From 4a197150b81c84135ae32dfcf062b68a3c516ef3 Mon Sep 17 00:00:00 2001
From: Michel Juillard <michel.juillard@mjui.fr>
Date: Wed, 2 Nov 2011 21:20:10 +0100
Subject: [PATCH] adding new test
---
tests/Makefile.am | 18 +-
tests/kalman_filter_smoother/algo1.mod | 9 +-
tests/kalman_filter_smoother/algo2.mod | 18 +-
tests/kalman_filter_smoother/algo3.mod | 9 +-
tests/kalman_filter_smoother/algo4.mod | 19 +-
tests/kalman_filter_smoother/algo4a.mod | 8 +-
tests/kalman_filter_smoother/algo4b.mod | 58 ++
tests/kalman_filter_smoother/algoH1.mod | 8 +-
tests/kalman_filter_smoother/algoH2.mod | 26 +-
tests/kalman_filter_smoother/algoH3.mod | 9 +-
tests/kalman_filter_smoother/fs2000.mod | 74 ++
tests/kalman_filter_smoother/fs2000_1.mod | 74 ++
tests/kalman_filter_smoother/fs2000_2.mod | 74 ++
tests/kalman_filter_smoother/fs2000a.mod | 85 +++
tests/kalman_filter_smoother/fsdat_simul.m | 828 +++++++++++++++++++++
15 files changed, 1282 insertions(+), 35 deletions(-)
create mode 100644 tests/kalman_filter_smoother/algo4b.mod
create mode 100644 tests/kalman_filter_smoother/fs2000.mod
create mode 100644 tests/kalman_filter_smoother/fs2000_1.mod
create mode 100644 tests/kalman_filter_smoother/fs2000_2.mod
create mode 100644 tests/kalman_filter_smoother/fs2000a.mod
create mode 100644 tests/kalman_filter_smoother/fsdat_simul.m
diff --git a/tests/Makefile.am b/tests/Makefile.am
index 09fb73485..a5cb20495 100644
--- a/tests/Makefile.am
+++ b/tests/Makefile.am
@@ -87,6 +87,21 @@ MODFILES = \
conditional_forecasts/fs2000_est.mod \
recursive/ls2003.mod \
recursive/ls2003_bayesian.mod
+ kalman_filter_smoother/algo1.mod \
+ kalman_filter_smoother/algo2.mod \
+ kalman_filter_smoother/algo3.mod \
+ kalman_filter_smoother/algo4.mod \
+ kalman_filter_smoother/algo4a.mod \
+ kalman_filter_smoother/algo4b.mod \
+ kalman_filter_smoother/algoH1.mod \
+ kalman_filter_smoother/algoH2.mod \
+ kalman_filter_smoother/algoH3.mod \
+ kalman_filter_smoother/fs2000.mod \
+ kalman_filter_smoother/fs2000_1.mod \
+ kalman_filter_smoother/fs2000_2.mod \
+ kalman_filter_smoother/fs2000a.mod \
+ kalman_filter_smoother/gen_data.mod \
+ kalman_filter_smoother/fsdat_simul.m
EXTRA_DIST = \
$(MODFILES) \
@@ -119,7 +134,8 @@ EXTRA_DIST = \
missing/simulate_data_with_missing_observations.m \
objectives/sgu_ex1.mat \
conditional_forecasts/fsdat_simul.m \
- recursive/data_ca1.m
+ recursive/data_ca1.m \
+ kalman_filter_smoother/fsdat_simul.m
TARGETS =
diff --git a/tests/kalman_filter_smoother/algo1.mod b/tests/kalman_filter_smoother/algo1.mod
index c2a4bfb89..482240ba4 100644
--- a/tests/kalman_filter_smoother/algo1.mod
+++ b/tests/kalman_filter_smoother/algo1.mod
@@ -32,7 +32,6 @@ end;
varobs dw dx dy z;
-//estimation(datafile=data,first_obs=1000,nobs=200,mh_replic=0);
estimation(datafile=data,first_obs=1000,nobs=200,mh_replic=0,mode_compute=0,mode_file=algo1_mode);
//checking smoother consistency
