Incorporate unit test for correlation in measurement errors

(manually cherry picked from commit 214ff844)

tests/Makefile.am

@@ -144,7 +144,9 @@ MODFILES = \
 	estimation/fs2000_mc4.mod \
 	estimation/fs2000_mc4_mf.mod \
 	estimation/fs2000_mc6.mod \
-	estimation/fs2000_mc6_mf.mod
+	estimation/fs2000_mc6_mf.mod \
+	measurement_errors/fs2000_corr_me_ml_mcmc/fs2000_corr_ME.mod
+
 EXTRA_DIST = \
 	$(MODFILES) \
 	homotopy/common.mod \
@@ -173,6 +175,9 @@ 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_steadystate.m

+% 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

+% 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
+
+];
+