diff --git a/tests/.gitignore b/tests/.gitignore
index 57556058afcaaea53d8adff831901ad579affd78..689f72a334c3b8dc39371149f4435b45d9d3f607 100644
--- a/tests/.gitignore
+++ b/tests/.gitignore
@@ -39,6 +39,7 @@ wsOct
!/external_function/extFunWithFirstAndSecondDerivs.m
!/fs2000/fs2000a_steadystate.m
!/fs2000/fsdat_simul.m
+!/fs2000/fsdat_simul_missing_obs.m
!/gsa/data_ca1.m
!/gsa/data_ca1.mat
!/gsa/ls2003_mean.mat
diff --git a/tests/Makefile.am b/tests/Makefile.am
index fbe8a685f5f52691e3c18bae6b5e531b60f4ad68..c6d3d6a20d30ef0841c2f63af70ef8ecb4788926 100644
--- a/tests/Makefile.am
+++ b/tests/Makefile.am
@@ -67,6 +67,7 @@ MODFILES = \
fs2000/fs2000_calib.mod \
fs2000/fs2000_analytic_derivation.mod \
fs2000/fs2000_particle.mod \
+ fs2000/fs2000_missing_data.mod \
homotopy/homotopy1_test.mod \
homotopy/homotopy2_test.mod \
homotopy/homotopy3_test.mod \
diff --git a/tests/fs2000/fs2000_missing_data.mod b/tests/fs2000/fs2000_missing_data.mod
new file mode 100644
index 0000000000000000000000000000000000000000..1c02fd45657b8041ca8ec4fb916df1b2c494c293
--- /dev/null
+++ b/tests/fs2000/fs2000_missing_data.mod
@@ -0,0 +1,83 @@
+// Tests kalman filter with missing observations
+
+var m P c e W R k d n l gy_obs gp_obs y dA;
+varexo e_a e_m;
+
+parameters alp bet gam mst rho psi del;
+
+alp = 0.33;
+bet = 0.99;
+gam = 0.003;
+mst = 1.011;
+rho = 0.7;
+psi = 0.787;
+del = 0.02;
+
+model;
+dA = exp(gam+e_a);
+log(m) = (1-rho)*log(mst) + rho*log(m(-1))+e_m;
+-P/(c(+1)*P(+1)*m)+bet*P(+1)*(alp*exp(-alp*(gam+log(e(+1))))*k^(alp-1)*n(+1)^(1-alp)+(1-del)*exp(-(gam+log(e(+1)))))/(c(+2)*P(+2)*m(+1))=0;
+W = l/n;
+-(psi/(1-psi))*(c*P/(1-n))+l/n = 0;
+R = P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(-alp)/W;
+1/(c*P)-bet*P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)/(m*l*c(+1)*P(+1)) = 0;
+c+k = exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)+(1-del)*exp(-(gam+e_a))*k(-1);
+P*c = m;
+m-1+d = l;
+e = exp(e_a);
+y = k(-1)^alp*n^(1-alp)*exp(-alp*(gam+e_a));
+gy_obs = dA*y/y(-1);
+gp_obs = (P/P(-1))*m(-1)/dA;
+end;
+
+initval;
+k = 6;
+m = mst;
+P = 2.25;
+c = 0.45;
+e = 1;
+W = 4;
+R = 1.02;
+d = 0.85;
+n = 0.19;
+l = 0.86;
+y = 0.6;
+gy_obs = exp(gam);
+gp_obs = exp(-gam);
+dA = exp(gam);
+end;
+
+shocks;
+var e_a; stderr 0.014;
+var e_m; stderr 0.005;
+end;
+
+steady;
+
+check;
+
+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, 0.223;
+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;
+end;
+
+varobs gp_obs gy_obs;
+
+estimation(order=1, datafile=fsdat_simul_missing_obs, nobs=192, loglinear, mh_replic=2000, mh_nblocks=2, mh_jscale=0.8);
+
+
+/*
+ * 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
+ * the following lines.
+ */
+
+//stoch_simul(periods=200, order=1);
+//datatomfile('fsdat_simul', char('gy_obs', 'gp_obs'));
diff --git a/tests/fs2000/fsdat_simul_missing_obs.m b/tests/fs2000/fsdat_simul_missing_obs.m
new file mode 100644
index 0000000000000000000000000000000000000000..fe9dc57794097461946cbe594ffdb53e3fac91c3
--- /dev/null
+++ b/tests/fs2000/fsdat_simul_missing_obs.m
@@ -0,0 +1,416 @@
+% Generated data, used by fs2000.mod
+
+gy_obs =[
+ NaN
+ 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
+ NaN
+ 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
+ NaN
+ 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
+ NaN
+ 0.99233844
+
+];
+