@@ -46,8 +45,12 @@ err = zeros(6,200);
for t=2:200;
err(:,t) = S(t,:)'-A*S(t-1,:)'-B*E(t,:)';
end;
-disp(max(max(abs(err))));
+if max(max(abs(err))) > 1e-10;
+ error('Test fails')
+endif;
d=load('data');
dat = [d.dw d.dx d.dy d.z];
-disp(max(max(abs(dat(1000:1199,:)-S(:,[2:4 1])))));
\ No newline at end of file
+if max(max(abs(dat(1000:1199,:)-S(:,[2:4 1])))) > 1e-10;
+ error('Test fails');
+end;
\ No newline at end of file
diff --git a/tests/kalman_filter_smoother/algo2.mod b/tests/kalman_filter_smoother/algo2.mod
index a6d7ce4aa..d589792cd 100644
--- a/tests/kalman_filter_smoother/algo2.mod
+++ b/tests/kalman_filter_smoother/algo2.mod
@@ -32,7 +32,6 @@ end;
varobs dw dx dy z;
-//estimation(datafile=data,first_obs=1000,nobs=200,mh_replic=0,kalman_algo=2);
estimation(datafile=data,first_obs=1000,nobs=200,mh_replic=0,mode_compute=0,mode_file=algo1_mode,kalman_algo=2);
//checking smoother consistency
@@ -46,11 +45,15 @@ err = zeros(6,200);
for t=2:200;
err(:,t) = S(t,:)'-A*S(t-1,:)'-B*E(t,:)';
end;
-disp(max(max(abs(err))));
+if max(max(abs(err))) > 1e-10;
+ error('Test fails');
+end;
d=load('data');
dat = [d.dw d.dx d.dy d.z];
-disp(max(max(abs(dat(1000:1199,:)-S(:,[2:4 1])))));
+if max(max(abs(dat(1000:1199,:)-S(:,[2:4 1])))) > 1e-10;
+ error('Test fails');
+end;
o1 = load('algo1_results');
obj_endo={'SmoothedVariables'; 'FilteredVariables'; 'UpdatedVariables'};
@@ -64,7 +67,9 @@ for i=1:nobj_endo;
var2 = eval(['oo_.' obj_endo{i} '.' M_.endo_names(j,:)]);
err_endo(:,j) = var1-var2;
end;
- disp(max(max(abs(err_endo))));
+ if max(max(abs(err_endo))) > 1e-10;
+ error('Test fails');
+ end;
end;
@@ -76,6 +81,7 @@ for i=1:nobj_exo;
var2 = eval(['oo_.' obj_exo{i} '.' M_.exo_names(j,:)]);
err_exo(:,j,i) = var1 - var2;
end;
- disp(max(max(abs(err_exo))));
+ if max(max(abs(err_exo))) > 1e-10;
+ error('Test fails')
+ end;
end;
-disp(max(max(max(abs(err_exo)))));
diff --git a/tests/kalman_filter_smoother/algo3.mod b/tests/kalman_filter_smoother/algo3.mod
index 16ff3ff15..78fff75e8 100644
--- a/tests/kalman_filter_smoother/algo3.mod
+++ b/tests/kalman_filter_smoother/algo3.mod
@@ -36,7 +36,6 @@ end;
varobs w x y;
estimation(datafile=data,first_obs=1000,nobs=200,mh_replic=0,diffuse_filter);
-//estimation(datafile=data,first_obs=1000,nobs=200,mh_replic=0,mode_compute=0,mode_file=algo3_mode,diffuse_filter);
//checking smoother consistency
X = oo_.SmoothedVariables;
@@ -49,8 +48,12 @@ err = zeros(M_.endo_nbr,200);
for t=2:200;
err(:,t) = S(t,:)'-A*S(t-1,:)'-B*E(t,:)';
end;
-disp(max(max(abs(err))));
+if max(max(abs(err))) > 1e-10;
+ error('Test fails');
+end;
d=load('data');
dat = [d.w d.x d.y];
-disp(max(max(abs(dat(1000:1199,:)-S(:,[7:9])))));
\ No newline at end of file
+if max(max(abs(dat(1000:1199,:)-S(:,[7:9])))) > 1e-10;
+ error('Test fails');
+end;
diff --git a/tests/kalman_filter_smoother/algo4.mod b/tests/kalman_filter_smoother/algo4.mod
