T2 + S - 1)
Kpath_new[:T2], Kpath_cstr = aggr.get_K(bpath[:, :, :T2], lambdas)
Kpath_new[T2:] = K_ss
Kpath_cstr = np.append(Kpath_cstr, np.zeros(S - 1, dtype=bool))
Lpath_new = np.zeros(T2 + S - 1)
Lpath_new[:T2], Lpath_cstr = aggr.get_L(npath[:, :, :T2], lambdas,
emat)
Lpath_new[T2:] = L_ss
Lpath_cstr = np.append(Lpath_cstr, np.zeros(S - 1, dtype=bool))
rpath_new = firms.get_r(Kpath_new, Lpath_new, rw_params)
BQpath_new = aggr.get_BQ()
Ypath = aggr.get_Y(Kpath_new, Lpath_new, Y_params)
Cpath = np.zeros(T2 + S - 1)
Cpath[:T2] = aggr.get_C(cpath[:, :, :T2], lambdas)
Cpath[T2:] = C_ss
RCerrPath = np.zeros(T2 + S - 1)
RCerrPath[:-1] = (Ypath[:-1] - Cpath[:-1] - Kpath_new[1:] +
(1 - delta) * Kpath_new[:-1])
RCerrPath[-1] = RCerrPath[-2]
# Check the distance of rpath_new
dist = (np.absolute(rpath_new[:T2] - rpath_init[:T2])).max()
MaxAbsEulErr = np.absolute(np.hstack((n_err_path, b_err_path))).max()
print('TPI iter: ', iter_TPI, ', dist: ', "%10.4e" % (dist),
', max abs all errs: ', "%10.4e" % MaxAbsEulErr)
# The resource constraint does not bind across the transition
# path until the equilibrium is solved
rpath_init[:T2] = (xi * rpath_new[:T2] + (1 - xi) * rpath_init[:T2])
if (iter_TPI == maxiter) and (dist > Out_Tol):
print('TPI reached maxiter and did not converge.')
elif (iter_TPI == maxiter) and (dist <= Out_Tol):
print('TPI converged in the last iteration. ' +
'Should probably increase maxiter_TPI.')
Kpath = Kpath_new
Lpath = Lpath_new
tpi_time = time.clock() - start_time
tpi_output = {
'cpath': cpath,
'npath': npath,
'bpath': bpath,
'wpath': wpath,
'rpath': rpath,
'Kpath': Kpath,
'Lpath': Lpath,
'Ypath': Ypath,
'Cpath': Cpath,
'n_err_path': n_err_path,
'b_err_path': b_err_path,
'RCerrPath': RCerrPath,
'tpi_time': tpi_time
}
# Print maximum resource constraint error. Only look at resource
# constraint up to period T2 - 1 because period T2 includes K_{t+1},
# which was forced to be the steady-state
print('Max abs. RC error: ',
"%10.4e" % (np.absolute(RCerrPath[:T2 - 1]).max()))
# Print TPI computation time
utils.print_time(tpi_time, 'TPI')
if graphs:
graph_args = (J, S, T2, lambdas)
create_graphs(tpi_output, graph_args)
return tpi_output
Frisch_elast, CFE_scale)
calibrate = pjp.process_calibration_parameters()
init_chi1 = pickle.load(open('init_chi1.pkl', 'rb'))
# rss_init = 0.15
rss_init = init_chi1['r_ss']
# bmat_init = 0.01 * np.ones((S, J))
bmat_init = init_chi1['b_ss']
# nmat_init = 0.5 * l_tilde * np.ones((S, J))
nmat_init = init_chi1['n_ss']
rss_path = rss_init * np.ones(S)
f_args = (lambdas, emat, omega_SS, mort_rates, zeta_mat, g_y, l_tilde,
g_n_SS, Z, gamma, delta)
b_feas, n_feas, c_feas = hh.feasible(bmat_init, nmat_init, rss_path,
f_args)
BQ_args = (lambdas, omega_SS, mort_rates, g_n_SS)
BQ_init = aggr.get_BQ(bmat_init, rss_init, BQ_args)
