From 7114f94c90030a1467e974d96cdac8b5cf0cb96d Mon Sep 17 00:00:00 2001
From: Johannes Pfeifer <jpfeifer@gmx.de>
Date: Fri, 26 Jun 2020 18:25:04 +0200
Subject: [PATCH] Add test cases for moments with measurement errors
(cherry picked from commit ac728c04927e38b383c953ecc5d6b78a3507f959)
---
.../fs2000_calibrated_covariance.mod | 4 +-
.../check_variable_dimensions/fs2000_ML.mod | 2 +-
tests/moments/example1_one_sided_hp_test.mod | 11 ++
tests/moments/fs2000_post_moments.mod | 101 +++++++++++++++++-
4 files changed, 115 insertions(+), 3 deletions(-)
diff --git a/tests/estimation/fs2000_calibrated_covariance.mod b/tests/estimation/fs2000_calibrated_covariance.mod
index 79d3097868..a2acc33875 100644
--- a/tests/estimation/fs2000_calibrated_covariance.mod
+++ b/tests/estimation/fs2000_calibrated_covariance.mod
@@ -80,7 +80,7 @@ corr e_a, e_m, 0.5;
stderr gp_obs, 0.5;
end;
-estimation(order=1,datafile=fsdat_simul,nobs=192, loglinear, mh_replic=2002, mh_nblocks=1, mh_jscale=0.8);
+estimation(order=1,datafile=fsdat_simul,nobs=192, loglinear, mh_replic=0, mh_nblocks=1, mh_jscale=0.8,moments_varendo,consider_all_endogenous);
if isequal(M_.Sigma_e(2,1),5e-5) || isequal(M_.Sigma_e(1,2),5e-5)
error('Problem in overriding calibrated covariance of structural shocks by estimated correlation')
@@ -88,3 +88,5 @@ end
if ~isequal(M_.H(2,1),5e-5) || ~isequal(M_.H(1,2),5e-5)
error('Problem in setting calibrated covariance of measurement errors')
end
+
+stoch_simul(order=1,periods=1000);
diff --git a/tests/kalman_filter_smoother/check_variable_dimensions/fs2000_ML.mod b/tests/kalman_filter_smoother/check_variable_dimensions/fs2000_ML.mod
index b333d7ff07..19d5c5c1a2 100644
--- a/tests/kalman_filter_smoother/check_variable_dimensions/fs2000_ML.mod
+++ b/tests/kalman_filter_smoother/check_variable_dimensions/fs2000_ML.mod
@@ -116,7 +116,7 @@ corr e_m, e_a, 0;
stderr gp_obs, 0.01;
end;
options_.prior_trunc=0;
-estimation(order=1,datafile='../fsdat_simul', nobs=192, loglinear, forecast=8,smoother,filter_covariance,filtered_vars,filter_step_ahead=[1,2,4],filter_decomposition,selected_variables_only) m P c e W R k d y gy_obs;
+estimation(order=1,datafile='../fsdat_simul', nobs=192, loglinear, moments_varendo,conditional_variance_decomposition=[1,3],forecast=8,smoother,filter_covariance,filtered_vars,filter_step_ahead=[1,2,4],filter_decomposition,selected_variables_only) m P c e W R k d y gy_obs gp_obs;
if size(oo_.FilteredVariablesKStepAhead,3)~=(options_.nobs+max(options_.filter_step_ahead)) || ...
diff --git a/tests/moments/example1_one_sided_hp_test.mod b/tests/moments/example1_one_sided_hp_test.mod
index 1e61f23d26..c87763ff06 100644
--- a/tests/moments/example1_one_sided_hp_test.mod
+++ b/tests/moments/example1_one_sided_hp_test.mod
@@ -68,3 +68,14 @@ end;
steady(solve_algo=4,maxit=1000);
stoch_simul(order=1,nofunctions,one_sided_hp_filter=1600,irf=0,periods=5000,filtered_theoretical_moments_grid=8192);
+
+varobs k c y;
+
+shocks;
+var e; stderr 0.009;
+var u; stderr 0.009;
+var e, u = phi*0.009*0.009;
+var c; stderr 0.01;
+end;
+
+stoch_simul(order=1,nofunctions,one_sided_hp_filter=1600,irf=0,periods=5000,filtered_theoretical_moments_grid=8192);
diff --git a/tests/moments/fs2000_post_moments.mod b/tests/moments/fs2000_post_moments.mod
index 3ea15dcef0..fce555f413 100644
--- a/tests/moments/fs2000_post_moments.mod
+++ b/tests/moments/fs2000_post_moments.mod
@@ -169,7 +169,7 @@ end
conditional_variance_decomposition=mean(conditional_variance_decomposition,4);
nvars=M_.orig_endo_nbr;
-horizon_size=size(conditional_variance_decomposition,3);
+horizon_size=size(conditional_variance_decomposition,2);
for var_iter_1=1:nvars
for shock_iter=1:M_.exo_nbr
for horizon_iter=1:horizon_size
@@ -180,6 +180,105 @@ for var_iter_1=1:nvars
end
end
+// case with measurement error
+estimated_params;
+alp, beta_pdf, 0.356, 0.02;
+bet, beta_pdf, 0.993, 0.002;
+gam, normal_pdf, 0.0085, 0.003;
+mst, normal_pdf, 1.0002, 0.007;
+rho, beta_pdf, 0.129, 0.100;
+psi, beta_pdf, 0.65, 0.05;
+del, beta_pdf, 0.01, 0.005;