index 22820f730..4e5276867 100644
--- a/tests/kalman_filter_smoother/algo4.mod
+++ b/tests/kalman_filter_smoother/algo4.mod
@@ -35,7 +35,6 @@ end;
varobs w x y;
-//estimation(datafile=data,first_obs=1000,nobs=200,mh_replic=0,diffuse_filter);
estimation(datafile=data,first_obs=1000,nobs=200,mh_replic=0,mode_compute=0,mode_file=algo3_mode,diffuse_filter,kalman_algo=4);
//checking smoother consistency
@@ -49,11 +48,15 @@ err = zeros(M_.endo_nbr,200);
for t=2:200;
err(:,t) = S(t,:)'-A*S(t-1,:)'-B*E(t,:)';
end;
-disp(max(max(abs(err))));
+if max(max(abs(err))) > 1e-10;
+ error('Test fails');
+end;
d=load('data');
dat = [d.w d.x d.y];
-disp(max(max(abs(dat(1000:1199,:)-S(:,[7:9])))));
+if max(max(abs(dat(1000:1199,:)-S(:,[7:9])))) > 1e-10;
+ error('Test fails');
+end;
o1 = load('algo3_results');
obj_endo={'SmoothedVariables'; 'FilteredVariables'; 'UpdatedVariables'};
@@ -67,7 +70,9 @@ for i=1:nobj_endo;
var2 = eval(['oo_.' obj_endo{i} '.' M_.endo_names(j,:)]);
err_endo(:,j) = var1-var2;
end;
- disp(max(max(abs(err_endo))));
+ if max(max(abs(err_endo))) > 1e-10;
+ error('Test fails');
+ end;
end;
@@ -79,6 +84,8 @@ for i=1:nobj_exo;
var2 = eval(['oo_.' obj_exo{i} '.' M_.exo_names(j,:)]);
err_exo(:,j,i) = var1 - var2;
end;
- disp(max(max(abs(err_exo))));
+ if max(max(abs(err_exo))) > 1e-10;
+ error('Test fails');
+ end;
end;
-disp(max(max(max(abs(err_exo)))));
+
diff --git a/tests/kalman_filter_smoother/algo4a.mod b/tests/kalman_filter_smoother/algo4a.mod
index eec1cbaf5..9ca467501 100644
--- a/tests/kalman_filter_smoother/algo4a.mod
+++ b/tests/kalman_filter_smoother/algo4a.mod
@@ -47,8 +47,12 @@ err = zeros(M_.endo_nbr,200);
for t=2:200;
err(:,t) = S(t,:)'-A*S(t-1,:)'-B*E(t,:)';
end;
-disp(max(max(abs(err))));
+if max(max(abs(err))) > 1e-10;
+ error('Test fails');
+end;
d=load('data');
dat = [d.dw d.dx d.y d.z];
-disp(max(max(abs(dat(1000:1199,:)-S(:,[2 3 7 1])))));
\ No newline at end of file
+if max(max(abs(dat(1000:1199,:)-S(:,[2 3 7 1])))) > 1e-10;
+ error('Test fails');
+end;
diff --git a/tests/kalman_filter_smoother/algo4b.mod b/tests/kalman_filter_smoother/algo4b.mod
new file mode 100644
index 000000000..9ca467501
--- /dev/null
+++ b/tests/kalman_filter_smoother/algo4b.mod
@@ -0,0 +1,58 @@
+var z dw dx dy dc1 dc2 y;
+varexo e_w e_x e_y e_z;
+
+parameters rho_w rho_x rho_y rho_z a1 a2 a3 b c;
+
+model(linear);
+dw = rho_w*dw(-1)+a1*(dc1(-1))+e_w;
+dx = rho_x*dx(-1)+a2*(dc1(-1))+e_x;
+dy = rho_y*dy(-1)+a3*(dc2(-1))+e_y;
+z = rho_z*z(-1)+dw-dx+e_z;
+dc1 = dc1(-1)+dx-b*dy-c*dw;
+dc2 = dc2(-1)+dx-b*dy;
+y = y(-1) + dy;
+end;
+
+estimated_params;
+rho_w, normal_pdf, 0.5,0.2;
+rho_x, normal_pdf, 0.5,0.2;
+rho_y, normal_pdf, 0.5,0.2;
+rho_z, normal_pdf, 0.8,0.2;
+
+a1, normal_pdf, 0.1,0.2;
+a2, normal_pdf, -0.1,0.2;
+a3, normal_pdf, 0.1,0.2;
+b , normal_pdf, 1,0.2;
+c , normal_pdf, 1,0.2;
+
+stderr e_w, uniform_pdf,,, 0.01, 0.1;
