preprocessor/macro/MacroBison.yy

 /*
- * Copyright (C) 2008-2013 Dynare Team
+ * Copyright (C) 2008-2014 Dynare Team
  *
  * This file is part of Dynare.
  *
@@ -18,7 +18,7 @@
  */
 
 %skeleton "lalr1.cc"
-%require "2.3"
+%require "2.5"
 %defines
 
 /* Prologue:
@@ -28,14 +28,12 @@
    with the prologue.
 */
 %{
-using namespace std;
-
 #include "MacroValue.hh"
 
 class MacroDriver;
 %}
 
-%name-prefix="Macro"
+%name-prefix "Macro"
 
 %parse-param { MacroDriver &driver }
 %parse-param { ostream &out }

preprocessor/macro/MacroValue.cc

@@ -387,7 +387,7 @@ StringMV::operator[](const MacroValue &mv) const throw (TypeError, OutOfBoundsEr
       if (*it < 1 || *it > (int) value.length())
         throw OutOfBoundsError();
       char c = value.at(*it - 1);
-      result.append(&c);
+      result.append(1, c);
     }
   return new StringMV(driver, result);
 }

preprocessor/macro/MacroValue.hh

@@ -20,12 +20,12 @@
 #ifndef _MACRO_VALUE_HH
 #define _MACRO_VALUE_HH
 
-using namespace std;
-
 #include <string>
 #include <vector>
 #include <sstream>
 
+using namespace std;
+
 class MacroDriver;
 
 //! Base class for representing values in macro language

tests/.gitignore

@@ -29,6 +29,11 @@ wsOct
 !/run_test.m
 !/run_test_matlab.m
 !/run_test_octave.m
+!/run_reporting_test_matlab.m
+!/run_reporting_test_octave.m
+!/run_block_byte_tests_matlab.m
+!/run_block_byte_tests_octave.m
+!/run_unitary_tests.m
 !/test.m
 !/AIM/data_ca1.m
 !/AIM/fs2000_b1L1L_AIM_steadystate.m

tests/Makefile.am

@@ -19,6 +19,7 @@ MODFILES = \
 	example1_macroif.mod \
 	t_sgu_ex1.mod \
 	osr_example.mod \
+	optimal_policy/osr_example_obj_corr_non_stat_vars.mod \
 	optimal_policy/ramsey.mod \
 	optimal_policy/nk_ramsey.mod \
 	optimal_policy/nk_ramsey_expectation.mod \
@@ -74,6 +75,7 @@ MODFILES = \
 	fs2000/fs2000a.mod \
 	fs2000/fs2000c.mod \
 	fs2000/fs2000d.mod \
+	fs2000/fs2000e.mod \
 	fs2000/fs2000_cmaes.mod \
 	fs2000/fs2000_calib.mod \
 	fs2000/fs2000_analytic_derivation.mod \
@@ -99,16 +101,18 @@ MODFILES = \
 	dsge-var/simul_hybrid.mod \
 	dsge-var/dsgevar_forward_calibrated_lambda.mod \
 	dsge-var/dsgevar_forward_estimated_lambda.mod \
-	external_function/example1_1st_and_2nd_deriv_functions_provided.mod \
-	external_function/example1_1st_and_2nd_deriv_functions_provided_dll.mod \
-	external_function/example1_1st_deriv_function_provided.mod \
-	external_function/example1_1st_deriv_function_provided_dll.mod \
-	external_function/example1_no_deriv_functions_provided.mod \
-	external_function/example1_no_deriv_functions_provided_dll.mod \
+	external_function/first_and_2nd_deriv_fcns_provided.mod \
+	external_function/first_and_2nd_deriv_fcns_provided_dll.mod \
+	external_function/first_deriv_fcn_provided.mod \
+	external_function/first_deriv_fcn_provided_dll.mod \
+	external_function/no_deriv_fcns_provided.mod \
+	external_function/no_deriv_fcns_provided_dll.mod \
 	seeds.mod \
 	identification/kim/kim2.mod \
 	identification/as2007/as2007.mod \
 	simul/example1.mod \
+	simul/simul_ZLB_purely_forward.mod \
+	simul/simul_ZLB_purely_forward_no_solution.mod \
 	conditional_forecasts/fs2000_cal.mod \
 	conditional_forecasts/fs2000_est.mod \
 	recursive/ls2003.mod \
@@ -150,6 +154,9 @@ MODFILES = \
 	deterministic_simulations/rbc_det3.mod \
 	deterministic_simulations/rbc_det4.mod \
 	deterministic_simulations/rbc_det5.mod \
+	deterministic_simulations/rbc_det_exo_lag_2a.mod \
+	deterministic_simulations/rbc_det_exo_lag_2b.mod \
+	deterministic_simulations/rbc_det_exo_lag_2c.mod \
 	walsh.mod \
 	measurement_errors/fs2000_corr_me_ml_mcmc/fs2000_corr_ME.mod \
 	trend_var/fs2000_nonstationary.mod \
@@ -160,11 +167,15 @@ MODFILES = \
 	shock_decomposition/fs2000_est_varlist.mod \
 	stochastic_purely_forward/stochastic_purely_forward.mod \
 	stochastic_purely_forward/stochastic_purely_forward_with_static.mod \
+	forecast/Hansen_exo_det_forecast.mod \
 	gradient/fs2000_numgrad_13.mod \
 	gradient/fs2000_numgrad_15.mod \
 	gradient/fs2000_numgrad_2.mod \
 	gradient/fs2000_numgrad_3.mod \
-	gradient/fs2000_numgrad_5.mod
+	gradient/fs2000_numgrad_5.mod \
+	filter_step_ahead/fs2000_filter_step_ahead_bayesian.mod \
+	filter_step_ahead/fs2000_filter_step_ahead_ML.mod \
+    loglinear/example4_loglinear.mod
 