factor_init = 1.0
init_calc = True
mean_ydata = calibrate.get_avg_ydata()
chi_n_vec = 1.0 * np.ones(S)
ss_init_vals = (rss_init, BQ_init, factor_init, bmat_init, nmat_init)
ss_args_noclb = (J, E, S, lambdas, emat, mort_rates, imm_rates_adj,
omega_SS, g_n_SS, zeta_mat, chi_n_vec, chi_b_vec, beta,
sigma, l_tilde, b_ellip, upsilon, g_y, Z, gamma, delta,
SS_tol_outer, SS_tol_inner, xi_SS, SS_maxiter, mean_ydata,
init_calc)
print(ss_args_noclb)
ss_output_noclb = ss.get_SS(ss_init_vals, ss_args_noclb, False)
# Save ss_output as pickle
pickle.dump(ss_output_noclb, open(ss_outfile_noclb, 'wb'))
def solve_tp(g_n_path, omega_S_preTP, rho_s, imm_rates_path, params):
'''
Solves for the time path equilibrium using TPI
'''
# Missing some elements of params
b_ss, r_11, T, S = params
dist = 8.0
mindist = 1e-08
maxiter = 300
tpi_iter = 0
xi = 0.2
while dist > mindist and tpi_iter < maxiter:
# Define paths
b_11 = 1.1 * b_ss
BQ_params = (g_n_path[0], omega_S_preTP, rho_s)
K_params = (g_n_path[0], omega_S_preTP, imm_rates_path[0, :])
BQ_11 = agg.get_BQ(b_11, r_11, BQ_params)
K_11 = agg.get_K(b_11, K_params)
BQpath_init = np.zeros(T + S - 1)
BQpath_init[:T] = np.linspace(BQ_11, BQ_ss, T)
BQpath_init[T:] = BQ_ss
r_11 = firm.get_r(K_11, L_ss, r_params)
r_path = firm.get_r(L_ss, r_params)
w_path = firm.get_w(L_ss, w_params)
bmat = np.zeros((S - 1, T + S - 1))
bmat[:, 0] = b_1
# Solve for households
for p in range(2, S):
b_guess = np.diagonal(bmat[S - p:, :p - 1])
b_init = bmat[S - p - 1, 0]
b_params = (b_init, n[-p:], r_path[:p], w_path[:p],
BQpath_init[:p], rho_s[-p:], beta, sigma)
results_bp = opt.root(hh.FOCs, b_guess, args=(b_params))
b_solve_p = results_bp.x
DiagMaskbp = np.eye(p - 1, dtype=bool)
bmat[S - p:, 1:p] = DiagMaskbp * b_solve_p + bmat[S - p:, 1:p]
for t in range(1, T + 1):
b_guess = np.diagonal(bmat[:, t - 1:t + S - 2])
b_init = 0.0
b_params = (b_init, n, r_path[t - 1:t + S - 1],
w_path[t - 1:t + S - 1], BQpath_init[t - 1:t + S - 1],
rho_s, beta, sigma)
results_bt = opt.root(hh.FOCs, b_guess, args=(b_params))
b_solve_t = results_bt.x
DiagMaskbt = np.eye(S - 1, dtype=bool)
bmat[:,
t:t + S - 1] = (DiagMaskbt * b_solve_t + bmat[:, t:t + S - 1])
new_Kpath = np.zeros(T)
new_Kpath[0] = K_1
new_Kpath[1:] = \
(1 / (omega_path_S[:T - 1, :-1]) *
bmat[:, 1:T].T +
imm_rates_path[:T - 1, 1:] *
omega_path_S[:T - 1, 1:] * bmat[:, 1:T].T).sum(axis=1)
new_BQpath = np.zeros(T)
new_BQpath[0] = BQ_1
new_BQpath[1:] = \
((1 + r_path[1:T]) / (rho_s[:-1]) *
omega_path_S[:T - 1, :-1] * bmat[:, 1:T].T).sum(axis=1)
dist = ((BQ_init - new_BQ)**2).sum()
BQpath_init[:T] = xi * new_BQpath[:T] + (1 - xi) * BQpath_init[:T]
# update iteration counter
tpi_iter += 1
if tpi_iter < maxiter:
print('The time path solved! ->', ' iter:', tpi_iter, ', dist: ', dist)
else:
print('The time path did not solve.')
