mex/sources/estimation/tests/fs2000k2e.mod → tests/estimation/fs2000_estimated_params_init.mod

-/* Checks that, for order = 2, k_order_solver = 0 (fs2000k2a)
-   and k_order_solver = 1 (this file) give the same results */
+// Test that the presence of a non estimated parameter in the estimated_params_init block does not lead to a crash.
+
+/*
+ * Copyright (C) 2004-2017 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;
@@ -14,7 +32,7 @@ rho = 0.7;
 psi = 0.787;
 del = 0.02;
 
-model (use_dll);
+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;
@@ -31,47 +49,57 @@ gy_obs = dA*y/y(-1);
 gp_obs = (P/P(-1))*m(-1)/dA;
 end;
 
-initval;
-m = mst;
-P = 2.25;
-c = 0.45;
-e = 1;
-W = 4;
-R = 1.02;
-k = 6;
-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_state_model;
+  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;
+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;
+rho, beta_pdf, 0.129, 0.100;
 psi, beta_pdf, 0.65, 0.05;
-del, beta_pdf, 0.01, 0.005;
-stderr e_a, inv_gamma_pdf, 0.035449, inf;
+% 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(datafile=fsdat,nobs=192,loglinear,mh_replic=2000,
-//	mode_compute=4,mh_nblocks=2,mh_drop=0.45,mh_jscale=0.65);
-estimation(datafile=fsdat,nobs=192,mh_replic=2000,
-	mode_compute=4,mh_nblocks=2,mh_drop=0.45,mh_jscale=0.65);
+estimated_params_init;
+del,0.02;
+stderr e_a, 0.01;
+corr e_a,e_m, 0.5;
+end;
 
+varobs gp_obs gy_obs;
\ No newline at end of file

tests/example2.mod

@@ -41,3 +41,11 @@ var u = 0.009^2;
 end;
 
 stoch_simul(periods=2000, drop=200);
+
+%% test that simul_replic does not affect simulated moments
+moments_temp=oo_.var;
+set_dynare_seed('default');
+stoch_simul(periods=2000, drop=200,simul_replic=2);
+if ~isequal(moments_temp,oo_.var)
+    error('Simul_replic affects simulated moments')
+end
\ No newline at end of file

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);
+
+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=trend_cycle_decomposition_data,nobs=82, mh_replic=2000, mode_compute=4, mh_nblocks=1, 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];

tests/forecast/linear_exo_det_forecast.mod

+// Regression test for issue #1608 (combining forecast, varexo_det and linear)
+
+var y, pi, i, g, u, k;
+varexo e_g e_u e_k;
+varexo_det gov;
+
+parameters lambda, pi_target, y_target, phi_pi, phi, rho, rhoout, rhopi, rhoint, sigma1, sigma2, sigma3;
+
+lambda     = 0.3;
+pi_target  = 0;
+y_target   = 0;
+phi_pi      = 1.5;
+phi          = 1;
+rho          = 0.99;
+T            = 50;
+rhoout     = 0.8;
+rhopi       = 0.5;
+rhoint      = 0;
+sigma1    = 1;
+sigma2    = 1;
+sigma3    = 1;
+
+model(linear);
+y=y(+1)-phi*(i-pi(+1))+gov+g;
+pi=lambda*y+rho*pi(+1)+u;
+i=phi_pi*(pi-pi_target)+k;
+g=rhoout*g(-1)+e_g;
+u=rhopi*u(-1)+e_u;
+k=rhoint*k(-1)+e_k;
+end;
+
+steady;
+check;
+
+shocks;
+var e_g;
+stderr sigma1;
+var e_u;
+stderr sigma2;
+var e_k;
+stderr sigma3;
+var gov;
+periods 1:9;
+values 0.2;
+end;
+
+stoch_simul(irf=0);
+forecast;

tests/gsa/ls2003a.mod

@@ -88,7 +88,7 @@ end;
 