 XFAIL_MODFILES = ramst_xfail.mod \
 	estim_param_in_shock_value.mod
@@ -235,14 +246,19 @@ dsge-var/dsgevar_forward_estimated_lambda.m.trs: dsge-var/simul_hybrid.m.trs
 dsge-var/dsgevar_forward_calibrated_lambda.o.trs: dsge-var/simul_hybrid.o.trs
 dsge-var/dsgevar_forward_estimated_lambda.o.trs: dsge-var/simul_hybrid.o.trs
 
+deterministic_simulations/rbc_det_exo_lag_2b.m.trs: deterministic_simulations/rbc_det_exo_lag_2a.m.trs
+deterministic_simulations/rbc_det_exo_lag_2c.m.trs: deterministic_simulations/rbc_det_exo_lag_2a.m.trs
+deterministic_simulations/rbc_det_exo_lag_2b.o.trs: deterministic_simulations/rbc_det_exo_lag_2a.o.trs
+deterministic_simulations/rbc_det_exo_lag_2c.o.trs: deterministic_simulations/rbc_det_exo_lag_2a.o.trs
+
 # Matlab TRS Files
 M_TRS_FILES = $(patsubst %.mod, %.m.trs, $(MODFILES))
-M_TRS_FILES += run_block_byte_tests_matlab.m.trs run_reporting_test_matlab.m.trs
+M_TRS_FILES += run_block_byte_tests_matlab.m.trs run_reporting_test_matlab.m.trs run_all_unitary_tests.m.trs
 M_XFAIL_TRS_FILES = $(patsubst %.mod, %.m.trs, $(XFAIL_MODFILES))
 
 # Octave TRS Files
 O_TRS_FILES = $(patsubst %.mod, %.o.trs, $(MODFILES))
-O_TRS_FILES += run_block_byte_tests_octave.o.trs run_reporting_test_octave.o.trs
+O_TRS_FILES += run_block_byte_tests_octave.o.trs run_reporting_test_octave.o.trs run_all_unitary_tests.o.trs
 O_XFAIL_TRS_FILES = $(patsubst %.mod, %.o.trs, $(XFAIL_MODFILES))
 
