diff --git a/tests/particle/noisy_ar1.mod b/tests/particle/noisy_ar1.mod index 798f1b8813bca6248ee8da0f3d22c2ea662f4fee..9780f1e93541e42f624d48ca092bbfd3c92fff99 100644 --- a/tests/particle/noisy_ar1.mod +++ b/tests/particle/noisy_ar1.mod @@ -1,60 +1,37 @@ var x y; -varexo u v; +varexo v; -parameters c, r; +parameters r; -c = .500; r = .975; model; -y = x + u; -x = r*x(-1) + 0.0000001*x(1) + v; + y = x; + x = r*x(-1) + v; end; shocks; -var u; stderr sqrt(0.02); -var v; stderr sqrt(0.02); + var v; stderr sqrt(0.02); end; steady; check; -stoch_simul(irf=0, periods=10000); - -datatomfile('noisy_ar1_data'); +stoch_simul(irf=0,periods=0,order=2); estimated_params; -c, .500; -r, .975; -stderr u, sqrt(.2); -stderr v, sqrt(.02); + r, .975, uniform_pdf,,,0,1; + stderr y, sqrt(.2), uniform_pdf,,,0,1; + stderr v, sqrt(.02), uniform_pdf,,,0,1; end; varobs y; -particle = 1; - -if particle; -options_.particle.status = 1; -options_.particle.initialization = 1; -options_.particle.pruning = false; -options_.particle.number_of_particles = 20000; -options_.particle.resampling.status = 'systematic'; -options_.particle.resampling.neff_threshold = .1; - -options_.gstep(1) = 1e-4; -options_.gstep(2) = .1; - -options_.mode_check_neighbourhood_size = 0.05; +estimation(nobs=100,datafile=noisy_ar1_data,mh_replic=0, mode_compute=4, mode_check); -set_dynare_threads('local_state_space_iteration_2',3); +copyfile('noisy_ar1/Output/noisy_ar1_mode.mat', 'noisy.mat') -estimation(order=2,nobs=100,datafile=linear_model_data,mh_replic=0,filter_algorithm=sis); - -else; - -estimation(nobs=100,datafile=noisy_ar1_data,mh_replic=0); - -end; +ovalue = oo_.posterior.optimization.log_density; +save('optimal_value_with_linear_kalman_filter', 'ovalue')