Added integration test.

Trend + posterior filtered variables in a model with only one observed variable.

(cherry picked from commit 45864f41)

tests/Makefile.am

@@ -301,6 +301,7 @@ MODFILES = \
 	gradient/fs2000_numgrad_5.mod \
 	filter_step_ahead/fs2000_filter_step_ahead_bayesian.mod \
 	filter_step_ahead/fs2000_filter_step_ahead_ML.mod \
+	filter_step_ahead/trend_cycle_decomposition.mod \
 	loglinear/example4_exp.mod \
 	loglinear/example4_loglinear.mod \
 	loglinear/example4_loglinear_lagged_exogenous.mod \
@@ -759,6 +760,7 @@ EXTRA_DIST = \
 	external_function/extFunNoDerivs.m \
 	external_function/extFunWithFirstAndSecondDerivs.m \
 	expectations/expectation_ss_old_steadystate.m \
+	filter_step_ahead/trend_cycle_decomposition_data.m \
 	steady_state/walsh1_old_ss_steadystate.m \
 	data/test.xlsx \
 	gsa/morris/nk_est_data.m \

tests/filter_step_ahead/trend_cycle_decomposition.mod

+var y yp z mu;
+
+varexo ez eyp emu;
+
+parameters alpha;
+
+alpha = .889;
+
+model(linear);
+  y  = yp + z;
+  yp = mu + yp(-1) + eyp;
+  mu = mu(-1) + emu;
+  z  = alpha*z(-1) + ez;
+end;
+
+initval;
+y=8.655680;
+z=0;
+yp=8.655680;
+mu=0;
+end;
+
+steady(nocheck);
+//resid(1);
+
+//options_.steadystate.nocheck;
+
+estimated_params;
+stderr emu     , inv_gamma_pdf,  0.002  , inf;
+stderr eyp     , inv_gamma_pdf,  0.002  , inf;
+stderr ez        , inv_gamma_pdf,   0.06 , inf;
+alpha, normal_pdf, 0.9, 0.1;
+end;
+
+varobs y; 
+
+
+estimation(datafile=data_i,nobs=82, mh_replic=2000, mode_compute=4, mh_nblocks=2, mh_jscale=0.3, filtered_vars, smoother, diffuse_filter) yp z; 

tests/filter_step_ahead/trend_cycle_decomposition_data.m

+y=[8.655680
+8.656123
+8.654401
+8.641229
+8.630567
+8.620637
+8.605288
+8.608660
+8.620357
+8.619683
+8.630202
+8.636380
+8.614226
+8.605106
+8.537263
+8.555079
+8.591242
+8.626651
+8.645062
+8.671851
+8.704031
+8.723127
+8.737705
+8.750433
+8.758621
+8.772876
+8.790050
+8.794088
+8.798091
+8.816624
+8.836301
+8.852974
+8.872307
+8.887314
+8.902466
+8.924601
+8.944691
+8.960662
+8.973784
+8.984161
+9.000123
+9.019129
+9.035000
+9.054575
+9.075913
+9.094302
+9.114171
+9.135554
+9.157538
+9.176307
+9.193220
+9.220434
+9.246620
+9.257001
+9.243476
+9.202275
+9.160007
+9.147657
+9.157229
+9.171294
+9.189745
+9.198273
+9.201042
+9.214450
+9.225220
+9.233702
+9.247974
+9.262110
+9.272097
+9.275883
+9.277719
+9.278357
+9.282812
+9.289376
+9.290788
+9.292530
+9.295274
+9.297219
+9.297555
+9.290289
+9.271941
+9.255655];
+ipc=[23.5993149
+24.9374227
+15.5668177
+12.822998
+8.720567
+5.2893706
+3.4198277
+3.274742
+3.664711
+3.0744047
+2.0693272
+1.704983
+1.3786582
+1.3437517
+2.6167173
+4.7126735
+6.3341827
+7.3020707
+6.5659735
+4.3717219
+3.4512364
+4.7505574
+5.6671666
+5.6241466
+5.5933745
+4.7565382
+3.7032831
+3.6624086
+3.8250059
+3.2723449
+3.3568247
+3.7965188
+3.5401286
+2.7513284
+2.5482882
+2.2870368
+2.0836978
+2.6555146
+3.3263235
+3.3905589
+3.2762151
+2.8684465
+2.1706005
+2.3531933
+2.5136208
+2.3339758
+2.0782414
+1.8397957
+1.7220838
+2.3651145
+3.4129652
+3.8212567
+3.9356373
+3.6723844
+3.11287
+2.9099557
+3.1280929
+2.5837809
+1.5138311
+1.191679
+1.286452
+1.8904928
+2.4851907
+2.7408867
+2.2572768
+1.3839678
+0.813925
+0.88364
+1.2723562
+2.0426676
+2.4161978
+1.5967846
+0.9763814
+1.6120089
+2.0962214
+1.6427865
+1.5391928
+2.0537506
+3.1496297
+4.34142
+4.3532191
+2.2026746];