Commit 214ff844 authored by Sébastien Villemot's avatar Sébastien Villemot
Browse files

Incorporate unit test for correlation in measurement errors

parent 8531d994
......@@ -145,7 +145,8 @@ MODFILES = \
deterministic_simulations/rbc_det3.mod \
deterministic_simulations/rbc_det4.mod \
deterministic_simulations/rbc_det5.mod \
walsh.mod
walsh.mod \
measurement_errors/fs2000_corr_me_ml_mcmc/fs2000_corr_ME.mod
XFAIL_MODFILES = ramst_xfail.mod
......@@ -257,6 +258,9 @@ EXTRA_DIST = \
k_order_perturbation/run_fs2000kplusplus.m \
ls2003/data_ca1.m \
measurement_errors/data_ca1.m \
measurement_errors/fs2000_corr_me_ml_mcmc/fs2000_corr_ME_mh_mode.mat \
measurement_errors/fs2000_corr_me_ml_mcmc/fs2000_corr_ME_steadystate.m \
measurement_errors/fs2000_corr_me_ml_mcmc/fsdat_simul.m \
missing/simulate_data_with_missing_observations.m \
objectives/sgu_ex1.mat \
conditional_forecasts/fsdat_simul.m \
......
% computes the steady state of fs2000 analyticaly
% largely inspired by the program of F. Schorfheide
% Copyright (C) 2004-2010 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
function [ys,check] = fs2000_steadystate(ys,exe)
global M_
alp = M_.params(1);
bet = M_.params(2);
gam = M_.params(3);
mst = M_.params(4);
rho = M_.params(5);
psi = M_.params(6);
del = M_.params(7);
check = 0;
dA = exp(gam);
gst = 1/dA;
m = mst;
khst = ( (1-gst*bet*(1-del)) / (alp*gst^alp*bet) )^(1/(alp-1));
xist = ( ((khst*gst)^alp - (1-gst*(1-del))*khst)/mst )^(-1);
nust = psi*mst^2/( (1-alp)*(1-psi)*bet*gst^alp*khst^alp );
n = xist/(nust+xist);
P = xist + nust;
k = khst*n;
l = psi*mst*n/( (1-psi)*(1-n) );
c = mst/P;
d = l - mst + 1;
y = k^alp*n^(1-alp)*gst^alp;
R = mst/bet;
W = l/n;
ist = y-c;
q = 1 - d;
e = 1;
gp_obs = m/dA;
gy_obs = dA;
ys =[
m
P
c
e
W
R
k
d
n
l
gy_obs
gp_obs
y
dA ];
% Generated data, used by fs2000.mod
gy_obs =[
1.0030045
1.0002599
0.99104664
1.0321162
1.0223545
1.0043614
0.98626929
1.0092127
1.0357197
1.0150827
1.0051548
0.98465775
0.99132132
0.99904153
1.0044641
1.0179198
1.0113462
0.99409421
0.99904293
1.0448336
0.99932433
1.0057004
0.99619787
1.0267504
1.0077645
1.0058026
1.0025891
0.9939097
0.99604693
0.99908569
1.0151094
0.99348134
1.0039124
1.0145805
0.99800868
0.98578138
1.0065771
0.99843919
0.97979062
0.98413351
0.96468174
1.0273857
1.0225211
0.99958667
1.0111157
1.0099585
0.99480311
1.0079265
0.98924573
1.0070613
1.0075706
0.9937151
1.0224711
1.0018891
0.99051863
1.0042944
1.0184055
0.99419508
0.99756624
1.0015983
0.9845772
1.0004407
1.0116237
0.9861885
1.0073094
0.99273355
1.0013224
0.99777979
1.0301686
0.96809556
0.99917088
0.99949253
0.96590004
1.0083938
0.96662298
1.0221454
1.0069792
1.0343996
1.0066531
1.0072525
0.99743563
0.99723703
1.000372
0.99013917
1.0095223
0.98864268
0.98092242
0.98886488
1.0030341
1.01894
0.99155059
0.99533235
0.99734316
1.0047356
1.0082737
0.98425116
0.99949212
1.0055899
1.0065075
0.99385069
0.98867975
0.99804843
1.0184038
0.99301902
1.0177222
1.0051924
1.0187852
1.0098985
1.0097172
1.0145811
0.98721038
1.0361722
1.0105821
0.99469309
0.98626785