 moment_calibration;
 //y_obs,y_obs, [0.8 1.1]; //[unconditional variance]
-y_obs,y_obs(-(1:4)), +; //[first year acf]
+y_obs,y_obs(1:4), +; //[first year acf]
 //y_obs,pie_obs(-4:4), -; //[ccf]
 @#for ilag in -2:2
 y_obs,R_obs(@{ilag}), -; //[ccf]

tests/kalman/likelihood_from_dynare/fs2000_estimation_check.inc

@@ -52,15 +52,15 @@ SmoothedShocks(:,:,6)=cell2mat(struct2cell(oo_.SmoothedShocks));
 SmoothedVariables(:,:,6)=cell2mat(struct2cell(oo_.SmoothedVariables));
 
 
-if max(max(abs(SmoothedMeasurementErrors-repmat(SmoothedMeasurementErrors(:,:,1),[1,1,6]))))>1e-8
+if max(max(abs(SmoothedMeasurementErrors-repmat(SmoothedMeasurementErrors(:,:,1),[1,1,6]))))>1e-6
     error('SmoothedMeasurementErrors do not match')
 end
 
-if max(max(abs(SmoothedShocks-repmat(SmoothedShocks(:,:,1),[1,1,6]))))>1e-8
+if max(max(abs(SmoothedShocks-repmat(SmoothedShocks(:,:,1),[1,1,6]))))>1e-6
     error('SmoothedShocks do not match')
 end
 
-if max(max(abs(SmoothedVariables-repmat(SmoothedVariables(:,:,1),[1,1,6]))))>1e-8
+if max(max(abs(SmoothedVariables-repmat(SmoothedVariables(:,:,1),[1,1,6]))))>1e-6
     error('SmoothedVariables do not match')
 end
 

tests/lmmcp/rbcii.mod

-var Capital, Output, Labour, Consumption,  Investment, Efficiency, efficiency, residual, marginal_utility;
-
-varexo EfficiencyInnovation;
-
-parameters beta, theta, tau, alpha, psi, delta, rho, effstar, sigma;
-
-/*
-** Calibration
-*/
+var k, y, L, c, i, A, a, mu;
+varexo epsilon;
+parameters beta, theta, tau, alpha, psi, delta, rho, Astar, sigma;
 
 beta    =  0.990;
 theta   =  0.357;
 tau     =  2.000;
 alpha   =  0.450;
-psi     = -0.200;
+psi     = -2.500;
 delta   =  0.020;
-rho     =  0.800;
-effstar =  1.000;
+rho     =  0.998;
+Astar   =  1.000;
 sigma   =  0.100;
 
 model;
-
-  efficiency = rho*efficiency(-1) + sigma*EfficiencyInnovation;
-
-  Efficiency = effstar*exp(efficiency);
-
-  [mcp = 'Investment > 0',name='Investment Euler Equation']
-  -(((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption + beta*((((Consumption(+1)^theta)*((1-Labour(+1))^(1-theta)))^(1-tau))/Consumption(+1))*(alpha*((Output(+1)/Capital)^(1-psi))+1-delta);
-
-  residual =   (((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption - beta*((((Consumption(+1)^theta)*((1-Labour(+1))^(1-theta)))^(1-tau))/Consumption(+1))*(alpha*((Output(+1)/Capital)^(1-psi))+1-delta);
-
-  ((1-theta)/theta)*(Consumption/(1-Labour)) - (1-alpha)*(Output/Labour)^(1-psi);
-
-  Output = Efficiency*(alpha*(Capital(-1)^psi)+(1-alpha)*(Labour^psi))^(1/psi);
-
-  Output = Consumption + Investment;
-
-  Investment = Capital - (1-delta)*Capital(-1);
-
-  marginal_utility = (((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption;
+ a = rho*a(-1) + sigma*epsilon;
+ A = Astar*exp(a);
+ (c^theta*(1-L)^(1-theta))^(1-tau)/c - mu = beta*((c(+1)^theta*(1-L(+1))^(1-theta))^(1-tau)/c(+1)*(alpha*(y(+1)/k)^(1-psi)+1-delta)-mu(+1)*(1-delta));
+ ((1-theta)/theta)*(c/(1-L)) - (1-alpha)*(y/L)^(1-psi);
+ y = A*(alpha*(k(-1)^psi)+(1-alpha)*(L^psi))^(1/psi);
+ k = y-c+(1-delta)*k(-1);
+ i = k-(1-delta)*k(-1);
+
+[ mcp = 'i > 0' ]
+ mu = 0;
 end;
 
