From f31d060a4f5e40b4bfd586b1e835a28bbd81a023 Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?S=C3=A9bastien=20Villemot?= <sebastien@dynare.org>
Date: Wed, 7 May 2014 11:16:47 +0200
Subject: [PATCH] Add all-in-one-file example for smoother2histval.

---
 tests/Makefile.am                             |  3 +-
 .../fs2000_smooth_stoch_simul.mod             | 82 +++++++++++++++++++
 2 files changed, 84 insertions(+), 1 deletion(-)
 create mode 100644 tests/smoother2histval/fs2000_smooth_stoch_simul.mod

diff --git a/tests/Makefile.am b/tests/Makefile.am
index b53d1f5a61..2600f1295f 100644
--- a/tests/Makefile.am
+++ b/tests/Makefile.am
@@ -176,7 +176,8 @@ MODFILES = \
 	filter_step_ahead/fs2000_filter_step_ahead_ML.mod \
 	loglinear/example4_loglinear.mod \
 	smoother2histval/fs2000_simul.mod \
-	smoother2histval/fs2000_smooth.mod
+	smoother2histval/fs2000_smooth.mod \
+	smoother2histval/fs2000_smooth_stoch_simul.mod
 
 XFAIL_MODFILES = ramst_xfail.mod \
 	estim_param_in_shock_value.mod
diff --git a/tests/smoother2histval/fs2000_smooth_stoch_simul.mod b/tests/smoother2histval/fs2000_smooth_stoch_simul.mod
new file mode 100644
index 0000000000..f599f37b7e
--- /dev/null
+++ b/tests/smoother2histval/fs2000_smooth_stoch_simul.mod
@@ -0,0 +1,82 @@
+// Test that smoother2histval works (everything in a single file)
+// Note that an observation equation has been modified in order to have an aux var for lagged endo
+
+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(-1)));
+gy_obs = dA*y/y(-2);
+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;
+
+options_.solve_tolf = 1e-12;
+
+estimation(order=1,datafile=fsdat_simul,nobs=192,mh_replic=1500,mh_nblocks=1,mh_jscale=0.8,smoother,consider_all_endogenous);
+
+smoother2histval(period = 5);
+
+stoch_simul(nomoments);
+
+forecast;
-- 
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