+stderr e_x, uniform_pdf,,, 0.01, 0.1;
+stderr e_y, uniform_pdf,,, 0.01, 0.1;
+stderr e_z, uniform_pdf,,, 0.01, 0.1;
+end;
+
+varobs dw dx y z;
+
+estimation(datafile=data,first_obs=1000,nobs=200,mh_replic=0,diffuse_filter);
+//estimation(datafile=data,first_obs=1000,nobs=200,mh_replic=0,mode_compute=0,mode_file=algo3_mode,diffuse_filter);
+
+//checking smoother consistency
+X = oo_.SmoothedVariables;
+S = [X.z X.dw X.dx X.dy X.dc1 X.dc2 X.y];
+X = oo_.SmoothedShocks;
+E = [X.e_w X.e_x X.e_y X.e_z];
+A = oo_.dr.ghx;
+B = oo_.dr.ghu;
+err = zeros(M_.endo_nbr,200);
+for t=2:200;
+ err(:,t) = S(t,:)'-A*S(t-1,:)'-B*E(t,:)';
+end;
+if max(max(abs(err))) > 1e-10;
+ error('Test fails');
+end;
+
+d=load('data');
+dat = [d.dw d.dx d.y d.z];
+if max(max(abs(dat(1000:1199,:)-S(:,[2 3 7 1])))) > 1e-10;
+ error('Test fails');
+end;
diff --git a/tests/kalman_filter_smoother/algoH1.mod b/tests/kalman_filter_smoother/algoH1.mod
index 46f2a7a97..cd9b7f4b6 100644
--- a/tests/kalman_filter_smoother/algoH1.mod
+++ b/tests/kalman_filter_smoother/algoH1.mod
@@ -48,10 +48,14 @@ err = zeros(6,200);
for t=2:200;
err(:,t) = S(t,:)'-A*S(t-1,:)'-B*E(t,:)';
end;
-disp(max(max(abs(err))));
+if max(max(abs(err))) > 1e-10;
+ error('Test fails');
+end;
d=load('data');
dat = [d.dw d.dx d.dy d.z];
X = oo_.SmoothedMeasurementErrors;
ME = [X.dw X.dx X.dy X.z];
-disp(max(max(abs(dat(1000:1199,:)-S(:,[2:4 1])-ME))));
\ No newline at end of file
+if max(max(abs(dat(1000:1199,:)-S(:,[2:4 1])-ME))) > 1e-10;
+ error('Test fails');
+end;
diff --git a/tests/kalman_filter_smoother/algoH2.mod b/tests/kalman_filter_smoother/algoH2.mod
index 96b730810..2fb7e81b8 100644
--- a/tests/kalman_filter_smoother/algoH2.mod
+++ b/tests/kalman_filter_smoother/algoH2.mod
@@ -33,9 +33,8 @@ stderr z, normal_pdf, 0, 0.1;
end;
varobs dw dx dy z;
-
-//estimation(datafile=data,first_obs=1000,nobs=200,mh_replic=0,kalman_algo=2);
-estimation(datafile=data,first_obs=1000,nobs=200,mh_replic=0,mode_compute=0,mode_file=algoH1_mode,kalman_algo=2);
+
+estimation(datafile=data,first_obs=1000,nobs=200,mh_replic=0,mode_compute=0,mode_file=algoH1_mode,kalman_algo=2,filtered_vars);
//checking smoother consistency
X = oo_.SmoothedVariables;
@@ -48,13 +47,17 @@ err = zeros(6,200);
for t=2:200;
err(:,t) = S(t,:)'-A*S(t-1,:)'-B*E(t,:)';
end;
-disp(max(max(abs(err))));
+if max(max(abs(err))) > 1e-10;
+ error('Test fails');
+end;
d=load('data');
dat = [d.dw d.dx d.dy d.z];
X = oo_.SmoothedMeasurementErrors;
ME = [X.dw X.dx X.dy X.z];
-disp(max(max(abs(dat(1000:1199,:)-S(:,[2:4 1])-ME))));
+if max(max(abs(dat(1000:1199,:)-S(:,[2:4 1])-ME))) > 1e-10;
+ error('Test fails');
+end;
o1 = load('algoH1_results');
obj_endo={'SmoothedVariables'; 'FilteredVariables'; 'UpdatedVariables'};
@@ -68,7 +71,9 @@ for i=1:nobj_endo;
var2 = eval(['oo_.' obj_endo{i} '.' M_.endo_names(j,:)]);
err_endo(:,j) = var1-var2;
