examples/Caroll_2017_no_aggregate.yaml

-Original file line number
+Diff line change
@@ -0,0 +1,71 @@
+    symbols:
+        exogenous: [w,r,ʊ,ψ,ξ]
+        states: [m]
+        controls: [c]
+        parameters: [ρ, β, δ, D, Đ, wbar, rbar, ʊbar, μ_ue, τ, θ, μ_θ, σ_θ, l, val]
+    equations:
+        transition:
+            - m = ((D+r)/Đ)*(m(-1)-c(-1))*(1/ψ) + ξ
+        arbitrage:
+            - ( β*(c(1)/c)^(-ρ) )*(ψ(1)^(-ρ))*(D+r(1))/Đ - 1 | 0.0<=c<=m
+    calibration:
+        ρ: 1
+        β: 0.99
+        δ: 0.025
+        D: 1-δ
+        Đ: 1-0.00625
+        wbar: 1
+        rbar: 0.01 + δ
+        ʊbar: 0.07
+        μ_ue: 0.15
+        τ: 0
+        l: 1/0.9
+        μ_θ: 1
+        σ_θ: 0.010*4
+        μ_ψ: 1
+        σ_ψ: (0.010*4)/11
+        val: (D+r)/Đ
+        m: 1.2
+        c: (m*(val-1) + 1 )/val
+        θ: 1
+        w : wbar
+        r : rbar
+        ʊ : ʊbar
+        ψ : 1
+        ξ : 1
+    domain:
+        m: [0.1, 10.0]
+    exogenous:
+        w,r,ʊ: !ConstantProcess
+          μ: [wbar, rbar, ʊbar]
+        ψ: !LogNormal
+          μ: 1
+          σ: 0.00004
+        ξ: !Mixture
+          index: !Bernouilli
+            π: ʊbar
+          distributions:
+: !ConstantProcess
+              μ: [μ_ue]
+: !LogNormal
+              μ: (1-τ)*l*μ_θ
+              σ: (((1-τ)*l)^2)*(σ_θ)^2
+              ### transformed for μ_e=(1-τ)*l*θ)
+    options:
+        grid: !Cartesian
+            orders: [1000]

examples/bfs_2017.py

            
                      Original file line number
                      Diff line number
                      Diff line change
                  
    @@ -5,8 +5,8 @@
  
    #     text_representation:

    #       extension: .py

    #       format_name: light

    #       format_version: '1.4'

    #       jupytext_version: 1.2.4

    #       format_version: '1.5'

    #       jupytext_version: 1.3.0

    #   kernelspec:

    #     display_name: Python 3

    #     language: python

    @@ -15,14 +15,22 @@
  
    # WARNING: this is not working yet

    # + jupyter={"source_hidden": true}

    from dolo import groot

    # -

    groot()

    pwd

    # +

    from dolo import *

    from matplotlib import pyplot as plt

    import pandas as pd

    import altair as alt

    from dolark import HModel

    hmodel = HModel("bfs_2017.yaml")

    hmodel = HModel("examples/bfs_2017.yaml")

    hmodel.features

    # -

    hmodel.agent

    @@ -43,26 +51,44 @@
  
    # Agents' decision rule is not correct yet

    # +

    from dolo.numeric.decision_rule import CustomDR

    values = {

        #'c': 'min(m, 1 + 0.05*(m-1))'

        'c': 'm*0.2'

    }

    cdr = CustomDR(values, hmodel.agent)

    # -

    from dolo import time_iteration, improved_time_iteration

    dr = time_iteration(hmodel.agent)

    # # %time dr = improved_time_iteration(hmodel.model, dr0=dr, verbose=True, details=False)

    dr = time_iteration(hmodel.agent, dr0 = cdr, maxit=100)

    # %time dr = improved_time_iteration(hmodel.model, dr0=dr, verbose=True, details=False)

    from dolo import tabulate

    tab = tabulate(hmodel.agent, dr, 'm')

    plt.plot(tab['m'], tab['c'])

    #plt.ylim(0,1)

    # ergodic distribution (premature)

    Π, μ = ergodic_distribution(hmodel.model, dr)

    df_μ = μ.to_dataframe('μ').reset_index()

    plt.plot(df_μ['m'], df_μ['μ'])

    ch = alt.Chart(tab)

    g1 = ch.mark_line(color='black',strokeDash=[1,1]).encode(x='m', y='m') + \

    ch.mark_line().encode(x='m', y='c')

    g2 = alt.Chart(df_μ).mark_line().encode(x='m:Q', y= 'mu:Q')

    g2 = alt.Chart(df_μ).mark_line().encode(x='m:Q', y= 'μ:Q')

    g2

    @@ -74,5 +100,6 @@
  
    # here are the values projected from market equilibrium, given default level of capital

    m0, y0, p = hmodel.calibration['exogenous','aggregate', 'parameters']

    hmodel.projection(m0, y0, p) # values for r, w, ω (not the same at all)