1.013871
0.99858924
0.99302637
1.0042186
0.99623745
0.98545708
1.0225435
1.0011861
1.0130321
0.97861347
1.0228193
0.99627435
1.0272779
1.0075172
1.0096762
1.0129306
0.99966549
1.0262882
1.0026914
1.0061475
1.009523
1.0036127
0.99762992
0.99092634
1.0058469
0.99887292
1.0060653
0.98673557
0.98895709
0.99111967
0.990118
0.99788054
0.97054709
1.0099157
1.0107431
0.99518695
1.0114048
0.99376019
1.0023369
0.98783327
1.0051727
1.0100462
0.98607387
1.0000064
0.99692442
1.012225
0.99574078
0.98642833
0.99008207
1.0197359
1.0112849
0.98711069
0.99402748
1.0242141
1.0135349
0.99842505
1.0130714
0.99887044
1.0059058
1.0185998
1.0073314
0.98687706
1.0084551
0.97698964
0.99482714
1.0015302
1.0105331
1.0261767
1.0232822
1.0084176
0.99785167
0.99619733
1.0055223
1.0076326
0.99205461
1.0030587
1.0137012
1.0145878
1.0190297
1.0000681
1.0153894
1.0140649
1.0007236
0.97961463
1.0125257
1.0169503
1.0197363
1.0221185
];
gp_obs =[
1.0079715
1.0115853
1.0167502
1.0068957
1.0138189
1.0258364
1.0243817
1.017373
1.0020171
1.0003742
1.0008974
1.0104804
1.0116393
1.0114294
0.99932124
0.99461459
1.0170349
1.0051446
1.020639
1.0051964
1.0093042
1.007068
1.01086
0.99590086
1.0014883
1.0117332
0.9990095
1.0108284
1.0103672
1.0036722
1.0005124
1.0190331
1.0130978
1.007842
1.0285436
1.0322054
1.0213403
1.0246486
1.0419306
1.0258867
1.0156316
0.99818589
0.9894107
1.0127584
1.0146882
1.0136529
1.0340107
1.0343652
1.02971
1.0077932
1.0198114
1.013971
1.0061083
1.0089573
1.0037926
1.0082071
0.99498155
0.99735772
0.98765026
1.006465
1.0196088
1.0053233
1.0119974
1.0188066
1.0029302
1.0183459
1.0034218
1.0158799
0.98824798
1.0274357
1.0168832
1.0180641
1.0294657
0.98864091
1.0358326
0.99889969
1.0178322
0.99813566
1.0073549
1.0215985
1.0084245
1.0080939
1.0157021
1.0075815
1.0032633
1.0117871
1.0209276
1.0077569
0.99680958
1.0120266
1.0017625
1.0138811
1.0198358
1.0059629
1.0115416
1.0319473
1.0167074
1.0116111
1.0048627
1.0217622
1.0125221
1.0142045
0.99792469
0.99823971
0.99561547
0.99850373
0.9898464
1.0030963
1.0051373
1.0004213
1.0144117
0.97185592
0.9959518
1.0073529
1.0051603
0.98642572
0.99433423
1.0112131
1.0007695
1.0176867
1.0134363
0.99926191
0.99879835
0.99878754
1.0331374
1.0077797
1.0127221
1.0047393
1.0074106
0.99784213
1.0056495
1.0057708
0.98817494
0.98742176
0.99930555
1.0000687
1.0129754
1.009529
1.0226731
1.0149534
1.0164295
1.0239469
1.0293458
1.026199
1.0197525
1.0126818
1.0054473
1.0254423
1.0069461
1.0153135
1.0337515
1.0178187
1.0240469
1.0079489
1.0186953
1.0008628
1.0113799
1.0140118
1.0168007
1.011441
0.98422774
0.98909729
1.0157859
1.0151586
0.99756232
0.99497777
1.0102841
1.0221659
0.9937759
0.99877193
1.0079433
0.99667692
1.0095959
1.0128804
1.0156949
1.0111951
1.0228887
1.0122083
1.0190197
1.0074927
1.0268096
0.99689352
0.98948474
1.0024938
1.0105543
1.014116
1.0141217
1.0056504
1.0101026
1.0105069
0.99619053
1.0059439
0.99449473
0.99482458
1.0037702
1.0068087
0.99575975
1.0030815
1.0334014
0.99879386
0.99625634
1.0171195
0.99233844
];
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