Cleaned up 2nd-order IRF method and added Schmidt-Grohe-Uribe03 example model to test 2nd-order solution method

Author: escheffel

pymaclab/dsge/solvers/modsolvers.py

@@ -1983,10 +1983,17 @@ def save_sim(self,intup,fpath=None,filtup=None,insim='insim'):
         return "Your plot has been saved in: "+fpath
 
 
-    def irf(self,tlen,sntup):
+    def irf(self,tlen,sntup,shockmod=None):
         # Deals with 0-tuples
         if type(sntup) != type((1,2,3)) and type(sntup) == type('abc'):
             sntup = (sntup,)
+        # Deal with shockmod, also take care of 0-tuples by turning all into lists
+        if shockmod != None and type(shockmod) != type((1,2,3)) and type(shockmod) == type(1.0):
+            shockmod = [shockmod,]
+        elif shockmod != None and len(shockmod) > 1:
+            shockmod = [x for x in shockmod]
+        elif shockmod == None:
+            shockmod = [1.0,]*len(sntup)
         tlen = tlen + 1
         ncon = self.ncon
         nexo = self.nexo
@@ -2012,21 +2019,24 @@ def irf(self,tlen,sntup):
                 return 'Error: '+name+' is not a valid exoshock name for this model!'
         for name in sntup:
             sposli.append(exoli.index(name))
+
         # Expose spos choice to self for show_irf
         self.spos = (sntup,sposli)
 
         shock = MAT.zeros((nexo,1))
         sendo = MAT.zeros((nendo,1))
 
-        for spos in sposli:
-            shock[spos,0] = 1.0
+        for i1,spos in enumerate(sposli):
+            shock[spos,0] = 1.0*shockmod[i1]
         shock = MAT.vstack((shock,sendo))
-        shock = np.dot(ssigma,shock)
+        
+        self.sshock = COP.deepcopy(shock)
 
         x_one_m1 = shock
         x_one_0 = pp*x_one_m1
         x_two_m1 = shock
         y_one_0 = ff*x_one_m1
+        # Because they are jump variables
         y_one_m1 = MAT.zeros(y_one_0.shape)
         y_two_0 = 0.5*MAT.kron(MAT.eye(ncon),x_one_m1.T)*ee*x_one_m1
         if self.oswitch:

pymaclab/modfiles/models/stable/grohurib03.txt

@@ -0,0 +1,74 @@
+%Model Description+++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
+This is just a standard RBC model, but the one used and paramterized
+in Schmidt-Grohe and Uribe's 2004 paper showing the 2nd-order accurate
+solution of a fairly standard RBC model
+
+
+%Model Information+++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
+Name = Standard RBC Model, SGU03;
+
+
+%Parameters++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
+alpha     = 0.3;
+delta     = 1.0;
+betta     = 0.95;
+gamma     = 2.0; 
+rho	  = 0.0;
+z_bar     = 1.0;
+sigma_eps = 1.0; 
+
+
+%Variable Vectors+++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
+[1]  k(t):capital{endo}[log,bk]
+[2]  c(t):consumption{con}[log,bk]
+[4]  y(t):output{con}[log,bk]
+[4]  R(t):rrate{con}[log,bk]
+[5]  z(t):eps(t):productivity{exo}[log,bk]
+
+%Boundary Conditions++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
+None
+
+
+%Variable Substitution Non-Linear System++++++++++++++++++++++++++++++++++++++++++++++++
+[1]   @inv(t)   = k(t)-(1-delta)*k(t-1);
+[2]   @inv_bar  = SS{@inv(t)};
+[2]   @F(t)     = z(t-1)*k(t-1)**alpha;
+[2]   @Fk(t)    = DIFF{@F(t),k(t-1)};
+[2]   @Fk_bar   = SS{@Fk(t)};
+[2]   @F_bar    = SS{@F(t)};
+[4]   @U(t)     = @I{gamma!=1.0}{c(t)**(1-gamma)/(1-gamma)}+@I{gamma==1.0}{LOG(c(t))};
+[5]   @MU(t)    = DIFF{@U(t),c(t)};
+[5]   @MU_bar   = SS{@MU(t)};
+[6]   @MU(t+1)  = FF_1{@MU(t)};
+
+
+
+%Non-Linear First-Order Conditions++++++++++++++++++++++++++++++++++++++++++++++++++++++
+# Insert here the non-linear FOCs in format g(x)=0
+
+[1]   y(t)-@inv(t)-c(t) = 0;
+[2]   betta*(@MU(t+1)/@MU(t))*E(t)|R(t+1)-1 = 0;
+[3]   @F(t)-y(t) = 0;
+[4]   R(t) - (1+@Fk(t)-delta) = 0;
+[5]   LOG(z(t))-rho*LOG(z(t-1))-eps(t) = 0;
+
+
+%Steady States [Closed Form]+++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
+[1] k_bar = ((1/betta-1+delta)/(z_bar*alpha))**(1/(alpha-1));
+[2] y_bar = z_bar*k_bar**alpha;
+[3] c_bar = y_bar - delta*k_bar;
+[4] R_bar = 1/betta;
+
+
+%Steady State Non-Linear System [Manual]+++++++++++++++++++++++++++++++++++++++++++++++++
+None
+
+%Log-Linearized Model Equations++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
+None
+
+
+%Variance-Covariance Matrix++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
+Sigma = [sigma_eps**2];
+
+
+%End Of Model File+++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++