 EXTRA_DIST = \
@@ -255,6 +271,7 @@ EXTRA_DIST = \
 	run_block_byte_tests_octave.m \
 	run_reporting_test_matlab.m \
 	run_reporting_test_octave.m \
+	run_all_unitary_tests.m \
 	reporting/AnnualTable.m \
 	reporting/CommResidTablePage.m \
 	reporting/CountryGraphPage.m \
@@ -321,7 +338,10 @@ EXTRA_DIST = \
 	shock_decomposition/example1_calib_shock_decomp_data.mat \
 	shock_decomposition/fsdat_simul.m \
 	estimation/fs2000_MCMC_jumping_covariance_steadystate.m \
-	estimation/fs2000_initialize_from_calib_steadystate.m
+	estimation/fs2000_initialize_from_calib_steadystate.m \
+	filter_step_ahead/fs2000_filter_step_ahead_bayesian_steadystate.m \
+	filter_step_ahead/fs2000_filter_step_ahead_ML_steadystate.m \
+    loglinear/results_exp.mat 
 
 TARGETS =
 

tests/deterministic_simulations/rbc_det_exo_lag_2a.mod

+var Capital, Output, Labour, Consumption, Efficiency, efficiency, ExpectedTerm;
+
+varexo EfficiencyInnovation;
+
+parameters beta, theta, tau, alpha, psi, delta, rho, effstar, sigma2;
+
+beta    =   0.9900;
+theta   =   0.3570;
+tau     =   2.0000;
+alpha   =   0.4500;
+psi     =  -0.1000;
+delta   =   0.0200;
+rho     =   0.8000;
+effstar =   1.0000;
+sigma2  =   0;
+
+model;
+
+  // Eq. n°1:
+  efficiency = rho*efficiency(-1) + EfficiencyInnovation;
+
+  // Eq. n°2:
+  Efficiency = effstar*exp(efficiency);
+
+  // Eq. n°3:
+  Output = Efficiency*(alpha*(Capital(-1)^psi)+(1-alpha)*(Labour^psi))^(1/psi);
+
+  // Eq. n°4:
+  Capital = Output-Consumption + (1-delta)*Capital(-1);
+
+  // Eq. n°5:
+  ((1-theta)/theta)*(Consumption/(1-Labour)) - (1-alpha)*(Output/Labour)^(1-psi);
+
+  // Eq. n°6:
+  (((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption  = ExpectedTerm(1);
+
+  // Eq. n°7:
+  ExpectedTerm = beta*((((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption)*(alpha*((Output/Capital(-1))^(1-psi))+(1-delta));
+
+end;
+
+steady_state_model;
+Output_per_unit_of_Capital=((1/beta-1+delta)/alpha)^(1/(1-psi));
+Consumption_per_unit_of_Capital=Output_per_unit_of_Capital-delta;
+Labour_per_unit_of_Capital=(((Output_per_unit_of_Capital/effstar)^psi-alpha)/(1-alpha))^(1/psi);
+Output_per_unit_of_Labour=Output_per_unit_of_Capital/Labour_per_unit_of_Capital;
+Consumption_per_unit_of_Labour=Consumption_per_unit_of_Capital/Labour_per_unit_of_Capital;
+
+% Compute steady state share of capital.
+ShareOfCapital=alpha/(alpha+(1-alpha)*Labour_per_unit_of_Capital^psi);
+
+% Compute steady state of the endogenous variables.
+Labour=1/(1+Consumption_per_unit_of_Labour/((1-alpha)*theta/(1-theta)*Output_per_unit_of_Labour^(1-psi)));
+Consumption=Consumption_per_unit_of_Labour*Labour;
+Capital=Labour/Labour_per_unit_of_Capital;
+Output=Output_per_unit_of_Capital*Capital;
+Efficiency=effstar;
+efficiency=0;
+ExpectedTerm=beta*((((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption)
+             *(alpha*((Output/Capital)^(1-psi))+1-delta);
+LagrangeMultiplier=0;
+end;
+
+//steady;
+
+shocks;
+var EfficiencyInnovation;
+periods 3;
+values -0.1;
+end;
+
+simul(periods=300);
+
+rplot Consumption;
+rplot Capital;
\ No newline at end of file