end;
- disp(max(max(abs(err_endo))));
+ if max(max(abs(err_endo))) > 1e-10;
+ error('Test fails');
+ end;
end;
@@ -80,8 +85,11 @@ for i=1:nobj_exo;
var2 = eval(['oo_.' obj_exo{i} '.' M_.exo_names(j,:)]);
err_exo(:,j,i) = var1 - var2;
end;
- disp(max(max(abs(err_exo))));
+ if max(max(abs(err_exo))) > 1e-10;
+ error('Test fails');
+ end;
end;
-disp(max(max(max(abs(err_exo)))));
-disp(max(max(abs(o1.oo_.SmoothedMeasurementErrors.z - oo_.SmoothedMeasurementErrors.z))));
\ No newline at end of file
+if max(max(abs(o1.oo_.SmoothedMeasurementErrors.z - oo_.SmoothedMeasurementErrors.z))) > 1e-10;
+ error('Test fails');
+end;
diff --git a/tests/kalman_filter_smoother/algoH3.mod b/tests/kalman_filter_smoother/algoH3.mod
index 38f4d93e8..d3f923d34 100644
--- a/tests/kalman_filter_smoother/algoH3.mod
+++ b/tests/kalman_filter_smoother/algoH3.mod
@@ -38,7 +38,6 @@ end;
varobs w x y;
estimation(datafile=data,first_obs=1000,nobs=200,mh_replic=0,diffuse_filter);
-//estimation(datafile=data,first_obs=1000,nobs=200,mh_replic=0,mode_compute=0,mode_file=algo3_mode,diffuse_filter);
stoch_simul(irf=0);
@@ -53,10 +52,14 @@ err = zeros(M_.endo_nbr,200);
for t=2:200;
err(:,t) = S(t,:)'-A*S(t-1,:)'-B*E(t,:)';
end;
-disp(max(max(abs(err))));
+if max(max(abs(err))) > 1e-10;
+ error('Test fails');
+end;
d=load('data');
dat = [d.w d.x d.y];
X = oo_.SmoothedMeasurementErrors;
ME = [X.w X.x X.y];
-disp(max(max(abs(dat(1000:1199,:)-S(:,[7:9])-ME))));
\ No newline at end of file
+if max(max(abs(dat(1000:1199,:)-S(:,[7:9])-ME))) > 1E-10;
+ error('Test fails');
+end;
diff --git a/tests/kalman_filter_smoother/fs2000.mod b/tests/kalman_filter_smoother/fs2000.mod
new file mode 100644
index 000000000..d56be54b8
--- /dev/null
+++ b/tests/kalman_filter_smoother/fs2000.mod
@@ -0,0 +1,74 @@
+// See fs2000.mod in the examples/ directory for details on the model
+
+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,nobs=192,loglinear,mh_replic=2000,mh_nblocks=2,mh_jscale=0.8,mode_check);
+estimation(order=1,datafile=fsdat_simul,nobs=192,loglinear,mh_replic=0,mode_compute=0);
diff --git a/tests/kalman_filter_smoother/fs2000_1.mod b/tests/kalman_filter_smoother/fs2000_1.mod
new file mode 100644
index 000000000..0a8eb3dbd
--- /dev/null
+++ b/tests/kalman_filter_smoother/fs2000_1.mod
@@ -0,0 +1,74 @@
+// See fs2000.mod in the examples/ directory for details on the model
+// For initial value of the parameter, the filter reaches steady state at period 137
+
+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,nobs=192,loglinear,mh_replic=0,mode_compute=0);
diff --git a/tests/kalman_filter_smoother/fs2000_2.mod b/tests/kalman_filter_smoother/fs2000_2.mod
new file mode 100644
index 000000000..e6c9de570
--- /dev/null
+++ b/tests/kalman_filter_smoother/fs2000_2.mod
@@ -0,0 +1,74 @@
+// See fs2000.mod in the examples/ directory for details on the model