return [new_Kpath, new_BQpath]
def run_TPI(income_tax_params, tpi_params, iterative_params, small_open_params, initial_values, SS_values, fiscal_params, biz_tax_params, output_dir="./OUTPUT", baseline_spending=False):
# unpack tuples of parameters
analytical_mtrs, etr_params, mtrx_params, mtry_params = income_tax_params
maxiter, mindist_SS, mindist_TPI = iterative_params
J, S, T, BW, beta, sigma, alpha, gamma, epsilon, Z, delta, ltilde, nu, g_y,\
g_n_vector, tau_payroll, tau_bq, rho, omega, N_tilde, lambdas, imm_rates, e, retire, mean_income_data,\
factor, h_wealth, p_wealth, m_wealth, b_ellipse, upsilon, chi_b, chi_n, theta = tpi_params
# K0, b_sinit, b_splus1init, L0, Y0,\
# w0, r0, BQ0, T_H_0, factor, tax0, c0, initial_b, initial_n, omega_S_preTP = initial_values
small_open, tpi_firm_r, tpi_hh_r = small_open_params
B0, b_sinit, b_splus1init, factor, initial_b, initial_n, omega_S_preTP, initial_debt = initial_values
Kss, Bss, Lss, rss, wss, BQss, T_Hss, revenue_ss, bssmat_splus1, nssmat, Yss, Gss = SS_values
tau_b, delta_tau = biz_tax_params
if baseline_spending==False:
budget_balance, ALPHA_T, ALPHA_G, tG1, tG2, rho_G, debt_ratio_ss = fiscal_params
else:
budget_balance, ALPHA_T, ALPHA_G, tG1, tG2, rho_G, debt_ratio_ss, T_Hbaseline, Gbaseline = fiscal_params
print 'Government spending breakpoints are tG1: ', tG1, '; and tG2:', tG2
TPI_FIG_DIR = output_dir
# Initialize guesses at time paths
# Make array of initial guesses for labor supply and savings
domain = np.linspace(0, T, T)
domain2 = np.tile(domain.reshape(T, 1, 1), (1, S, J))
ending_b = bssmat_splus1
guesses_b = (-1 / (domain2 + 1)) * (ending_b - initial_b) + ending_b
ending_b_tail = np.tile(ending_b.reshape(1, S, J), (S, 1, 1))
guesses_b = np.append(guesses_b, ending_b_tail, axis=0)
domain3 = np.tile(np.linspace(0, 1, T).reshape(T, 1, 1), (1, S, J))
guesses_n = domain3 * (nssmat - initial_n) + initial_n
ending_n_tail = np.tile(nssmat.reshape(1, S, J), (S, 1, 1))
guesses_n = np.append(guesses_n, ending_n_tail, axis=0)
b_mat = guesses_b#np.zeros((T + S, S, J))
n_mat = guesses_n#np.zeros((T + S, S, J))
ind = np.arange(S)
L_init = np.ones((T+S,))*Lss
B_init = np.ones((T+S,))*Bss
L_params = (e.reshape(1, S, J), omega[:T, :].reshape(T, S, 1), lambdas.reshape(1, 1, J), 'TPI')
L_init[:T] = aggr.get_L(n_mat[:T], L_params)
B_params = (omega[:T-1].reshape(T-1, S, 1), lambdas.reshape(1, 1, J), imm_rates[:T-1].reshape(T-1,S,1), g_n_vector[1:T], 'TPI')
B_init[1:T] = aggr.get_K(b_mat[:T-1], B_params)
B_init[0] = B0
if small_open == False:
if budget_balance:
K_init = B_init
else:
K_init = B_init * Kss/Bss
else:
K_params = (Z, gamma, epsilon, delta, tau_b, delta_tau)
K_init = firm.get_K(L_init, tpi_firm_r, K_params)
K = K_init
# if np.any(K < 0):
# print 'K_init has negative elements. Setting them positive to prevent NAN.'
# K[:T] = np.fmax(K[:T], 0.05*B[:T])
L = L_init
B = B_init
Y_params = (Z, gamma, epsilon)
Y = firm.get_Y(K, L, Y_params)
w_params = (Z, gamma, epsilon)
w = firm.get_w(Y, L, w_params)
if small_open == False:
r_params = (Z, gamma, epsilon, delta, tau_b, delta_tau)
r = firm.get_r(Y, K, r_params)
else:
r = tpi_hh_r
BQ = np.zeros((T + S, J))
BQ0_params = (omega_S_preTP.reshape(S, 1), lambdas, rho.reshape(S, 1), g_n_vector[0], 'SS')
BQ0 = aggr.get_BQ(r[0], initial_b, BQ0_params)
for j in xrange(J):
BQ[:, j] = list(np.linspace(BQ0[j], BQss[j], T)) + [BQss[j]] * S
BQ = np.array(BQ)
if budget_balance:
if np.abs(T_Hss) < 1e-13 :
T_Hss2 = 0.0 # sometimes SS is very small but not zero, even if taxes are zero, this get's rid of the approximation error, which affects the perc changes below
else:
T_Hss2 = T_Hss
T_H = np.ones(T + S) * T_Hss2
REVENUE = T_H
G = np.zeros(T + S)
elif baseline_spending==False:
T_H = ALPHA_T * Y
elif baseline_spending==True:
T_H = T_Hbaseline
T_H_new = T_H # Need to set T_H_new for later reference