+stderr e_a, inv_gamma_pdf, 0.035449, inf;
+stderr e_m, inv_gamma_pdf, 0.008862, inf;
+stderr gp_obs, inv_gamma_pdf, 0.003, inf;
+end;
+
+estimation(order=1,mode_compute=5, datafile='../fs2000/fsdat_simul.m', nobs=192, loglinear, mh_replic=20, mh_nblocks=1, mh_jscale=0.8,moments_varendo,
+conditional_variance_decomposition=[2,2000],consider_all_endogenous,sub_draws=2);
+
+stoch_simul(order=1,conditional_variance_decomposition=[2,2000],noprint,nograph);
+par=load([M_.fname filesep 'metropolis' filesep M_.fname '_posterior_draws1']);
+
+for par_iter=1:size(par.pdraws,1)
+ M_=set_parameters_locally(M_,par.pdraws{par_iter,1});
+ [info, oo_, options_, M_]=stoch_simul(M_, options_, oo_, var_list_);
+ correlation(:,:,par_iter)=cell2mat(oo_.autocorr);
+ covariance(:,:,par_iter)=oo_.var;
+ conditional_variance_decomposition(:,:,:,par_iter)=oo_.conditional_variance_decomposition;
+ conditional_variance_decomposition_ME(:,:,:,par_iter)=oo_.conditional_variance_decomposition_ME;
+ variance_decomposition(:,:,par_iter)=oo_.variance_decomposition;
+ variance_decomposition_ME(:,:,par_iter)=oo_.variance_decomposition_ME;
+ [~,obs_order]=sort(options_.varobs_id);
+end
+
+correlation=mean(correlation,3);
+nvars=M_.orig_endo_nbr;
+for var_iter_1=1:nvars
+ for var_iter_2=1:nvars
+ if max(abs(correlation(var_iter_1,var_iter_2:nvars:end)'-oo_.PosteriorTheoreticalMoments.dsge.correlation.Mean.(M_.endo_names{var_iter_1}).(M_.endo_names{var_iter_2})))>1e-8
+ error('Correlations do not match')
+ end
+ end
+end
+
+covariance=mean(covariance,3);
+nvars=M_.orig_endo_nbr;
+for var_iter_1=1:nvars
+ for var_iter_2=var_iter_1:nvars
+ if max(abs(covariance(var_iter_1,var_iter_2)-oo_.PosteriorTheoreticalMoments.dsge.covariance.Mean.(M_.endo_names{var_iter_1}).(M_.endo_names{var_iter_2})))>1e-8
+ error('Covariances do not match')
+ end
+ end
+end
+
+variance_decomposition=mean(variance_decomposition,3);
+nvars=M_.orig_endo_nbr;
+for var_iter_1=1:nvars
+ for shock_iter=1:M_.exo_nbr
+ if max(abs(variance_decomposition(var_iter_1,shock_iter)/100-oo_.PosteriorTheoreticalMoments.dsge.VarianceDecomposition.Mean.(M_.endo_names{var_iter_1}).(M_.exo_names{shock_iter})))>1e-8
+ error('Variance decomposition does not match')
+ end
+ end
+end
+
+variance_decomposition_ME=mean(variance_decomposition_ME,3);
+nvars=length(options_.varobs);
+for var_iter_1=1:nvars
+ for shock_iter=1:M_.exo_nbr
+ if max(abs(variance_decomposition_ME(obs_order(var_iter_1),shock_iter)/100-oo_.PosteriorTheoreticalMoments.dsge.VarianceDecompositionME.Mean.(options_.varobs{var_iter_1}).(M_.exo_names{shock_iter})))>1e-8
+ error('Variance decomposition does not match')
+ end
+ end
+end
+
+conditional_variance_decomposition=mean(conditional_variance_decomposition,4);
+nvars=M_.orig_endo_nbr;
+horizon_size=size(conditional_variance_decomposition,2);
+for var_iter_1=1:nvars
+ for shock_iter=1:M_.exo_nbr
+ for horizon_iter=1:horizon_size
+ if max(abs(conditional_variance_decomposition(var_iter_1,horizon_iter,shock_iter)-oo_.PosteriorTheoreticalMoments.dsge.ConditionalVarianceDecomposition.Mean.(M_.endo_names{var_iter_1}).(M_.exo_names{shock_iter})(horizon_iter)))>1e-8
+ error('Conditional Variance decomposition does not match')
+ end
+ end
+ end
+end
+
+conditional_variance_decomposition_ME=mean(conditional_variance_decomposition_ME,4);
+exo_names=[M_.exo_names;'ME'];
+nvars=length(options_.varobs);
+horizon_size=size(conditional_variance_decomposition_ME,2);
+for var_iter_1=1:nvars
+ for shock_iter=1:M_.exo_nbr+1
+ for horizon_iter=1:horizon_size
+ if max(abs(conditional_variance_decomposition_ME(obs_order(var_iter_1),horizon_iter,shock_iter)-oo_.PosteriorTheoreticalMoments.dsge.ConditionalVarianceDecompositionME.Mean.(options_.varobs{var_iter_1}).(exo_names{shock_iter})(horizon_iter)))>1e-8
+ error('Conditional Variance decomposition does not match')
+ end
+ end
+ end
+end
+
/*
* The following lines were used to generate the data file. If you want to
* generate another random data file, comment the "estimation" line and uncomment
--
GitLab