 steady_state_model;
-Efficiency = effstar;
-y_k = (Efficiency^(-psi)*(1/beta-1+delta)/alpha)^(1/(1-psi));
-c_k = y_k - delta;
-n_k = (((y_k/Efficiency)^psi-alpha)/(1-alpha))^(1/psi);
-y_n = y_k/n_k;
-c_n = c_k/n_k;
-Labour = y_k*(1-alpha)/(((1-theta)/theta)*c_k*(alpha*n_k^(-psi)+1-alpha)+y_k*(1-alpha));
-Capital = Labour/n_k;
-Consumption = c_n*Labour;
-Output = Efficiency*(alpha*Capital^psi+(1-alpha)*Labour^psi)^(1/psi);
-Investment = delta*Capital;
-residual = 0;
-marginal_utility = (((Consumption^theta)*((1-Labour)^(1-theta)))^(1-tau))/Consumption;
+ a=0;
+ mu=0;
+ A=Astar;
+
+ // Steady state ratios
+ 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/A)^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;
+
+ L=1/(1+Consumption_per_unit_of_Labour/((1-alpha)*theta/(1-theta)*Output_per_unit_of_Labour^(1-psi)));
+ c=Consumption_per_unit_of_Labour*L;
+ k=L/Labour_per_unit_of_Capital;
+ y=Output_per_unit_of_Capital*k;
+ i=delta*k;
 end;
 
-resid;
-steady;
-
 shocks;
-var EfficiencyInnovation;
-periods 1;
-values -4;
+ var epsilon;
+ periods 10;
+ values -1;
 end;
 
-perfect_foresight_setup(periods=100);
+steady;
+
+perfect_foresight_setup(periods=400);
+perfect_foresight_solver(lmmcp, maxit=200);
 
-perfect_foresight_solver(lmmcp);
+n = 40;
 
-rplot Investment;
+figure(2);
+subplot(3,2,1); plot(1:n,A(1:n)); title('A');
+subplot(3,2,2); plot(2:n,y(2:n)); title('y');
+subplot(3,2,3); plot(2:n,L(2:n)); title('L');
+subplot(3,2,4); plot(1:n,k(1:n)); title('k');
+subplot(3,2,5); plot(2:n,c(2:n)); title('c');
+subplot(3,2,6); plot(2:n, y(2:n)-c(2:n)); title('i');
 
-rplot residual;

tests/ls2003/ls2003_hessian_zero.mod

+//test whether Dynare correctly reverts to linear approximation if 0 Hessian is detected
+
+var y y_s R pie dq pie_s de A y_obs pie_obs R_obs;
+varexo e_R e_q e_ys e_pies e_A;
+
+parameters psi1 psi2 psi3 rho_R tau alpha rr k rho_q rho_A rho_ys rho_pies;
+
+psi1 = 1.54;
+psi2 = 0.25;
+psi3 = 0.25;
+rho_R = 0.5;
+alpha = 0.3;
+rr = 2.51;
+k = 0.5;
+tau = 0.5;
+rho_q = 0.4;
+rho_A = 0.2;
+rho_ys = 0.9;
+rho_pies = 0.7;
+
+
+model;
+y = y(+1) - (tau +alpha*(2-alpha)*(1-tau))*(R-pie(+1))-alpha*(tau +alpha*(2-alpha)*(1-tau))*dq(+1) + alpha*(2-alpha)*((1-tau)/tau)*(y_s-y_s(+1))-A(+1);
+pie = exp(-rr/400)*pie(+1)+alpha*exp(-rr/400)*dq(+1)-alpha*dq+(k/(tau+alpha*(2-alpha)*(1-tau)))*y+alpha*(2-alpha)*(1-tau)/(tau*(tau+alpha*(2-alpha)*(1-tau)))*y_s;
+pie = de+(1-alpha)*dq+pie_s;
+R = rho_R*R(-1)+(1-rho_R)*(psi1*pie+psi2*(y+alpha*(2-alpha)*((1-tau)/tau)*y_s)+psi3*de)+e_R;
+dq = rho_q*dq(-1)+e_q;
+y_s = rho_ys*y_s(-1)+e_ys;
+pie_s = rho_pies*pie_s(-1)+e_pies;
+A = rho_A*A(-1)+e_A;
+y_obs = y-y(-1)+A;
+pie_obs = 4*pie;
+R_obs = 4*R;
+end;
+
+shocks;
+var e_R = 1.25^2;
+var e_q = 2.5^2;
+var e_A = 1.89;
+var e_ys = 1.89;
+var e_pies = 1.89;
+end;
+
+stoch_simul(order=2);
\ No newline at end of file

