fixing tests

(cherry picked from commit 7175e7ce)

tests/Makefile.am

@@ -134,7 +134,8 @@ EXTRA_DIST = \
 	objectives/sgu_ex1.mat \
 	conditional_forecasts/fsdat_simul.m \
 	recursive/data_ca1.m \
-	kalman_filter_smoother/fsdat_simul.m
+	kalman_filter_smoother/fsdat_simul.m \
+	kalman_filter_smoother/fs200a_steadystate.m
 
 TARGETS =
 

tests/kalman_filter_smoother/fs2000a_steadystate.m

+% computes the steady state of fs2000 analyticaly
+% largely inspired by the program of F. Schorfheide
+function [ys,check] = fs2000a_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;
+  
+  P_obs = 1;
+  Y_obs = 1;
+  
+  ys =[
+m     
+P     
+c     
+e     
+W     
+R     
+k     
+d     
+n     
+l     
+gy_obs
+gp_obs
+Y_obs 
+P_obs 
+y     
+dA          ];
\ No newline at end of file

tests/kalman_filter_smoother/gen_data.mod

@@ -35,4 +35,4 @@ stoch_simul(periods=2000,irf=0);
 
 plot([w x y z]);
 
-save data w x y z dw dx dy;
\ No newline at end of file
+save data.mat w x y z dw dx dy;
\ No newline at end of file