tests/deterministic_simulations/rbc_det_exo_lag_2b.mod

+// check exogenous variable lag > 1 with *.m file
+var Capital, Output, Labour, Consumption, Efficiency, efficiency, ExpectedTerm;
+
+varexo EfficiencyInnovation;
+
+parameters beta, theta, tau, alpha, psi, delta, rho, effstar, sigma2;
+
+beta    =   0.9900;
+theta   =   0.3570;
+tau     =   2.0000;
+alpha   =   0.4500;
+psi     =  -0.1000;
+delta   =   0.0200;
+rho     =   0.8000;
+effstar =   1.0000;
+sigma2  =   0;
+
+model;
+
+  // Eq. n°1:
+  efficiency = rho*efficiency(-1) + EfficiencyInnovation(-2);
+
+  // Eq. n°2:
+  Efficiency = effstar*exp(efficiency);
+
+  // Eq. n°3:
+  Output = Efficiency*(alpha*(Capital(-1)^psi)+(1-alpha)*(Labour^psi))^(1/psi);
+
+  // Eq. n°4:
+  Capital = Output-Consumption + (1-delta)*Capital(-1);
+
+  // Eq. n°5:
+  ((1-theta)/theta)*(Consumption/(1-Labour)) - (1-alpha)*(Output/Labour)^(1-psi);
+
+  // Eq. n°6:
+  (((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption  = ExpectedTerm(1);
+
+  // Eq. n°7:
+  ExpectedTerm = beta*((((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption)*(alpha*((Output/Capital(-1))^(1-psi))+(1-delta));
+
+end;
+
+steady_state_model;
+Output_per_unit_of_Capital=((1/beta-1+delta)/alpha)^(1/(1-psi));
+Consumption_per_unit_of_Capital=Output_per_unit_of_Capital-delta;
+Labour_per_unit_of_Capital=(((Output_per_unit_of_Capital/effstar)^psi-alpha)/(1-alpha))^(1/psi);
+Output_per_unit_of_Labour=Output_per_unit_of_Capital/Labour_per_unit_of_Capital;
+Consumption_per_unit_of_Labour=Consumption_per_unit_of_Capital/Labour_per_unit_of_Capital;
+
+% Compute steady state share of capital.
+ShareOfCapital=alpha/(alpha+(1-alpha)*Labour_per_unit_of_Capital^psi);
+
+% Compute steady state of the endogenous variables.
+Labour=1/(1+Consumption_per_unit_of_Labour/((1-alpha)*theta/(1-theta)*Output_per_unit_of_Labour^(1-psi)));
+Consumption=Consumption_per_unit_of_Labour*Labour;
+Capital=Labour/Labour_per_unit_of_Capital;
+Output=Output_per_unit_of_Capital*Capital;
+Efficiency=effstar;
+efficiency=0;
+ExpectedTerm=beta*((((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption)
+             *(alpha*((Output/Capital)^(1-psi))+1-delta);
+LagrangeMultiplier=0;
+end;
+
+//steady;
+
+shocks;
+var EfficiencyInnovation;
+periods 1;
+values -0.1;
+end;
+
+simul(periods=300);
+
+rplot Consumption;
+rplot Capital;
+
+O=load('rbc_det_exo_lag_2a_results');
+
+test(oo_.endo_simul(:,2:end),O.oo_.endo_simul);
\ No newline at end of file