    # This should give w, r, ʊ

examples/bfs_2017.yaml

            
                      Original file line number
                      Diff line number
                      Diff line change
                  
    @@ -22,7 +22,7 @@ calibration:
  
        Đ: 1-0.00625

        l: 1/0.9

        wbar: 1

        wbar: 2.37

        rbar: 0.01 + δ

        ʊbar: 0.07

        μ_ue: 0.15

    @@ -44,14 +44,14 @@ calibration:
  
        ξ : 1

    domain:

        m: [0.1, 10.0]

        m: [0.1, 20.0]

    exogenous:

        w,r,ʊ: !ConstantProcess

          μ: [wbar, rbar, ʊbar]

        ψ: !UNormal

          μ: 1

        ψ: !LogNormal

          μ: 1.0

          σ: 0.00004

        ξ: !Mixture

    @@ -60,14 +60,15 @@ exogenous:
  
          distributions:

            0: !ConstantProcess

              μ: [μ_ue]

            1: !UNormal

              μ: (1-τ)*l

              σ: (1-τ)*l*σ_θ

    #         1: !UNormal

    #          μ: (1-τ)*l

    #          σ: (1-τ)*l*σ_θ

            # 1: !LogNormal

            #   μ: (1-τ)*l*μ_θ

            #   σ: (((1-τ)*l)^2)*(σ_θ)^2

              ### transformed for μ_e=(1-τ)*l*θ)

            1: !LogNormal

              μ: (1-τ)*l*μ_θ

              σ: (((1-τ)*l)**2)*(σ_θ)**2

              ## transformed for μ_e=(1-τ)*l*θ)

    distribution:

        β: !Uniform

    @@ -76,7 +77,7 @@ distribution:
  
    options:

        grid: !Cartesian

            orders: [100]

            orders: [200]

    ---

    @@ -90,7 +91,7 @@ symbols:
  
    calibration:

        α: 0.36

        YK: 10.26

        YK: 1/10.26

        L: 1

        l: 1/0.9

        Z: 1.0

    @@ -105,10 +106,10 @@ exogenous: !ConstantProcess
  
          μ: [1.0, 1.0, 1.0]

    projection:

        w: (1-α)*Z*(K/(l*L))**(α)

        w: (1-α)*Z*(YK)**(α/(α-1))

        r: α*YK

        ʊ: ʊbar

    equilibrium:

        - K = m-c

        - K = m-c

examples/bfs_2017_beta_het.yaml

-Original file line number
+Diff line change
@@ -0,0 +1,75 @@
+    symbols:
+        exogenous: [w,r,ʊ,ψ,ξ]
+        states: [m]
+        controls: [c]
+        parameters: [ρ, β, δ, D, Đ, wbar, rbar, ʊbar, μ_ue, τ, θ, μ_θ, σ_θ, l, val]
+    equations:
+        transition:
+            - m = ((D+r)/Đ)*(m(-1)-c(-1))*(1/ψ) + ξ
+        arbitrage:
+            - ( β*(c(1)/c)^(-ρ) )*(ψ(1)^(-ρ))*(D+r(1))/Đ - 1 | 0.0<=c<=m
+    calibration:
+        ρ: 1
+        β: 0.99
+        δ: 0.025
+        D: 1-δ
+        Đ: 1-0.00625
+        wbar: 1
+        rbar: 0.01 + δ
+        ʊbar: 0.07
+        μ_ue: 0.15
+        τ: 0
+        l: 1/0.9
+        μ_θ: 1
+        σ_θ: 0.010*4
+        μ_ψ: 1
+        σ_ψ: (0.010*4)/11
+        val: (D+r)/Đ
+        m: 1.2
+        c: (m*(val-1) + 1 )/val
+        θ: 1
+        w : wbar
+        r : rbar
+        ʊ : ʊbar
+        ψ : 1
+        ξ : 1
+    domain:
+        m: [0.1, 10.0]
+    exogenous:
+        w,r,ʊ: !ConstantProcess
+          μ: [wbar, rbar, ʊbar]
+        ψ: !LogNormal
+          μ: 1
+          σ: 0.00004
+        ξ: !Mixture
+          index: !Bernouilli
+            π: 1-ʊbar
+          distributions:
+: !ConstantProcess
+              μ: [μ_ue]
+: !UNormal
+              μ: (1-τ)*l
+              σ: (1-τ)*l*σ_θ
+            # 1: !LogNormal
+            #   μ: (1-τ)*l*μ_θ
+            #   σ: (((1-τ)*l)^2)*(σ_θ)^2
+              ### transformed for μ_e=(1-τ)*l*θ)
+    options:
+        grid: !Cartesian
+            orders: [1000]

