Merge branch 'test_error' into 'master'

fs2000_uncorr_ME_missing.mod: use calibration instead of estimation

See merge request !2015

tests/kalman/likelihood_from_dynare/fs2000_uncorr_ME_missing.mod

@@ -12,15 +12,74 @@ stderr gy_obs, 1;
 //corr gp_obs, gy_obs,0;
 end;
 
-@#define mode_file_name="'fs2000_uncorr_ME_missing/Output/fs2000_uncorr_ME_missing_mode'"
 @#define data_file_name="fsdat_simul_uncorr_ME_missing"
 
-@#include "fs2000_estimation_check.inc" 
-
+%%default
+options_.lik_init=1;
+estimation(kalman_algo=0,mode_compute=0,order=1,datafile=@{data_file_name},smoother,filter_decomposition,forecast = 8,filtered_vars,filter_step_ahead=[1,3],irf=20) m P c e W R k d y gy_obs;
+fval_algo_0=oo_.likelihood_at_initial_parameters;
 %%Multivariate Kalman Filter
 options_.lik_init=1;
-estimation(kalman_algo=1,fast_kalman_filter,mode_file=@{mode_file_name},mode_compute=0,order=1,datafile=@{data_file_name},smoother,filter_decomposition,forecast = 8,filtered_vars,filter_step_ahead=[1,3],irf=20) m P c e W R k d y gy_obs;
-fval_algo_5=oo_.likelihood_at_initial_parameters;
+estimation(kalman_algo=1,mode_compute=0,order=1,datafile=@{data_file_name},smoother,filter_decomposition,forecast = 8,filtered_vars,filter_step_ahead=[1,3],irf=20) m P c e W R k d y gy_obs;
+fval_algo_1=oo_.likelihood_at_initial_parameters;
 SmoothedMeasurementErrors(:,:,1)=cell2mat(struct2cell(oo_.SmoothedMeasurementErrors));
 SmoothedShocks(:,:,1)=cell2mat(struct2cell(oo_.SmoothedShocks));
-SmoothedVariables(:,:,1)=cell2mat(struct2cell(oo_.SmoothedVariables));
+SmoothedVariables(:,:,1)=cell2mat(struct2cell(oo_.SmoothedVariables));
\ No newline at end of file
+
+%%Univariate Kalman Filter
+options_.lik_init=1;
+estimation(kalman_algo=3,mode_compute=0,order=1,datafile=@{data_file_name},smoother,filter_decomposition,forecast = 8,filtered_vars,filter_step_ahead=[1,3],irf=20) m P c e W R k d y gy_obs;
+fval_algo_3=oo_.likelihood_at_initial_parameters;
+SmoothedMeasurementErrors(:,:,3)=cell2mat(struct2cell(oo_.SmoothedMeasurementErrors));
+SmoothedShocks(:,:,3)=cell2mat(struct2cell(oo_.SmoothedShocks));
+SmoothedVariables(:,:,3)=cell2mat(struct2cell(oo_.SmoothedVariables));
+
+%%Diffuse Multivariate Kalman Filter
+options_.lik_init=1;
+estimation(kalman_algo=2,mode_compute=0,datafile=@{data_file_name},smoother,filter_decomposition,forecast = 8,filtered_vars,filter_step_ahead=[1,3],irf=20) m P c e W R k d y gy_obs;
+fval_algo_2=oo_.likelihood_at_initial_parameters;
+SmoothedMeasurementErrors(:,:,2)=cell2mat(struct2cell(oo_.SmoothedMeasurementErrors));
+SmoothedShocks(:,:,2)=cell2mat(struct2cell(oo_.SmoothedShocks));
+SmoothedVariables(:,:,2)=cell2mat(struct2cell(oo_.SmoothedVariables));
+
+%%Diffuse univariate Kalman Filter
+options_.lik_init=1;
+estimation(kalman_algo=4,mode_compute=0,datafile=@{data_file_name},smoother,filter_decomposition,forecast = 8,filtered_vars,filter_step_ahead=[1,3],irf=20) m P c e W R k d y gy_obs;
+fval_algo_4=oo_.likelihood_at_initial_parameters;
+SmoothedMeasurementErrors(:,:,4)=cell2mat(struct2cell(oo_.SmoothedMeasurementErrors));
+SmoothedShocks(:,:,4)=cell2mat(struct2cell(oo_.SmoothedShocks));
+SmoothedVariables(:,:,4)=cell2mat(struct2cell(oo_.SmoothedVariables));
+
+
+%%Multivariate Fast Kalman Filter
+options_.lik_init=1;
+estimation(kalman_algo=1,fast_kalman_filter,mode_compute=0,order=1,datafile=@{data_file_name},smoother,filter_decomposition,forecast = 8,filtered_vars,filter_step_ahead=[1,3],irf=20) m P c e W R k d y gy_obs;
+fval_algo_5=oo_.likelihood_at_initial_parameters;
+SmoothedMeasurementErrors(:,:,5)=cell2mat(struct2cell(oo_.SmoothedMeasurementErrors));
+SmoothedShocks(:,:,5)=cell2mat(struct2cell(oo_.SmoothedShocks));
+SmoothedVariables(:,:,5)=cell2mat(struct2cell(oo_.SmoothedVariables));
+
+%%Multivariate Fast Kalman Filter
+options_.lik_init=1;
+estimation(kalman_algo=3,fast_kalman_filter,mode_compute=0,order=1,datafile=@{data_file_name},smoother,filter_decomposition,forecast = 8,filtered_vars,filter_step_ahead=[1,3],irf=20) m P c e W R k d y gy_obs;
+fval_algo_6=oo_.likelihood_at_initial_parameters;
+SmoothedMeasurementErrors(:,:,6)=cell2mat(struct2cell(oo_.SmoothedMeasurementErrors));
+SmoothedShocks(:,:,6)=cell2mat(struct2cell(oo_.SmoothedShocks));
+SmoothedVariables(:,:,6)=cell2mat(struct2cell(oo_.SmoothedVariables));
+
+
+if max(max(abs(SmoothedMeasurementErrors-repmat(SmoothedMeasurementErrors(:,:,1),[1,1,6]))))>1e-8
+    error('SmoothedMeasurementErrors do not match')
+end
+
+if max(max(abs(SmoothedShocks-repmat(SmoothedShocks(:,:,1),[1,1,6]))))>1e-8
+    error('SmoothedShocks do not match')
+end
+
+if max(max(abs(SmoothedVariables-repmat(SmoothedVariables(:,:,1),[1,1,6]))))>1e-8
+    error('SmoothedVariables do not match')
+end
+
+if max(abs([fval_algo_2,fval_algo_3,fval_algo_4,fval_algo_5,fval_algo_6]-fval_algo_1))>1e-8
+    error('Likelihoods do not match')
+end
\ No newline at end of file