tests/deterministic_simulations/rbc_det_exo_lag_2c.mod

+// check exogenous variable lag > 1 with block+bytecode
+var Capital, Output, Labour, Consumption, Efficiency, efficiency, ExpectedTerm;
+
+varexo EfficiencyInnovation;
+
+parameters beta, theta, tau, alpha, psi, delta, rho, effstar, sigma2;
+
+beta    =   0.9900;
+theta   =   0.3570;
+tau     =   2.0000;
+alpha   =   0.4500;
+psi     =  -0.1000;
+delta   =   0.0200;
+rho     =   0.8000;
+effstar =   1.0000;
+sigma2  =   0;
+
+model(block,bytecode,cutoff=0);
+
+  // Eq. n°1:
+  efficiency = rho*efficiency(-1) + EfficiencyInnovation(-2);
+
+  // Eq. n°2:
+  Efficiency = effstar*exp(efficiency);
+
+  // Eq. n°3:
+  Output = Efficiency*(alpha*(Capital(-1)^psi)+(1-alpha)*(Labour^psi))^(1/psi);
+
+  // Eq. n°4:
+  Capital = Output-Consumption + (1-delta)*Capital(-1);
+
+  // Eq. n°5:
+  ((1-theta)/theta)*(Consumption/(1-Labour)) - (1-alpha)*(Output/Labour)^(1-psi);
+
+  // Eq. n°6:
+  (((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption  = ExpectedTerm(1);
+
+  // Eq. n°7:
+  ExpectedTerm = beta*((((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption)*(alpha*((Output/Capital(-1))^(1-psi))+(1-delta));
+
+end;
+
+steady_state_model;
+Output_per_unit_of_Capital=((1/beta-1+delta)/alpha)^(1/(1-psi));
+Consumption_per_unit_of_Capital=Output_per_unit_of_Capital-delta;
+Labour_per_unit_of_Capital=(((Output_per_unit_of_Capital/effstar)^psi-alpha)/(1-alpha))^(1/psi);
+Output_per_unit_of_Labour=Output_per_unit_of_Capital/Labour_per_unit_of_Capital;
+Consumption_per_unit_of_Labour=Consumption_per_unit_of_Capital/Labour_per_unit_of_Capital;
+
+% Compute steady state share of capital.
+ShareOfCapital=alpha/(alpha+(1-alpha)*Labour_per_unit_of_Capital^psi);
+
+% Compute steady state of the endogenous variables.
+Labour=1/(1+Consumption_per_unit_of_Labour/((1-alpha)*theta/(1-theta)*Output_per_unit_of_Labour^(1-psi)));
+Consumption=Consumption_per_unit_of_Labour*Labour;
+Capital=Labour/Labour_per_unit_of_Capital;
+Output=Output_per_unit_of_Capital*Capital;
+Efficiency=effstar;
+efficiency=0;
+ExpectedTerm=beta*((((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption)
+             *(alpha*((Output/Capital)^(1-psi))+1-delta);
+LagrangeMultiplier=0;
+end;
+
+//steady;
+
+shocks;
+var EfficiencyInnovation;
+periods 1;
+values -0.1;
+end;
+
+simul(periods=300);
+
+rplot Consumption;
+rplot Capital;
+
+O=load('rbc_det_exo_lag_2a_results');
+
+test(oo_.endo_simul(:,2:end),O.oo_.endo_simul);
\ No newline at end of file

tests/expectations/expectation.mod

@@ -15,7 +15,7 @@ theta = 2.95;
 phi   = 0.1;
 
 model;
-c*theta*h^(1+psi)=expectation(1)((1-alpha)*y)+expectation(-2)((1-alpha)*y);
+c*theta*h^(1+psi)=(expectation(1)((1-alpha)*y)+expectation(-2)((1-alpha)*y))/2;
 k = beta*(((exp(b)*c)/(exp(b(+1))*c(+1)))
     *(exp(b(+1))*alpha*y(+1)+(1-delta)*k));
 y = exp(a)*(k(-1)^alpha)*(h^(1-alpha));

tests/expectations/expectation_nested.mod

@@ -15,7 +15,7 @@ theta = 2.95;
 phi   = 0.1;
 