tests/moments/fs2000_post_moments.mod

+/*
+ * This file replicates the estimation of the cash in advance model (termed M1 
+ * in the paper) described in 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 prior distribution follows the one originally specified in Schorfheide's
+ * paper, except for parameter rho. In the paper, the elicited beta prior for rho
+ * implies an asymptote and corresponding prior mode at 0. It is generally
+ * recommended to avoid this extreme type of prior. Some optimizers, for instance
+ * mode_compute=12 (Mathworks' particleswarm algorithm) may find a posterior mode
+ * with rho equal to zero. We lowered the value of the prior standard deviation
+ * (changing .223 to .100) to remove the asymptote.
+ *
+ * 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 originally written by Michel Juillard. Please note that the
+ * following copyright notice only applies to this Dynare implementation of the
+ * model.
+ */
+
+/*
+ * Copyright (C) 2004-2017 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;
+
+shocks;
+var e_a; stderr 0.014;
+var e_m; stderr 0.005;
+end;
+
+steady_state_model;
+  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;
+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, 0.100;
+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,mode_compute=5, datafile='../fs2000/fsdat_simul.m', nobs=192, loglinear, mh_replic=20, mh_nblocks=1, mh_jscale=0.8,moments_varendo,
+conditional_variance_decomposition=[2,2000],consider_all_endogenous,sub_draws=2);
+
+stoch_simul(order=1,conditional_variance_decomposition=[2,2000],noprint,nograph);
+par=load([M_.fname filesep 'metropolis' filesep M_.fname '_posterior_draws1']);
+
+for par_iter=1:size(par.pdraws,1)
+   M_=set_parameters_locally(M_,par.pdraws{par_iter,1});
+   info=stoch_simul(var_list_);
+   correlation(:,:,par_iter)=cell2mat(oo_.autocorr);
+   covariance(:,:,par_iter)=oo_.var;
+   conditional_variance_decomposition(:,:,:,par_iter)=oo_.conditional_variance_decomposition;
+   variance_decomposition(:,:,par_iter)=oo_.variance_decomposition;
+end
+
+correlation=mean(correlation,3);
+nvars=M_.orig_endo_nbr;
+for var_iter_1=1:nvars
+    for var_iter_2=1:nvars
+        if max(abs(correlation(var_iter_1,var_iter_2:nvars:end)'-oo_.PosteriorTheoreticalMoments.dsge.correlation.Mean.(deblank(M_.endo_names(var_iter_1,:))).(deblank(M_.endo_names(var_iter_2,:)))))>1e-8
+            error('Correlations do not match')
+        end
+    end
+end
+
+covariance=mean(covariance,3);
+nvars=size(M_.endo_names(1:M_.orig_endo_nbr,:),1);
+for var_iter_1=1:nvars
+    for var_iter_2=var_iter_1:nvars
+        if max(abs(covariance(var_iter_1,var_iter_2)-oo_.PosteriorTheoreticalMoments.dsge.covariance.Mean.(deblank(M_.endo_names(var_iter_1,:))).(deblank(M_.endo_names(var_iter_2,:)))))>1e-8
+            error('Covariances do not match')
+        end
+    end
+end
+
+variance_decomposition=mean(variance_decomposition,3);
+nvars=size(M_.endo_names(1:M_.orig_endo_nbr,:),1);
+for var_iter_1=1:nvars
+    for shock_iter=1:M_.exo_nbr
+        if max(abs(variance_decomposition(var_iter_1,shock_iter)/100-oo_.PosteriorTheoreticalMoments.dsge.VarianceDecomposition.Mean.(deblank(M_.endo_names(var_iter_1,:))).(deblank(M_.exo_names(shock_iter,:)))))>1e-8
+            error('Variance decomposition does not match')
+        end
+    end
+end
+
+conditional_variance_decomposition=mean(conditional_variance_decomposition,4);
+nvars=size(M_.endo_names(1:M_.orig_endo_nbr,:),1);
+horizon_size=size(conditional_variance_decomposition,3);
+for var_iter_1=1:nvars
+    for shock_iter=1:M_.exo_nbr
+        for horizon_iter=1:horizon_size
+            if max(abs(conditional_variance_decomposition(var_iter_1,horizon_iter,shock_iter)-oo_.PosteriorTheoreticalMoments.dsge.ConditionalVarianceDecomposition.Mean.(deblank(M_.endo_names(var_iter_1,:))).(deblank(M_.exo_names(shock_iter,:)))(horizon_iter)))>1e-8
+                error('Conditional Variance decomposition does not match')
+            end
+        end
+    end
+end
+
+/*
+ * 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/optimal_policy/Ramsey/ramsey_histval.mod

