From 21443e0988228cc77811e180ae6e9f0cf418e927 Mon Sep 17 00:00:00 2001
From: Marco Ratto <marco.ratto@ec.europa.eu>
Date: Fri, 18 Nov 2022 11:59:27 +0100
Subject: [PATCH] add consistency check of results using smoother_redux with
occbin
---
tests/occbin/filter/NKM.mod | 10 ++++++++++
1 file changed, 10 insertions(+)
diff --git a/tests/occbin/filter/NKM.mod b/tests/occbin/filter/NKM.mod
index 8c04a966e9..81b25d1d7e 100644
--- a/tests/occbin/filter/NKM.mod
+++ b/tests/occbin/filter/NKM.mod
@@ -319,6 +319,16 @@ varobs yg inom pi;
mh_replic=0, plot_priors=0, smoother, smoother_redux,
nodisplay,consider_all_endogenous,heteroskedastic_filter,filter_step_ahead=[1],smoothed_state_uncertainty);
+ // check consistency of smoother_redux
+ for k=1:M_.endo_nbr,
+ mer(k)=max(abs(oo_.SmoothedVariables.(M_.endo_names{k})-oo0.SmoothedVariables.(M_.endo_names{k})));
+ end
+ if max(mer)>1.e-10
+ error('smoother redux does not recover full smoother results!')
+ else
+ disp('smoother redux successfully recovers full smoother results!')
+ end
+
// use inversion filter (note that IF provides smoother together with likelihood)
occbin_setup(likelihood_inversion_filter,smoother_inversion_filter);
--
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