 model;
-c*theta*h^(1+psi)=expectation(1)(((1-alpha)*y)+expectation(3)((1-alpha)*y));
+c*theta*h^(1+psi)=expectation(1)(((1-alpha)*y)+expectation(3)((1-alpha)*y))/2;
 k = beta*(((exp(b)*c)/(exp(b(+1))*c(+1)))
     *(exp(b(+1))*alpha*y(+1)+(1-delta)*k));
 y = exp(a)*(k(-1)^alpha)*(h^(1-alpha));

tests/filter_step_ahead/fs2000_filter_step_ahead_ML.mod

+/*
+ * This file replicates the estimation of the cash in advance model described
+ * Frank Schorfheide (2000): "Loss function-based evaluation of DSGE models",
+ * Journal of Applied Econometrics, 15(6), 645-670.
+ *
+ * The data are in file "fsdat_simul.m", and have been artificially generated.
+ * They are therefore different from the original dataset used by Schorfheide.
+ *
+ * The equations are taken from J. Nason and T. Cogley (1994): "Testing the
+ * implications of long-run neutrality for monetary business cycle models",
+ * Journal of Applied Econometrics, 9, S37-S70.
+ * Note that there is an initial minus sign missing in equation (A1), p. S63.
+ *
+ * This implementation was written by Michel Juillard. Please note that the
+ * following copyright notice only applies to this Dynare implementation of the
+ * model.
+ */
+
+/*
+ * 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/>.
+ */
+
+var m P c e W R k d n l gy_obs gp_obs y dA;
+varexo e_a e_m;
+
+parameters alp bet gam mst rho psi del;
+
+alp = 0.33;
+bet = 0.99;
+gam = 0.003;
+mst = 1.011;
+rho = 0.7;
+psi = 0.787;
+del = 0.02;
+
+model;
+dA = exp(gam+e_a);
+log(m) = (1-rho)*log(mst) + rho*log(m(-1))+e_m;
+-P/(c(+1)*P(+1)*m)+bet*P(+1)*(alp*exp(-alp*(gam+log(e(+1))))*k^(alp-1)*n(+1)^(1-alp)+(1-del)*exp(-(gam+log(e(+1)))))/(c(+2)*P(+2)*m(+1))=0;
+W = l/n;
+-(psi/(1-psi))*(c*P/(1-n))+l/n = 0;
+R = P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(-alp)/W;
+1/(c*P)-bet*P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)/(m*l*c(+1)*P(+1)) = 0;
+c+k = exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)+(1-del)*exp(-(gam+e_a))*k(-1);
+P*c = m;
+m-1+d = l;
+e = exp(e_a);
+y = k(-1)^alp*n^(1-alp)*exp(-alp*(gam+e_a));
+gy_obs = dA*y/y(-1);
+gp_obs = (P/P(-1))*m(-1)/dA;
+end;
+
+initval;
+k = 6;
+m = mst;
+P = 2.25;
+c = 0.45;
+e = 1;
+W = 4;
+R = 1.02;
+d = 0.85;
+n = 0.19;
+l = 0.86;
+y = 0.6;
+gy_obs = exp(gam);
+gp_obs = exp(-gam);
+dA = exp(gam);
+end;
+
+shocks;
+var e_a; stderr 0.014;
+var e_m; stderr 0.005;
+end;
+
+steady;
+
+check;
+
+estimated_params;
+alp, 0.356;
+bet, 0.993;
+gam, 0.0085;
+end;
+
+varobs gp_obs gy_obs;
+
+estimation(order=1, datafile='../fs2000/fsdat_simul', nobs=192, loglinear, filter_step_ahead = [1 4 8 12], forecast=20,smoother,filtered_vars) m P c;
+
+
+/*
+ * The following lines were used to generate the data file. If you want to
+ * generate another random data file, comment the "estimation" line and uncomment
+ * the following lines.
+ */
+
+//stoch_simul(periods=200, order=1);
+//datatomfile('fsdat_simul', char('gy_obs', 'gp_obs'));

