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Dóra Kocsis
dynare
Commits
214ff844
Commit
214ff844
authored
Mar 22, 2013
by
Sébastien Villemot
Browse files
Incorporate unit test for correlation in measurement errors
parent
8531d994
Changes
4
Hide whitespace changes
Inline
Side-by-side
tests/Makefile.am
View file @
214ff844
...
...
@@ -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
\
...
...
tests/measurement_errors/fs2000_corr_me_ml_mcmc/fs2000_corr_ME_mh_mode.mat
0 → 100644
View file @
214ff844
File added
tests/measurement_errors/fs2000_corr_me_ml_mcmc/fs2000_corr_ME_steadystate.m
0 → 100644
View file @
214ff844
% 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
];
tests/measurement_errors/fs2000_corr_me_ml_mcmc/fsdat_simul.m
0 → 100644
View file @
214ff844
% 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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