G = Gbaseline
G_0 = Gbaseline[0]
# Initialize some inputs
# D = np.zeros(T + S)
D = debt_ratio_ss*Y
omega_shift = np.append(omega_S_preTP.reshape(1,S),omega[:T-1,:],axis=0)
BQ_params = (omega_shift.reshape(T, S, 1), lambdas.reshape(1, 1, J), rho.reshape(1, S, 1),
g_n_vector[:T].reshape(T, 1), 'TPI')
tax_params = np.zeros((T,S,J,etr_params.shape[2]))
for i in range(etr_params.shape[2]):
tax_params[:,:,:,i] = np.tile(np.reshape(np.transpose(etr_params[:,:T,i]),(T,S,1)),(1,1,J))
REVENUE_params = (np.tile(e.reshape(1, S, J),(T,1,1)), lambdas.reshape(1, 1, J), omega[:T].reshape(T, S, 1), 'TPI',
tax_params, theta, tau_bq, tau_payroll, h_wealth, p_wealth, m_wealth, retire, T, S, J, tau_b, delta_tau)
# print 'D/Y:', D[:T]/Y[:T]
# print 'T/Y:', T_H[:T]/Y[:T]
# print 'G/Y:', G[:T]/Y[:T]
# print 'Int payments to GDP:', (r[:T]*D[:T])/Y[:T]
# quit()
TPIiter = 0
TPIdist = 10
PLOT_TPI = False
report_tG1 = False
euler_errors = np.zeros((T, 2 * S, J))
TPIdist_vec = np.zeros(maxiter)
print 'analytical mtrs in tpi = ', analytical_mtrs
while (TPIiter < maxiter) and (TPIdist >= mindist_TPI):
# Plot TPI for K for each iteration, so we can see if there is a
# problem
if PLOT_TPI is True:
#K_plot = list(K) + list(np.ones(10) * Kss)
D_plot = list(D) + list(np.ones(10) * Yss * debt_ratio_ss)
plt.figure()
plt.axhline(
y=Kss, color='black', linewidth=2, label=r"Steady State $\hat{K}$", ls='--')
plt.plot(np.arange(
T + 10), D_plot[:T + 10], 'b', linewidth=2, label=r"TPI time path $\hat{K}_t$")
plt.savefig(os.path.join(TPI_FIG_DIR, "TPI_D"))
if report_tG1 is True:
print '\tAt time tG1-1:'
print '\t\tG = ', G[tG1-1]
print '\t\tK = ', K[tG1-1]
print '\t\tr = ', r[tG1-1]
print '\t\tD = ', D[tG1-1]
guesses = (guesses_b, guesses_n)
outer_loop_vars = (r, w, K, BQ, T_H)
inner_loop_params = (income_tax_params, tpi_params, initial_values, ind)
# Solve HH problem in inner loop
euler_errors, b_mat, n_mat = inner_loop(guesses, outer_loop_vars, inner_loop_params)
bmat_s = np.zeros((T, S, J))
bmat_s[0, 1:, :] = initial_b[:-1, :]
bmat_s[1:, 1:, :] = b_mat[:T-1, :-1, :]
bmat_splus1 = np.zeros((T, S, J))
bmat_splus1[:, :, :] = b_mat[:T, :, :]
#L_params = (e.reshape(1, S, J), omega[:T, :].reshape(T, S, 1), lambdas.reshape(1, 1, J), 'TPI') # defined above
L[:T] = aggr.get_L(n_mat[:T], L_params)
#B_params = (omega[:T-1].reshape(T-1, S, 1), lambdas.reshape(1, 1, J), imm_rates[:T-1].reshape(T-1,S,1), g_n_vector[1:T], 'TPI') # defined above
B[1:T] = aggr.get_K(bmat_splus1[:T-1], B_params)
if np.any(B) < 0:
print 'B has negative elements. B[0:9]:', B[0:9]
print 'B[T-2:T]:', B[T-2,T]
if small_open == False:
if budget_balance:
K[:T] = B[:T]
else:
if baseline_spending == False:
Y = T_H/ALPHA_T #SBF 3/3: This seems totally unnecessary as both these variables are defined above.
# tax_params = np.zeros((T,S,J,etr_params.shape[2]))
# for i in range(etr_params.shape[2]):
# tax_params[:,:,:,i] = np.tile(np.reshape(np.transpose(etr_params[:,:T,i]),(T,S,1)),(1,1,J))
# REVENUE_params = (np.tile(e.reshape(1, S, J),(T,1,1)), lambdas.reshape(1, 1, J), omega[:T].reshape(T, S, 1), 'TPI',
# tax_params, theta, tau_bq, tau_payroll, h_wealth, p_wealth, m_wealth, retire, T, S, J, tau_b, delta_tau) # define above
REVENUE = np.array(list(aggr.revenue(np.tile(r[:T].reshape(T, 1, 1),(1,S,J)), np.tile(w[:T].reshape(T, 1, 1),(1,S,J)),
bmat_s, n_mat[:T,:,:], BQ[:T].reshape(T, 1, J), Y[:T], L[:T], K[:T], factor, REVENUE_params)) + [revenue_ss] * S)
D_0 = initial_debt * Y[0]
other_dg_params = (T, r, g_n_vector, g_y)
if baseline_spending==False:
G_0 = ALPHA_G[0] * Y[0]
dg_fixed_values = (Y, REVENUE, T_H, D_0,G_0)
Dnew, G = fiscal.D_G_path(dg_fixed_values, fiscal_params, other_dg_params, baseline_spending=baseline_spending)
K[:T] = B[:T] - Dnew[:T]
if np.any(K < 0):
print 'K has negative elements. Setting them positive to prevent NAN.'