tests/filter_step_ahead/fs2000_filter_step_ahead_bayesian.mod

+/*
+ * This file replicates the estimation of the cash in advance model described
+ * Frank Schorfheide (2000): "Loss function-based evaluation of DSGE models",
+ * Journal of Applied Econometrics, 15(6), 645-670.
+ *
+ * The data are in file "fsdat_simul.m", and have been artificially generated.
+ * They are therefore different from the original dataset used by Schorfheide.
+ *
+ * The equations are taken from J. Nason and T. Cogley (1994): "Testing the
+ * implications of long-run neutrality for monetary business cycle models",
+ * Journal of Applied Econometrics, 9, S37-S70.
+ * Note that there is an initial minus sign missing in equation (A1), p. S63.
+ *
+ * This implementation was written by Michel Juillard. Please note that the
+ * following copyright notice only applies to this Dynare implementation of the
+ * model.
+ */
+
+/*
+ * 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/>.
+ */
+
+var m P c e W R k d n l gy_obs gp_obs y dA;
+varexo e_a e_m;
+
+parameters alp bet gam mst rho psi del;
+
+alp = 0.33;
+bet = 0.99;
+gam = 0.003;
+mst = 1.011;
+rho = 0.7;
+psi = 0.787;
+del = 0.02;
+
+model;
+dA = exp(gam+e_a);
+log(m) = (1-rho)*log(mst) + rho*log(m(-1))+e_m;
+-P/(c(+1)*P(+1)*m)+bet*P(+1)*(alp*exp(-alp*(gam+log(e(+1))))*k^(alp-1)*n(+1)^(1-alp)+(1-del)*exp(-(gam+log(e(+1)))))/(c(+2)*P(+2)*m(+1))=0;
+W = l/n;
+-(psi/(1-psi))*(c*P/(1-n))+l/n = 0;
+R = P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(-alp)/W;
+1/(c*P)-bet*P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)/(m*l*c(+1)*P(+1)) = 0;
+c+k = exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)+(1-del)*exp(-(gam+e_a))*k(-1);
+P*c = m;
+m-1+d = l;
+e = exp(e_a);
+y = k(-1)^alp*n^(1-alp)*exp(-alp*(gam+e_a));
+gy_obs = dA*y/y(-1);
+gp_obs = (P/P(-1))*m(-1)/dA;
+end;
+
+initval;
+k = 6;
+m = mst;
+P = 2.25;
+c = 0.45;
+e = 1;
+W = 4;
+R = 1.02;
+d = 0.85;
+n = 0.19;
+l = 0.86;
+y = 0.6;
+gy_obs = exp(gam);
+gp_obs = exp(-gam);
+dA = exp(gam);
+end;
+
+shocks;
+var e_a; stderr 0.014;
+var e_m; stderr 0.005;
+end;
+
+steady;
+
+check;
+
+estimated_params;
+alp, beta_pdf, 0.356, 0.02;
+bet, beta_pdf, 0.993, 0.002;
+gam, normal_pdf, 0.0085, 0.003;
+mst, normal_pdf, 1.0002, 0.007;
+rho, beta_pdf, 0.129, 0.223;
+psi, beta_pdf, 0.65, 0.05;
+del, beta_pdf, 0.01, 0.005;
+stderr e_a, inv_gamma_pdf, 0.035449, inf;
+stderr e_m, inv_gamma_pdf, 0.008862, inf;
+end;
+
+varobs gp_obs gy_obs;
+
+estimation(order=1, datafile='../fs2000/fsdat_simul', nobs=192, loglinear, mh_replic=2000, mh_nblocks=1, mh_jscale=0.8,filter_step_ahead = [1 4 8 12], forecast=20,smoother,filtered_vars) m P c;
+
+
+/*
+ * The following lines were used to generate the data file. If you want to
+ * generate another random data file, comment the "estimation" line and uncomment
+ * the following lines.
+ */
+
+//stoch_simul(periods=200, order=1);
+//datatomfile('fsdat_simul', char('gy_obs', 'gp_obs'));

tests/filter_step_ahead/fs2000_filter_step_ahead_bayesian_steadystate.m

+% 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          ];