diff --git a/tests/filter_step_ahead/trend_cycle_decomposition.mod b/tests/filter_step_ahead/trend_cycle_decomposition.mod index 4bdde9a9417ff580d7fbfcc03978941174f8d05d..4308590f5f0d59575d9147511ededd78fcacd887 100644 --- a/tests/filter_step_ahead/trend_cycle_decomposition.mod +++ b/tests/filter_step_ahead/trend_cycle_decomposition.mod @@ -1,38 +1,35 @@ -var y yp z mu; - -varexo ez eyp emu; - -parameters alpha; - -alpha = .889; - -model(linear); - y = yp + z; - yp = mu + yp(-1) + eyp; - mu = mu(-1) + emu; - z = alpha*z(-1) + ez; -end; - -initval; -y=8.655680; -z=0; -yp=8.655680; -mu=0; -end; - -steady(nocheck); -//resid(1); - -//options_.steadystate.nocheck; - -estimated_params; -stderr emu , inv_gamma_pdf, 0.002 , inf; -stderr eyp , inv_gamma_pdf, 0.002 , inf; -stderr ez , inv_gamma_pdf, 0.06 , inf; -alpha, normal_pdf, 0.9, 0.1; -end; - -varobs y; - - -estimation(datafile=data_i,nobs=82, mh_replic=2000, mode_compute=4, mh_nblocks=2, mh_jscale=0.3, filtered_vars, smoother, diffuse_filter) yp z; +var y yp z mu; + +varexo ez eyp emu; + +parameters alpha; + +alpha = .889; + +model(linear); + y = yp + z; + yp = mu + yp(-1) + eyp; + mu = mu(-1) + emu; + z = alpha*z(-1) + ez; +end; + +initval; +y=8.655680; +z=0; +yp=8.655680; +mu=0; +end; + +steady(nocheck); + +estimated_params; +stderr emu , inv_gamma_pdf, 0.002 , inf; +stderr eyp , inv_gamma_pdf, 0.002 , inf; +stderr ez , inv_gamma_pdf, 0.06 , inf; +alpha, normal_pdf, 0.9, 0.1; +end; + +varobs y; + + +estimation(datafile=data_i,nobs=82, mh_replic=2000, mode_compute=4, mh_nblocks=2, mh_jscale=0.3, filtered_vars, smoother, diffuse_filter) yp z; diff --git a/tests/filter_step_ahead/trend_cycle_decomposition_data.m b/tests/filter_step_ahead/trend_cycle_decomposition_data.m index 8f6d42235b0993be2f17f8d61ce94670b3a4f1ae..206d2ae9583261f67f13313c539902fce656a655 100644 --- a/tests/filter_step_ahead/trend_cycle_decomposition_data.m +++ b/tests/filter_step_ahead/trend_cycle_decomposition_data.m @@ -1,164 +1,164 @@ -y=[8.655680 -8.656123 -8.654401 -8.641229 -8.630567 -8.620637 -8.605288 -8.608660 -8.620357 -8.619683 -8.630202 -8.636380 -8.614226 -8.605106 -8.537263 -8.555079 -8.591242 -8.626651 -8.645062 -8.671851 -8.704031 -8.723127 -8.737705 -8.750433 -8.758621 -8.772876 -8.790050 -8.794088 -8.798091 -8.816624 -8.836301 -8.852974 -8.872307 -8.887314 -8.902466 -8.924601 -8.944691 -8.960662 -8.973784 -8.984161 -9.000123 -9.019129 -9.035000 -9.054575 -9.075913 -9.094302 -9.114171 -9.135554 -9.157538 -9.176307 -9.193220 -9.220434 -9.246620 -9.257001 -9.243476 -9.202275 -9.160007 -9.147657 -9.157229 -9.171294 -9.189745 -9.198273 -9.201042 -9.214450 -9.225220 -9.233702 -9.247974 -9.262110 -9.272097 -9.275883 -9.277719 -9.278357 -9.282812 -9.289376 -9.290788 -9.292530 -9.295274 -9.297219 -9.297555 -9.290289 -9.271941 -9.255655]; -ipc=[23.5993149 -24.9374227 -15.5668177 -12.822998 -8.720567 -5.2893706 -3.4198277 -3.274742 -3.664711 -3.0744047 -2.0693272 -1.704983 -1.3786582 -1.3437517 -2.6167173 -4.7126735 -6.3341827 -7.3020707 -6.5659735 -4.3717219 -3.4512364 -4.7505574 -5.6671666 -5.6241466 -5.5933745 -4.7565382 -3.7032831 -3.6624086 -3.8250059 -3.2723449 -3.3568247 -3.7965188 -3.5401286 -2.7513284 -2.5482882 -2.2870368 -2.0836978 -2.6555146 -3.3263235 -3.3905589 -3.2762151 -2.8684465 -2.1706005 -2.3531933 -2.5136208 -2.3339758 -2.0782414 -1.8397957 -1.7220838 -2.3651145 -3.4129652 -3.8212567 -3.9356373 -3.6723844 -3.11287 -2.9099557 -3.1280929 -2.5837809 -1.5138311 -1.191679 -1.286452 -1.8904928 -2.4851907 -2.7408867 -2.2572768 -1.3839678 -0.813925 -0.88364 -1.2723562 -2.0426676 -2.4161978 -1.5967846 -0.9763814 -1.6120089 -2.0962214 -1.6427865 -1.5391928 -2.0537506 -3.1496297 -4.34142 -4.3532191 -2.2026746]; +y=[8.655680 +8.656123 +8.654401 +8.641229 +8.630567 +8.620637 +8.605288 +8.608660 +8.620357 +8.619683 +8.630202 +8.636380 +8.614226 +8.605106 +8.537263 +8.555079 +8.591242 +8.626651 +8.645062 +8.671851 +8.704031 +8.723127 +8.737705 +8.750433 +8.758621 +8.772876 +8.790050 +8.794088 +8.798091 +8.816624 +8.836301 +8.852974 +8.872307 +8.887314 +8.902466 +8.924601 +8.944691 +8.960662 +8.973784 +8.984161 +9.000123 +9.019129 +9.035000 +9.054575 +9.075913 +9.094302 +9.114171 +9.135554 +9.157538 +9.176307 +9.193220 +9.220434 +9.246620 +9.257001 +9.243476 +9.202275 +9.160007 +9.147657 +9.157229 +9.171294 +9.189745 +9.198273 +9.201042 +9.214450 +9.225220 +9.233702 +9.247974 +9.262110 +9.272097 +9.275883 +9.277719 +9.278357 +9.282812 +9.289376 +9.290788 +9.292530 +9.295274 +9.297219 +9.297555 +9.290289 +9.271941 +9.255655]; +ipc=[23.5993149 +24.9374227 +15.5668177 +12.822998 +8.720567 +5.2893706 +3.4198277 +3.274742 +3.664711 +3.0744047 +2.0693272 +1.704983 +1.3786582 +1.3437517 +2.6167173 +4.7126735 +6.3341827 +7.3020707 +6.5659735 +4.3717219 +3.4512364 +4.7505574 +5.6671666 +5.6241466 +5.5933745 +4.7565382 +3.7032831 +3.6624086 +3.8250059 +3.2723449 +3.3568247 +3.7965188 +3.5401286 +2.7513284 +2.5482882 +2.2870368 +2.0836978 +2.6555146 +3.3263235 +3.3905589 +3.2762151 +2.8684465 +2.1706005 +2.3531933 +2.5136208 +2.3339758 +2.0782414 +1.8397957 +1.7220838 +2.3651145 +3.4129652 +3.8212567 +3.9356373 +3.6723844 +3.11287 +2.9099557 +3.1280929 +2.5837809 +1.5138311 +1.191679 +1.286452 +1.8904928 +2.4851907 +2.7408867 +2.2572768 +1.3839678 +0.813925 +0.88364 +1.2723562 +2.0426676 +2.4161978 +1.5967846 +0.9763814 +1.6120089 +2.0962214 +1.6427865 +1.5391928 +2.0537506 +3.1496297 +4.34142 +4.3532191 +2.2026746];