K[:T] = np.fmax(K[:T], 0.05*B[:T])
else:
# K_params previously set to = (Z, gamma, epsilon, delta, tau_b, delta_tau)
K[:T] = firm.get_K(L[:T], tpi_firm_r[:T], K_params)
Y_params = (Z, gamma, epsilon)
Ynew = firm.get_Y(K[:T], L[:T], Y_params)
Y = Ynew
w_params = (Z, gamma, epsilon)
wnew = firm.get_w(Ynew[:T], L[:T], w_params)
if small_open == False:
r_params = (Z, gamma, epsilon, delta, tau_b, delta_tau)
rnew = firm.get_r(Ynew[:T], K[:T], r_params)
else:
rnew = r.copy()
print 'Y and T_H: ', Y[3], T_H[3]
# omega_shift = np.append(omega_S_preTP.reshape(1,S),omega[:T-1,:],axis=0) # defined above
# BQ_params = (omega_shift.reshape(T, S, 1), lambdas.reshape(1, 1, J), rho.reshape(1, S, 1),
# g_n_vector[:T].reshape(T, 1), 'TPI') # defined above
b_mat_shift = np.append(np.reshape(initial_b,(1,S,J)),b_mat[:T-1,:,:],axis=0)
BQnew = aggr.get_BQ(rnew[:T].reshape(T, 1), b_mat_shift, BQ_params)
# tax_params = np.zeros((T,S,J,etr_params.shape[2]))
# for i in range(etr_params.shape[2]):
# tax_params[:,:,:,i] = np.tile(np.reshape(np.transpose(etr_params[:,:T,i]),(T,S,1)),(1,1,J))
# REVENUE_params = (np.tile(e.reshape(1, S, J),(T,1,1)), lambdas.reshape(1, 1, J), omega[:T].reshape(T, S, 1), 'TPI',
# tax_params, theta, tau_bq, tau_payroll, h_wealth, p_wealth, m_wealth, retire, T, S, J, tau_b, delta_tau) # defined above
REVENUE = np.array(list(aggr.revenue(np.tile(rnew[:T].reshape(T, 1, 1),(1,S,J)), np.tile(wnew[:T].reshape(T, 1, 1),(1,S,J)),
bmat_s, n_mat[:T,:,:], BQnew[:T].reshape(T, 1, J), Y[:T], L[:T], K[:T], factor, REVENUE_params)) + [revenue_ss] * S)
if budget_balance:
T_H_new = REVENUE
elif baseline_spending==False:
T_H_new = ALPHA_T[:T] * Y[:T]
# If baseline_spending==True, no need to update T_H, which remains fixed.
if small_open==True and budget_balance==False:
# Loop through years to calculate debt and gov't spending. This is done earlier when small_open=False.
D_0 = initial_debt * Y[0]
other_dg_params = (T, r, g_n_vector, g_y)
if baseline_spending==False:
G_0 = ALPHA_G[0] * Y[0]
dg_fixed_values = (Y, REVENUE, T_H, D_0,G_0)
Dnew, G = fiscal.D_G_path(dg_fixed_values, fiscal_params, other_dg_params, baseline_spending=baseline_spending)
w[:T] = utils.convex_combo(wnew[:T], w[:T], nu)
r[:T] = utils.convex_combo(rnew[:T], r[:T], nu)
BQ[:T] = utils.convex_combo(BQnew[:T], BQ[:T], nu)
# D[:T] = utils.convex_combo(Dnew[:T], D[:T], nu)
D = Dnew
Y[:T] = utils.convex_combo(Ynew[:T], Y[:T], nu)
if baseline_spending==False:
T_H[:T] = utils.convex_combo(T_H_new[:T], T_H[:T], nu)
guesses_b = utils.convex_combo(b_mat, guesses_b, nu)
guesses_n = utils.convex_combo(n_mat, guesses_n, nu)
print 'r diff: ', (rnew[:T]-r[:T]).max(), (rnew[:T]-r[:T]).min()
print 'w diff: ', (wnew[:T]-w[:T]).max(), (wnew[:T]-w[:T]).min()
print 'BQ diff: ', (BQnew[:T]-BQ[:T]).max(), (BQnew[:T]-BQ[:T]).min()
print 'T_H diff: ', (T_H_new[:T]-T_H[:T]).max(), (T_H_new[:T]-T_H[:T]).min()
if baseline_spending==False:
if T_H.all() != 0:
TPIdist = np.array(list(utils.pct_diff_func(rnew[:T], r[:T])) + list(utils.pct_diff_func(BQnew[:T], BQ[:T]).flatten()) + list(
utils.pct_diff_func(wnew[:T], w[:T])) + list(utils.pct_diff_func(T_H_new[:T], T_H[:T]))).max()
else:
TPIdist = np.array(list(utils.pct_diff_func(rnew[:T], r[:T])) + list(utils.pct_diff_func(BQnew[:T], BQ[:T]).flatten()) + list(