+// For initial value of the parameter, the filter reaches steady state at period 137
+
+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,nobs=192,loglinear,mh_replic=0,mode_compute=0,kalman_algo=2);
diff --git a/tests/kalman_filter_smoother/fs2000a.mod b/tests/kalman_filter_smoother/fs2000a.mod
new file mode 100644
index 000000000..d0bda7c48
--- /dev/null
+++ b/tests/kalman_filter_smoother/fs2000a.mod
@@ -0,0 +1,85 @@
+// See fs2000.mod in the examples/ directory for details on the model
+// This version estimates the model in level rather than in growth rates
+
+var m P c e W R k d n l gy_obs gp_obs Y_obs P_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;
+Y_obs/Y_obs(-1) = gy_obs;
+P_obs/P_obs(-1) = gp_obs;
+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;
+
+unit_root_vars P_obs Y_obs;
+
+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 P_obs Y_obs;
+
+observation_trends;
+P_obs (log(mst)-gam);
+Y_obs (gam);
+end;
+
+estimation(order=1,datafile=fsdat_simul,nobs=192,loglinear,mh_replic=0,
+ mode_compute=0,mh_nblocks=2,mh_drop=0.45,mh_jscale=0.65,diffuse_filter,smoother) P_obs gp_obs gy_obs;
+
diff --git a/tests/kalman_filter_smoother/fsdat_simul.m b/tests/kalman_filter_smoother/fsdat_simul.m
new file mode 100644
index 000000000..d4f4a8066
--- /dev/null
+++ b/tests/kalman_filter_smoother/fsdat_simul.m
@@ -0,0 +1,828 @@
+gy_obs =[
+ 1.0030045
+ 0.99990934
+ 1.0172778
+ 0.99464043
+ 1.0253423
+ 1.0150215
+ 0.97772557
+ 0.97832186
+ 1.0159561
+ 1.0085937
+ 1.0102649
+ 1.0007604
+ 1.0112596
+ 1.0163279
+ 1.0173204
+ 1.0103896
+ 1.0006493
+ 0.99447124
+ 1.0196405
+ 1.0089304
+ 0.99650737
+ 1.0139707
+ 0.97865842
+ 1.0192225
+ 0.99139628
+ 1.0141362
+ 1.0196612
+ 0.97483476
+ 0.99686151
+ 0.99594464
+ 1.0000642
+ 1.0172243
+ 1.0025773
+ 0.97199728
+ 1.0217815
+ 1.0219949
+ 0.99490252
+ 1.0190728
+ 1.0111337
+ 1.0003792
+ 0.98969164
+ 1.010438
+ 1.0216309
+ 1.0016671
+ 1.0357588
+ 0.98803787
+ 1.0093457
+ 1.0177035
+ 0.98548204
+ 1.0274294
+ 1.0141377
+ 1.0091174
+ 0.96427632
+ 1.0083272
+ 1.0007882
+ 0.99038262
+ 1.0031336
+ 0.99500213
+ 0.98203716
+ 0.9889452
+ 1.011632
+ 0.99451949
+ 0.97291047
+ 0.98750871
+ 0.99992418
+ 0.97657318
+ 0.99930448
+ 1.0008515
+ 1.0044064
+ 0.98133792
+ 1.0091702
+ 1.0087023
+ 1.0119876
+ 1.0143019
+ 1.0311061
+ 0.99340471
+ 1.0057428
+ 0.99197259
+ 1.0071019
+ 0.99448853
+ 1.0061819
+ 1.0070088
+ 0.9950913
+ 1.0302318
+ 0.9817693
+ 1.0072885
+ 0.97355282
+ 0.98782586
+ 1.0136674
+ 0.99863956
+ 1.0205668
+ 0.99611384
+ 1.0073805
+ 0.99691529
+ 1.0089194
+ 1.0030467
+ 1.0112006
+ 1.0260523
+ 0.97803331
+ 0.99423374
+ 1.0043727
+ 1.0140173
+ 1.0111473
+ 0.99524348
+ 0.99775943
+ 0.9958619
+ 0.9982344
+ 1.0210212
+ 1.0022288
+ 1.0014801
+ 1.011456
+ 1.0124871
+ 0.99843599
+ 0.99324886
+ 0.99912838
+ 1.003327
+ 1.0072071
+ 1.0115223
+ 1.009266
+ 1.0070554
+ 1.0129916
+ 1.0053413
+ 1.0051638
