From d76b1a383c64853bc16d178f870bf6bb2d7a03dd Mon Sep 17 00:00:00 2001
From: Johannes Pfeifer <jpfeifer@gmx.de>
Date: Wed, 4 Dec 2024 15:49:38 +0100
Subject: [PATCH] Add integration test for hssmc with particle filter
---
meson.build | 1 +
tests/particle/first_spec_hssmc.mod | 26 ++++++++++++++++++++++++++
2 files changed, 27 insertions(+)
create mode 100644 tests/particle/first_spec_hssmc.mod
diff --git a/meson.build b/meson.build
index 13e0c01d9..be322ea48 100644
--- a/meson.build
+++ b/meson.build
@@ -1772,6 +1772,7 @@ mod_and_m_tests = [
'particle/benchmark.m',
'particle/mysample.m'] },
{ 'test' : [ 'particle/first_spec.mod',
+ 'particle/first_spec_hssmc.mod',
'particle/local_state_space_iteration_k_test.mod',
'particle/local_state_space_iteration_3_test.mod' ],
'extra' : [ 'particle/first_spec_common.inc' ] },
diff --git a/tests/particle/first_spec_hssmc.mod b/tests/particle/first_spec_hssmc.mod
new file mode 100644
index 000000000..0343ec263
--- /dev/null
+++ b/tests/particle/first_spec_hssmc.mod
@@ -0,0 +1,26 @@
+//File testing error message if initial state vector is not positive definite
+
+@#include "first_spec_common.inc"
+
+varobs q ca;
+
+shocks;
+var eeps = 0.04^2;
+var nnu = 0.03^2;
+var q = 0.01^2;
+var ca = 0.01^2;
+end;
+
+stoch_simul(order=3,periods=200, irf=0);
+send_endogenous_variables_to_workspace;
+save('my_data.mat','q','ca');
+
+estimation(datafile='my_data.mat',order=2,mode_compute=0,mh_replic=0,filter_algorithm=sis,nonlinear_filter_initialization=2
+ ,cova_compute=0, %tell program that no covariance matrix was computed
+ posterior_sampling_method='hssmc',
+ posterior_sampler_options=('steps',5,
+ 'lambda',2,
+ 'particles', 200,
+ 'scale',.5,
+ 'target', .25)
+);
\ No newline at end of file
--
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