Merge pull request #1168 from JohannesPfeifer/filter_tests

Improve speed of filtering unit tests and clean up setting of options

matlab/disp_moments.m

@@ -189,7 +189,7 @@ elseif ~options_.hp_filter && options_.one_sided_hp_filter && ~options_.bandpass
     [hptrend,y] = one_sided_hp_filter(y,options_.one_sided_hp_filter);
 elseif ~options_.hp_filter && ~options_.one_sided_hp_filter && options_.bandpass.indicator
     data_temp=dseries(y,'0q1');
-    data_temp=baxter_king_filter(data_temp,options_.bandpass.passband(1),options_.bandpass.passband(2),12);
+    data_temp=baxter_king_filter(data_temp,options_.bandpass.passband(1),options_.bandpass.passband(2),options_.bandpass.K);
     y=data_temp.data;
 elseif ~options_.hp_filter && ~options_.one_sided_hp_filter  && ~options_.bandpass.indicator
     y = bsxfun(@minus, y, m);

matlab/global_initialization.m

@@ -169,6 +169,7 @@ options_.nofunctions = false;
 
 options_.bandpass.indicator = 0;
 options_.bandpass.passband = [6; 32];
+options_.bandpass.K=12;
 
 % Extended path options
 %

tests/moments/example1_bp_test.mod

@@ -29,9 +29,9 @@ varexo e, u;
 parameters beta, rho, alpha, delta, theta, psi, tau;
 
 alpha = 0.36;
-rho   = 0.95;
+rho   = 0.5;
 tau   = 0.025;
-beta  = 0.99;
+beta  = 0.98;
 delta = 0.025;
 psi   = 0;
 theta = 2.95;
@@ -84,7 +84,7 @@ stoch_simul(order=1,nofunctions,irf=0,periods=0);
 
 oo_filtered_one_shock_theoretical=oo_;
 
-stoch_simul(order=1,nofunctions,periods=5000000);
+stoch_simul(order=1,nofunctions,periods=1000000);
 oo_filtered_one_shock_simulated=oo_;
 
 
@@ -92,11 +92,11 @@ if max(abs((1-diag(oo_filtered_one_shock_simulated.var)./(diag(oo_filtered_all_s
     error('Variance Decomposition wrong')
 end
 
-if max(max(abs(oo_filtered_all_shocks_simulated.var-oo_filtered_all_shocks_theoretical.var)))>2e-4;
+if max(max(abs(oo_filtered_all_shocks_simulated.var-oo_filtered_all_shocks_theoretical.var)))>5e-4;
     error('Covariance wrong')
 end
 
-if max(max(abs(oo_filtered_one_shock_simulated.var-oo_filtered_one_shock_theoretical.var)))>1e-4;
+if max(max(abs(oo_filtered_one_shock_simulated.var-oo_filtered_one_shock_theoretical.var)))>5e-4;
     error('Covariance wrong')
 end
 
@@ -107,10 +107,10 @@ for ii=1:options_.ar
     autocorr_model_one_shock_theoretical(:,ii)=diag(oo_filtered_one_shock_theoretical.autocorr{ii});
 end
 
-if max(max(abs(autocorr_model_all_shocks_simulated-autocorr_model_all_shocks_theoretical)))>2e-2;
+if max(max(abs(autocorr_model_all_shocks_simulated-autocorr_model_all_shocks_theoretical)))>0.05;
     error('Correlation wrong')
 end
 
-if max(max(abs(autocorr_model_one_shock_simulated-autocorr_model_one_shock_theoretical)))>2e-2;
+if max(max(abs(autocorr_model_one_shock_simulated-autocorr_model_one_shock_theoretical)))>0.05;
     error('Correlation wrong')
 end

tests/moments/example1_hp_test.mod

@@ -66,16 +66,13 @@ var e, u = phi*0.009*0.009;
 end;
 
 steady(solve_algo=4,maxit=1000);
-options_.hp_ngrid=2048*4;
-options_.bandpass.indicator=0;
-options_.bandpass.passband=[6 32];
 
-stoch_simul(order=1,nofunctions,hp_filter=1600,irf=0);
+stoch_simul(order=1,nofunctions,hp_filter=1600,irf=0,hp_ngrid=8192);
 
 total_var_filtered=diag(oo_.var);
 oo_filtered_all_shocks=oo_;
 
-stoch_simul(order=1,nofunctions,hp_filter=0,periods=5000000,nomoments);
+stoch_simul(order=1,nofunctions,hp_filter=0,periods=2500000,nomoments);
 options_.nomoments=0;
 oo_unfiltered_all_shocks=oo_;
 
@@ -87,8 +84,8 @@ oo_unfiltered_all_shocks=oo_;
 [junk, b_filtered]=sample_hp_filter(b,1600);
 
 verbatim;
-total_std_all_shocks_filtered_sim=std([y_filtered c_filtered k_filtered a_filtered h_filtered b_filtered])
-cov_filtered_all_shocks=cov([y_filtered c_filtered k_filtered a_filtered h_filtered b_filtered])
+total_std_all_shocks_filtered_sim=std([y_filtered c_filtered k_filtered a_filtered h_filtered b_filtered]);
+cov_filtered_all_shocks=cov([y_filtered c_filtered k_filtered a_filtered h_filtered b_filtered]);
 acf = zeros(6);
 [junk, acf(:,1)] = sample_autocovariance([y_filtered ],5);
 [junk, acf(:,2)] = sample_autocovariance([c_filtered ],5);
@@ -110,7 +107,7 @@ stoch_simul(order=1,nofunctions,hp_filter=1600,irf=0,periods=0);
 total_var_filtered_one_shock=diag(oo_.var);
 oo_filtered_one_shock=oo_;
 
-stoch_simul(order=1,nofunctions,hp_filter=0,periods=5000000,nomoments);
+stoch_simul(order=1,nofunctions,hp_filter=0,periods=2500000,nomoments);
 oo_unfiltered_one_shock=oo_;
 
 [junk, y_filtered]=sample_hp_filter(y,1600);
@@ -121,8 +118,8 @@ oo_unfiltered_one_shock=oo_;
 [junk, b_filtered]=sample_hp_filter(b,1600);
 
 verbatim;
-total_std_one_shock_filtered_sim=std([y_filtered c_filtered k_filtered a_filtered h_filtered b_filtered])
-cov_filtered_one_shock=cov([y_filtered c_filtered k_filtered a_filtered h_filtered b_filtered])
+total_std_one_shock_filtered_sim=std([y_filtered c_filtered k_filtered a_filtered h_filtered b_filtered]);
+cov_filtered_one_shock=cov([y_filtered c_filtered k_filtered a_filtered h_filtered b_filtered]);
 acf = zeros(6);
 [junk, acf(:,1)] = sample_autocovariance([y_filtered ],5);
 [junk, acf(:,2)] = sample_autocovariance([c_filtered ],5);