+ 0.99212952
+ 1.0214422
+ 0.98716707
+ 0.99905788
+ 0.98877357
+ 0.98568476
+ 0.99767393
+ 1.0061791
+ 0.98423439
+ 0.99492949
+ 0.98786999
+ 0.99754239
+ 1.0168619
+ 0.99472384
+ 1.0041658
+ 0.98123181
+ 1.0112882
+ 0.99245422
+ 1.0010255
+ 1.0017799
+ 1.0089968
+ 1.0072824
+ 0.99768475
+ 1.0044726
+ 1.0118678
+ 1.0056385
+ 1.0276965
+ 1.0025122
+ 1.0065161
+ 1.0234338
+ 0.99760167
+ 0.98922272
+ 1.0101918
+ 1.011615
+ 1.0085286
+ 1.0074455
+ 0.98866757
+ 0.99959012
+ 1.0129881
+ 0.99127881
+ 0.97971901
+ 1.0185314
+ 1.020054
+ 1.0132605
+ 0.98063643
+ 0.99490253
+ 1.0101531
+ 1.0004526
+ 1.0059109
+ 0.98974491
+ 1.0062391
+ 1.0216488
+ 0.99398446
+ 0.97786609
+ 1.0019274
+ 0.99587153
+ 1.0095881
+ 1.0111887
+ 0.99457649
+ 0.97896734
+ 1.000172
+ 1.0142951
+ 1.0034224
+ 1.0037242
+ 1.0016059
+ 1.016556
+ 0.99687023
+ 1.0117844
+ 1.0059212
+ 0.98083159
+ 0.98638851
+ 1.0128713
+ 1.0096232
+ 1.0115891
+ 1.0011213
+ 1.0147105
+ 1.0066344
+ 1.0164429
+ 0.99825038
+ 0.99403411
+
+];
+
+gp_obs =[
+ 1.0079715
+ 1.0074573
+ 1.0153107
+ 1.0152677
+ 1.0011653
+ 0.99950061
+ 1.0328311
+ 1.0192317
+ 1.009827
+ 0.99588916
+ 1.007474
+ 1.0113061
+ 0.98696624
+ 0.99978663
+ 0.98240542
+ 0.98861723
+ 0.99008763
+ 1.0185076
+ 1.0052452
+ 0.99447194
+ 1.0092685
+ 1.01208
+ 1.0105237
+ 0.98513875
+ 1.0165628
+ 0.99485934
+ 1.0050255
+ 1.0140756
+ 1.0093128
+ 1.0155868
+ 1.0107023
+ 0.99212762
+ 1.0095465
+ 1.0028435
+ 1.0069437
+ 1.0070473
+ 1.0145902
+ 1.0186922
+ 1.0059917
+ 1.0113072
+ 1.0107386
+ 0.99769196
+ 0.99793444
+ 1.0050791
+ 0.98307821
+ 1.0107594
+ 0.99689982
+ 0.98667064
+ 0.9991662
+ 0.98274722
+ 0.98422032
+ 0.99393016
+ 1.0118567
+ 0.99912781
+ 1.0023744
+ 1.0086662
+ 1.0164773
+ 1.0169327
+ 1.0372478
+ 1.0314242
+ 1.0004256
+ 1.0110541
+ 1.0076575
+ 1.0119851
+ 1.0055188
+ 1.0213959
+ 1.0234416
+ 1.0264917
+ 1.0292725
+ 1.0385184
+ 1.0200999
+ 1.0107697
+ 1.008583
+ 1.0200332
+ 1.0030413
+ 1.0108659
+ 1.0185145
+ 1.0168619
+ 1.0180462
+ 1.0239657
+ 1.0205509
+ 1.0189973
+ 1.0246446
+ 1.0135089
+ 1.0352973
+ 1.0099289
+ 1.0266474
+ 1.0279829
+ 1.0101653
+ 1.041216
+ 1.0103861
+ 1.0114727
+ 1.0054605
+ 1.0190722
+ 1.0114837
+ 1.0179213
+ 1.006082
+ 1.0049696
+ 1.0143629
+ 0.9971036
+ 1.0005602
+ 1.0078403
+ 1.0240222
+ 1.0195063
+ 1.0355136
+ 1.0218743
+ 1.0171331
+ 1.0049817
+ 1.0140974
+ 1.0168431
+ 1.0049966
+ 1.0045568
+ 1.0156414
+ 1.0273055
+ 1.0197653
+ 1.0030624
+ 1.0154993
+ 0.99782084
+ 0.99711648
+ 1.014408
+ 1.0057417
+ 0.99936837
+ 1.0096934
+ 1.0095138
+ 1.0057734
+ 1.0114497
+ 1.0059784
+ 1.0328889
+ 1.0098032
+ 1.0041114
+ 1.0101247
+ 1.0181588
+ 1.0115712
+ 1.0227509
+ 1.0065104
+ 1.0110902
+ 1.0298169
+ 1.0089532
+ 1.0368733
+ 1.0123033
+ 1.0060763
+ 1.0150937
+ 1.0239325
+ 0.99555536
+ 0.99861271
+ 1.0076201
+ 0.99941535
+ 1.0119522
+ 1.0129183
+ 0.99288924
+ 1.0260784
+ 1.0144982
+ 1.0121985
+ 1.0234916