utils.pct_diff_func(wnew[:T], w[:T])) + list(np.abs(T_H[:T]))).max()
else:
# TPIdist = np.array(list(utils.pct_diff_func(rnew[:T], r[:T])) + list(utils.pct_diff_func(BQnew[:T], BQ[:T]).flatten()) + list(
# utils.pct_diff_func(wnew[:T], w[:T])) + list(utils.pct_diff_func(Dnew[:T], D[:T]))).max()
TPIdist = np.array(list(utils.pct_diff_func(rnew[:T], r[:T])) + list(utils.pct_diff_func(BQnew[:T], BQ[:T]).flatten()) + list(
utils.pct_diff_func(wnew[:T], w[:T])) + list(utils.pct_diff_func(Ynew[:T], Y[:T]))).max()
TPIdist_vec[TPIiter] = TPIdist
# After T=10, if cycling occurs, drop the value of nu
# wait til after T=10 or so, because sometimes there is a jump up
# in the first couple iterations
# if TPIiter > 10:
# if TPIdist_vec[TPIiter] - TPIdist_vec[TPIiter - 1] > 0:
# nu /= 2
# print 'New Value of nu:', nu
TPIiter += 1
print 'Iteration:', TPIiter
print '\tDistance:', TPIdist
# print 'D/Y:', (D[:T]/Ynew[:T]).max(), (D[:T]/Ynew[:T]).min(), np.median(D[:T]/Ynew[:T])
# print 'T/Y:', (T_H_new[:T]/Ynew[:T]).max(), (T_H_new[:T]/Ynew[:T]).min(), np.median(T_H_new[:T]/Ynew[:T])
# print 'G/Y:', (G[:T]/Ynew[:T]).max(), (G[:T]/Ynew[:T]).min(), np.median(G[:T]/Ynew[:T])
# print 'Int payments to GDP:', ((r[:T]*D[:T])/Ynew[:T]).max(), ((r[:T]*D[:T])/Ynew[:T]).min(), np.median((r[:T]*D[:T])/Ynew[:T])
#
# print 'D/Y:', (D[:T]/Ynew[:T])
# print 'T/Y:', (T_H_new[:T]/Ynew[:T])
# print 'G/Y:', (G[:T]/Ynew[:T])
#
# print 'deficit: ', REVENUE[:T] - T_H_new[:T] - G[:T]
# Loop through years to calculate debt and gov't spending. The re-assignment of G0 & D0 is necessary because Y0 may change in the TPI loop.
if budget_balance == False:
D_0 = initial_debt * Y[0]
other_dg_params = (T, r, g_n_vector, g_y)
if baseline_spending==False:
G_0 = ALPHA_G[0] * Y[0]
dg_fixed_values = (Y, REVENUE, T_H, D_0,G_0)
D, G = fiscal.D_G_path(dg_fixed_values, fiscal_params, other_dg_params, baseline_spending=baseline_spending)
# Solve HH problem in inner loop
guesses = (guesses_b, guesses_n)
outer_loop_vars = (r, w, K, BQ, T_H)
inner_loop_params = (income_tax_params, tpi_params, initial_values, ind)
euler_errors, b_mat, n_mat = inner_loop(guesses, outer_loop_vars, inner_loop_params)
bmat_s = np.zeros((T, S, J))
bmat_s[0, 1:, :] = initial_b[:-1, :]
bmat_s[1:, 1:, :] = b_mat[:T-1, :-1, :]
bmat_splus1 = np.zeros((T, S, J))
bmat_splus1[:, :, :] = b_mat[:T, :, :]
#L_params = (e.reshape(1, S, J), omega[:T, :].reshape(T, S, 1), lambdas.reshape(1, 1, J), 'TPI') # defined above
L[:T] = aggr.get_L(n_mat[:T], L_params)
#B_params = (omega[:T-1].reshape(T-1, S, 1), lambdas.reshape(1, 1, J), imm_rates[:T-1].reshape(T-1,S,1), g_n_vector[1:T], 'TPI') # defined above
B[1:T] = aggr.get_K(bmat_splus1[:T-1], B_params)
if small_open == False:
K[:T] = B[:T] - D[:T]
else:
# K_params previously set to = (Z, gamma, epsilon, delta, tau_b, delta_tau)
K[:T] = firm.get_K(L[:T], tpi_firm_r[:T], K_params)
# Y_params previously set to = (Z, gamma, epsilon)
Ynew = firm.get_Y(K[:T], L[:T], Y_params)
# testing for change in Y
ydiff = Ynew[:T] - Y[:T]
ydiff_max = np.amax(np.abs(ydiff))
print 'ydiff_max = ', ydiff_max
w_params = (Z, gamma, epsilon)
wnew = firm.get_w(Ynew[:T], L[:T], w_params)
if small_open == False:
# r_params previously set to = (Z, gamma, epsilon, delta, tau_b, delta_tau)
rnew = firm.get_r(Ynew[:T], K[:T], r_params)
else:
rnew = r
# Note: previously, Y was not reassigned to equal Ynew at this point.
Y = Ynew[:]
# omega_shift = np.append(omega_S_preTP.reshape(1,S),omega[:T-1,:],axis=0)
# BQ_params = (omega_shift.reshape(T, S, 1), lambdas.reshape(1, 1, J), rho.reshape(1, S, 1),
# g_n_vector[:T].reshape(T, 1), 'TPI')
b_mat_shift = np.append(np.reshape(initial_b,(1,S,J)),b_mat[:T-1,:,:],axis=0)
BQnew = aggr.get_BQ(rnew[:T].reshape(T, 1), b_mat_shift, BQ_params)
# tax_params = np.zeros((T,S,J,etr_params.shape[2]))
# for i in range(etr_params.shape[2]):
# tax_params[:,:,:,i] = np.tile(np.reshape(np.transpose(etr_params[:,:T,i]),(T,S,1)),(1,1,J))
# REVENUE_params = (np.tile(e.reshape(1, S, J),(T,1,1)), lambdas.reshape(1, 1, J), omega[:T].reshape(T, S, 1), 'TPI',
# tax_params, theta, tau_bq, tau_payroll, h_wealth, p_wealth, m_wealth, retire, T, S, J, tau_b, delta_tau)
REVENUE = np.array(list(aggr.revenue(np.tile(rnew[:T].reshape(T, 1, 1),(1,S,J)), np.tile(wnew[:T].reshape(T, 1, 1),(1,S,J)),
bmat_s, n_mat[:T,:,:], BQnew[:T].reshape(T, 1, J), Ynew[:T], L[:T], K[:T], factor, REVENUE_params)) + [revenue_ss] * S)
etr_params_path = np.zeros((T,S,J,etr_params.shape[2]))
for i in range(etr_params.shape[2]):
etr_params_path[:,:,:,i] = np.tile(np.reshape(np.transpose(etr_params[:,:T,i]),(T,S,1)),(1,1,J))
tax_path_params = (np.tile(e.reshape(1, S, J),(T,1,1)), lambdas, 'TPI', retire, etr_params_path, h_wealth,
p_wealth, m_wealth, tau_payroll, theta, tau_bq, J, S)
tax_path = tax.total_taxes(np.tile(r[:T].reshape(T, 1, 1),(1,S,J)), np.tile(w[:T].reshape(T, 1, 1),(1,S,J)), bmat_s,
n_mat[:T,:,:], BQ[:T, :].reshape(T, 1, J), factor, T_H[:T].reshape(T, 1, 1), None, False, tax_path_params)
cons_params = (e.reshape(1, S, J), lambdas.reshape(1, 1, J), g_y)
c_path = household.get_cons(r[:T].reshape(T, 1, 1), w[:T].reshape(T, 1, 1), bmat_s, bmat_splus1, n_mat[:T,:,:],
BQ[:T].reshape(T, 1, J), tax_path, cons_params)
C_params = (omega[:T].reshape(T, S, 1), lambdas, 'TPI')
C = aggr.get_C(c_path, C_params)
if budget_balance==False:
D_0 = initial_debt * Y[0]
other_dg_params = (T, r, g_n_vector, g_y)
if baseline_spending==False:
G_0 = ALPHA_G[0] * Y[0]
dg_fixed_values = (Y, REVENUE, T_H, D_0,G_0)
D, G = fiscal.D_G_path(dg_fixed_values, fiscal_params, other_dg_params, baseline_spending=baseline_spending)
if small_open == False:
I_params = (delta, g_y, omega[:T].reshape(T, S, 1), lambdas, imm_rates[:T].reshape(T, S, 1), g_n_vector[1:T+1], 'TPI')
I = aggr.get_I(bmat_splus1[:T], K[1:T+1], K[:T], I_params)
rc_error = Y[:T] - C[:T] - I[:T] - G[:T]
else:
#InvestmentPlaceholder = np.zeros(bmat_splus1[:T].shape)
#I_params = (delta, g_y, omega[:T].reshape(T, S, 1), lambdas, imm_rates[:T].reshape(T, S, 1), g_n_vector[1:T+1], 'TPI')
I = (1+g_n_vector[:T])*np.exp(g_y)*K[1:T+1] - (1.0 - delta) * K[:T] #aggr.get_I(InvestmentPlaceholder, K[1:T+1], K[:T], I_params)
BI_params = (0.0, g_y, omega[:T].reshape(T, S, 1), lambdas, imm_rates[:T].reshape(T, S, 1), g_n_vector[1:T+1], 'TPI')
BI = aggr.get_I(bmat_splus1[:T], B[1:T+1], B[:T], BI_params)
new_borrowing = D[1:T]*(1+g_n_vector[1:T])*np.exp(g_y) - D[:T-1]
rc_error = Y[:T-1] + new_borrowing - (C[:T-1] + BI[:T-1] + G[:T-1] ) + (tpi_hh_r[:T-1] * B[:T-1] - (delta + tpi_firm_r[:T-1])*K[:T-1] - tpi_hh_r[:T-1]*D[:T-1])
#print 'Y(T-1):', Y[T-1], '\n','C(T-1):', C[T-1], '\n','K(T-1):', K[T-1], '\n','B(T-1):', B[T-1], '\n','BI(T-1):', BI[T-1], '\n','I(T-1):', I[T-1]
rce_max = np.amax(np.abs(rc_error))
print 'Max absolute value resource constraint error:', rce_max
print'Checking time path for violations of constraints.'