+% Test whether preprocessor recognizes state variables introduced by optimal policy Github #1193
+        
+var pai, c, n, r, a;
+varexo u;
+parameters beta, rho, epsilon, omega, phi, gamma;
+
+beta=0.99;
+gamma=3;
+omega=17;
+epsilon=8;
+phi=1;
+rho=0.95;
+
+model;
+a = rho*a(-1)+u;
+1/c = beta*r/(c(+1)*pai(+1));
+pai*(pai-1)/c = beta*pai(+1)*(pai(+1)-1)/c(+1)+epsilon*phi*n^(gamma+1)/omega -exp(a)*n*(epsilon-1)/(omega*c);
+exp(a)*n = c+(omega/2)*(pai-1)^2;
+end;
+
+initval;
+r=1;
+end;
+
+histval;
+r(0)=1;
+end;
+
+steady_state_model;
+a = 0;
+pai = beta*r;
+c = find_c(0.96,pai,beta,epsilon,phi,gamma,omega);
+n = c+(omega/2)*(pai-1)^2;
+end;
+
+shocks;
+var u; stderr 0.008;
+var u;
+periods 1;
+values 1;
+end;
+options_.dr_display_tol=0;
+planner_objective(ln(c)-phi*((n^(1+gamma))/(1+gamma)));
+ramsey_policy(planner_discount=0.99,order=1,instruments=(r),periods=500);
\ No newline at end of file

tests/optimal_policy/Ramsey/ramsey_histval_xfail.mod

+% Test whether preprocessor fails if histval set future lags
+        
+var pai, c, n, r, a;
+varexo u;
+parameters beta, rho, epsilon, omega, phi, gamma;
+
+beta=0.99;
+gamma=3;
+omega=17;
+epsilon=8;
+phi=1;
+rho=0.95;
+
+model;
+a = rho*a(-1)+u;
+1/c = beta*r/(c(+1)*pai(+1));
+pai*(pai-1)/c = beta*pai(+1)*(pai(+1)-1)/c(+1)+epsilon*phi*n^(gamma+1)/omega -exp(a)*n*(epsilon-1)/(omega*c);
+exp(a)*n = c+(omega/2)*(pai-1)^2;
+end;
+
+initval;
+r=1;
+end;
+
+histval;
+a(5)=1;
+end;
+
+steady_state_model;
+a = 0;
+pai = beta*r;
+c = find_c(0.96,pai,beta,epsilon,phi,gamma,omega);
+n = c+(omega/2)*(pai-1)^2;
+end;
+
+shocks;
+var u; stderr 0.008;
+var u;
+periods 1;
+values 1;
+end;
+options_.dr_display_tol=0;
+planner_objective(ln(c)-phi*((n^(1+gamma))/(1+gamma)));
+ramsey_policy(planner_discount=0.99,order=1,instruments=(r),periods=500);
\ No newline at end of file

