diff --git a/tests/Makefile.am b/tests/Makefile.am index d7297539a107a2efc9ea71f11e8a5fee6865b1d4..e6675d453b107f6e0def591373e044ed0d469d4a 100644 --- a/tests/Makefile.am +++ b/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 \ diff --git a/tests/measurement_errors/fs2000_corr_me_ml_mcmc/fs2000_corr_ME_mh_mode.mat b/tests/measurement_errors/fs2000_corr_me_ml_mcmc/fs2000_corr_ME_mh_mode.mat new file mode 100644 index 0000000000000000000000000000000000000000..ad641653ec85c928fff3e49d8d683ad09526c4d0 Binary files /dev/null and b/tests/measurement_errors/fs2000_corr_me_ml_mcmc/fs2000_corr_ME_mh_mode.mat differ diff --git a/tests/measurement_errors/fs2000_corr_me_ml_mcmc/fs2000_corr_ME_steadystate.m b/tests/measurement_errors/fs2000_corr_me_ml_mcmc/fs2000_corr_ME_steadystate.m new file mode 100644 index 0000000000000000000000000000000000000000..2ac140da5dfd6585ea7168747c441eab7fa2770a --- /dev/null +++ b/tests/measurement_errors/fs2000_corr_me_ml_mcmc/fs2000_corr_ME_steadystate.m @@ -0,0 +1,73 @@ +% 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 ]; diff --git a/tests/measurement_errors/fs2000_corr_me_ml_mcmc/fsdat_simul.m b/tests/measurement_errors/fs2000_corr_me_ml_mcmc/fsdat_simul.m new file mode 100644 index 0000000000000000000000000000000000000000..56c0e4cd56a8bb96fb579587fb4218afb626c56e --- /dev/null +++ b/tests/measurement_errors/fs2000_corr_me_ml_mcmc/fsdat_simul.m @@ -0,0 +1,416 @@ +% 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 + +]; +