+ 1.02215
+ 1.0190118
+ 1.0172679
+ 1.0118398
+ 1.0002123
+ 1.0092124
+ 1.0071943
+ 0.99508468
+ 1.0019303
+ 1.0030733
+ 0.9964198
+ 1.0027298
+ 0.99797614
+ 1.006942
+ 0.99793928
+ 1.0083214
+ 1.0283732
+ 1.0111102
+ 1.016936
+ 1.0229061
+ 0.98846454
+ 1.0015387
+ 1.0201769
+ 1.0079822
+ 1.0064007
+ 1.0095543
+ 1.0092207
+ 1.0135485
+ 1.0198974
+ 1.0140252
+ 1.0128686
+ 1.0092903
+ 1.0141974
+ 1.0023492
+ 0.99731455
+ 1.0026598
+ 0.99303643
+ 1.0036469
+ 1.0160975
+ 1.0368378
+ 1.0139625
+ 1.01493
+ 1.0113531
+ 1.0114548
+ 0.99833441
+ 0.99648401
+ 0.97645361
+ 1.0154053
+ 1.01703
+
+];
+
+Y_obs =[
+ 1
+ 0.99690484
+ 1.0111781
+ 1.0028141
+ 1.0251518
+ 1.0371688
+ 1.0118899
+ 0.98720726
+ 1.0001589
+ 1.0057481
+ 1.0130085
+ 1.0107643
+ 1.0190194
+ 1.0323428
+ 1.0466587
+ 1.0540438
+ 1.0516886
+ 1.0431553
+ 1.0597913
+ 1.0657172
+ 1.0592201
+ 1.0701863
+ 1.0458402
+ 1.0620582
+ 1.0504499
+ 1.0615817
+ 1.0782384
+ 1.0500687
+ 1.0439257
+ 1.0368658
+ 1.0339255
+ 1.0481453
+ 1.0477181
+ 1.0167109
+ 1.0354878
+ 1.0544782
+ 1.0463762
+ 1.0624445
+ 1.0705737
+ 1.0679484
+ 1.0546356
+ 1.0620691
+ 1.0806955
+ 1.0793581
+ 1.1121124
+ 1.0971458
+ 1.1034869
+ 1.1181859
+ 1.1006634
+ 1.1250883
+ 1.1362214
+ 1.1423343
+ 1.1036061
+ 1.1089288
+ 1.1067125
+ 1.0940906
+ 1.0942197
+ 1.0862174
+ 1.06525
+ 1.0511907
+ 1.0598182
+ 1.0513331
+ 1.0212391
+ 1.0057433
+ 1.002663
+ 0.97623167
+ 0.97253165
+ 0.97037865
+ 0.97178055
+ 0.95011397
+ 0.95627969
+ 0.96197747
+ 0.97096053
+ 0.98225794
+ 1.0103595
+ 1.0007597
+ 1.003498
+ 0.99246608
+ 0.99656347
+ 0.98804749
+ 0.99122491
+ 0.99522926
+ 0.98731605
+ 1.0145434
+ 0.99330816
+ 0.99759216
+ 0.96814048
+ 0.95296183
+ 0.96362471
+ 0.95925977
+ 0.97682205
+ 0.96993138
+ 0.9743074
+ 0.96821818
+ 0.97413308
+ 0.9741753
+ 0.98237142
+ 1.0054193
+ 0.98044807
+ 0.9716773
+ 0.9730455
+ 0.98405828
+ 0.99220103
+ 0.98444001
+ 0.97919493
+ 0.97205233
+ 0.96728223
+ 0.98529893
+ 0.98452324
+ 0.98299888
+ 0.99145042
+ 1.000933
+ 0.99636447
+ 0.98660883
+ 0.98273271
+ 0.98305518
+ 0.98725774
+ 0.99577549
+ 1.002037
+ 1.0060879
+ 1.016075
+ 1.0184118
+ 1.0205711
+ 1.0096961
+ 1.0281337
+ 1.0122963
+ 1.0083497
+ 0.99411874
+ 0.976799
+ 0.97146842
+ 0.97464304
+ 0.95587292
+ 0.94779791
+ 0.93266339
+ 0.92720128
+ 0.94105864
+ 0.93277798
+ 0.93393927
+ 0.91216657
+ 0.92045028
+ 0.9099
+ 0.90792098
+ 0.90669634
+ 0.91268867
+ 0.91696661
+ 0.91164685
+ 0.91311495
+ 0.92197825
+ 0.92461222
+ 0.94930422
+ 0.9488119
+ 0.95232353
+ 0.97275278
+ 0.96734995
+ 0.95356817
+ 0.96075548
+ 0.96936594
+ 0.97489002
+ 0.97933106
+ 0.96499412
+ 0.96157973
+ 0.97156334
+ 0.95983765
+ 0.93655215
+ 0.95207909
+ 0.96912862
+ 0.97938462
+ 0.95701655
+ 0.94891457
+ 0.95606317
+ 0.95351125
+ 0.95641767
+ 0.94315807
+ 0.94639265
+ 0.96503697
+ 0.95601693
+ 0.93087851
+ 0.92980141
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--
GitLab