for t in xrange(T):
household.constraint_checker_TPI(
b_mat[t], n_mat[t], c_path[t], t, ltilde)
eul_savings = euler_errors[:, :S, :].max(1).max(1)
eul_laborleisure = euler_errors[:, S:, :].max(1).max(1)
# print 'Max Euler error, savings: ', eul_savings
# print 'Max Euler error labor supply: ', eul_laborleisure
'''
------------------------------------------------------------------------
Save variables/values so they can be used in other modules
------------------------------------------------------------------------
'''
output = {'Y': Y, 'K': K, 'L': L, 'C': C, 'I': I, 'BQ': BQ,
'REVENUE': REVENUE, 'T_H': T_H, 'G': G, 'D': D,
'r': r, 'w': w, 'b_mat': b_mat, 'n_mat': n_mat,
'c_path': c_path, 'tax_path': tax_path,
'eul_savings': eul_savings, 'eul_laborleisure': eul_laborleisure}
tpi_dir = os.path.join(output_dir, "TPI")
utils.mkdirs(tpi_dir)
tpi_vars = os.path.join(tpi_dir, "TPI_vars.pkl")
pickle.dump(output, open(tpi_vars, "wb"))
macro_output = {'Y': Y, 'K': K, 'L': L, 'C': C, 'I': I,
'BQ': BQ, 'REVENUE': REVENUE, 'T_H': T_H, 'r': r, 'w': w,
'tax_path': tax_path}
growth = (1+g_n_vector)*np.exp(g_y)
with open('TPI_output.csv', 'wb') as csvfile:
tpiwriter = csv.writer(csvfile)
tpiwriter.writerow(Y)
tpiwriter.writerow(D)
tpiwriter.writerow(REVENUE)
tpiwriter.writerow(G)
tpiwriter.writerow(T_H)
tpiwriter.writerow(C)
tpiwriter.writerow(K)
tpiwriter.writerow(I)
tpiwriter.writerow(r)
if small_open == True:
tpiwriter.writerow(B)
tpiwriter.writerow(BI)
tpiwriter.writerow(new_borrowing)
tpiwriter.writerow(growth)
tpiwriter.writerow(rc_error)
tpiwriter.writerow(ydiff)
if np.any(G) < 0:
print 'Government spending is negative along transition path to satisfy budget'
if ((TPIiter >= maxiter) or (np.absolute(TPIdist) > mindist_TPI)) and ENFORCE_SOLUTION_CHECKS :
raise RuntimeError("Transition path equlibrium not found (TPIdist)")
if ((np.any(np.absolute(rc_error) >= mindist_TPI))
and ENFORCE_SOLUTION_CHECKS):
raise RuntimeError("Transition path equlibrium not found (rc_error)")
if ((np.any(np.absolute(eul_savings) >= mindist_TPI) or
(np.any(np.absolute(eul_laborleisure) > mindist_TPI)))
and ENFORCE_SOLUTION_CHECKS):
raise RuntimeError("Transition path equlibrium not found (eulers)")
# Non-stationary output
# macro_ns_output = {'K_ns_path': K_ns_path, 'C_ns_path': C_ns_path, 'I_ns_path': I_ns_path,
# 'L_ns_path': L_ns_path, 'BQ_ns_path': BQ_ns_path,
# 'rinit': rinit, 'Y_ns_path': Y_ns_path, 'T_H_ns_path': T_H_ns_path,
# 'w_ns_path': w_ns_path}
return output, macro_output