Ezgioz/solve carroll 2017 mpc #8

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ezgioz wants to merge 5 commits into EconForge:master from ezgioz:ezgioz/solve_Carroll_2017_MPC

-Original file line number
+Diff line change
@@ -0,0 +1,71 @@
+    symbols:
+        exogenous: [w,r,ʊ,ψ,ξ]
+        states: [m]
+        controls: [c]
+        parameters: [ρ, β, δ, D, Đ, wbar, rbar, ʊbar, μ_ue, τ, θ, μ_θ, σ_θ, l, val]
+    equations:
+        transition:
+            - m = ((D+r)/Đ)*(m(-1)-c(-1))*(1/ψ) + ξ
+        arbitrage:
+            - ( β*(c(1)/c)^(-ρ) )*(ψ(1)^(-ρ))*(D+r(1))/Đ - 1 | 0.0<=c<=m
+    calibration:
+        ρ: 1
+        β: 0.99
+        δ: 0.025
+        D: 1-δ
+        Đ: 1-0.00625
+        wbar: 1
+        rbar: 0.01 + δ
+        ʊbar: 0.07
+        μ_ue: 0.15
+        τ: 0
+        l: 1/0.9
+        μ_θ: 1
+        σ_θ: 0.010*4
+        μ_ψ: 1
+        σ_ψ: (0.010*4)/11
+        val: (D+r)/Đ
+        m: 1.2
+        c: (m*(val-1) + 1 )/val
+        θ: 1
+        w : wbar
+        r : rbar
+        ʊ : ʊbar
+        ψ : 1
+        ξ : 1
+    domain:
+        m: [0.1, 10.0]
+    exogenous:
+        w,r,ʊ: !ConstantProcess
+          μ: [wbar, rbar, ʊbar]
+        ψ: !LogNormal
+          μ: 1
+          σ: 0.00004
+        ξ: !Mixture
+          index: !Bernouilli
+            π: ʊbar
+          distributions:
+: !ConstantProcess
+              μ: [μ_ue]
+: !LogNormal
+              μ: (1-τ)*l*μ_θ
+              σ: (((1-τ)*l)^2)*(σ_θ)^2
+              ### transformed for μ_e=(1-τ)*l*θ)
+    options:
+        grid: !Cartesian
+            orders: [1000]

-Original file line number
+Diff line change
@@ -0,0 +1,75 @@
+    symbols:
+        exogenous: [w,r,ʊ,ψ,ξ]
+        states: [m]
+        controls: [c]
+        parameters: [ρ, β, δ, D, Đ, wbar, rbar, ʊbar, μ_ue, τ, θ, μ_θ, σ_θ, l, val]
+    equations:
+        transition:
+            - m = ((D+r)/Đ)*(m(-1)-c(-1))*(1/ψ) + ξ
+        arbitrage:
+            - ( β*(c(1)/c)^(-ρ) )*(ψ(1)^(-ρ))*(D+r(1))/Đ - 1 | 0.0<=c<=m
+    calibration:
+        ρ: 1
+        β: 0.99
+        δ: 0.025
+        D: 1-δ
+        Đ: 1-0.00625
+        wbar: 1
+        rbar: 0.01 + δ
+        ʊbar: 0.07
+        μ_ue: 0.15
+        τ: 0
+        l: 1/0.9
+        μ_θ: 1
+        σ_θ: 0.010*4
+        μ_ψ: 1
+        σ_ψ: (0.010*4)/11
+        val: (D+r)/Đ
+        m: 1.2
+        c: (m*(val-1) + 1 )/val
+        θ: 1
+        w : wbar
+        r : rbar
+        ʊ : ʊbar
+        ψ : 1
+        ξ : 1
+    domain:
+        m: [0.1, 10.0]
+    exogenous:
+        w,r,ʊ: !ConstantProcess
+          μ: [wbar, rbar, ʊbar]
+        ψ: !LogNormal
+          μ: 1
+          σ: 0.00004
+        ξ: !Mixture
+          index: !Bernouilli
+            π: 1-ʊbar
+          distributions:
+: !ConstantProcess
+              μ: [μ_ue]
+: !UNormal
+              μ: (1-τ)*l
+              σ: (1-τ)*l*σ_θ
+            # 1: !LogNormal
+            #   μ: (1-τ)*l*μ_θ
+            #   σ: (((1-τ)*l)^2)*(σ_θ)^2
+              ### transformed for μ_e=(1-τ)*l*θ)
+    options:
+        grid: !Cartesian
+            orders: [1000]

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