tests/particle/dsge_base2.mod

 // DGP
 @#ifndef RISKY_CALIBRATION
-@#define RISKY_CALIBRATION = 0
+@#define RISKY_CALIBRATION = 1
 @#endif
 @#ifndef EXTREME_CALIBRATION
-@#define EXTREME_CALIBRATION = 1
+@#define EXTREME_CALIBRATION = 0
 @#endif
 @#ifndef BENCHMARK_CALIBRATION
 @#define BENCHMARK_CALIBRATION = 0
@@ -13,8 +13,11 @@
 @#ifndef LINEAR_KALMAN
 @#define LINEAR_KALMAN = 0
 @#endif
+@#ifndef NON_LINEAR_KALMAN
+@#define NON_LINEAR_KALMAN = 0
+@#endif
 @#ifndef ALGO_SIR
-@#define ALGO_SIR = 0
+@#define ALGO_SIR = 1
 @#endif
 @#ifndef ALGO_SISmoothR
 @#define ALGO_SISmoothR = 0
@@ -29,7 +32,7 @@
 @#define ALGO_GCF = 0
 @#endif
 @#ifndef ALGO_GUF
-@#define ALGO_GUF = 1
+@#define ALGO_GUF = 0
 @#endif
 @#ifndef ALGO_GMPF
 @#define ALGO_GMPF = 0
@@ -86,7 +89,7 @@ stderr l, uniform_pdf,,, 0.00001, 0.1;
 stderr i, uniform_pdf,,, 0.00001, 0.1;
 end;
 
-@#if RISKY_CALIBRATION
+@#if EXTREME_CALIBRATION
   estimated_params_init;
   alp, 0.4;
   bet, 0.99;
@@ -101,7 +104,7 @@ end;
   end;
 @#endif
 
-@#if EXTREME_CALIBRATION
+@#if RISKY_CALIBRATION
   estimated_params_init;
   alp, 0.4;
   bet, 0.99;
@@ -118,8 +121,9 @@ end;
 
 varobs y l i ;
 
-options_.mode_check.neighbourhood_size = .01 ;
+options_.mode_check.neighbourhood_size = .1 ;
 options_.mode_check.number_of_points = 250;
+options_.threads.local_state_space_iteration_2 = 4;
 
 @#if EXTREME_CALIBRATION
   data(file='./extreme.m');
@@ -135,11 +139,15 @@ options_.mode_check.number_of_points = 250;
 
 
 @#if LINEAR_KALMAN
-%  estimation(nograph,order=1,mode_compute=8,mh_replic=0,mode_check);
+  estimation(nograph,order=1,mode_compute=8,mh_replic=0,mode_check);
+@#endif
+
+@#if NON_LINEAR_KALMAN
+  estimation(nograph,order=2,filter_algorithm=nlkf,mode_compute=8,mh_replic=0);
 @#endif
 
 @#if ALGO_SIR
-  estimation(order=2,nograph,number_of_particles=1000,mh_replic=0,mode_compute=8,mode_check);
+  estimation(order=2,nograph,number_of_particles=1000,mh_replic=0,mode_compute=8);
 @#endif
 
 @#if ALGO_SISmoothR
@@ -149,7 +157,7 @@ options_.mode_check.number_of_points = 250;
 @#endif
 
 @#if ALGO_APF
-  estimation(order=2,nograph,filter_algorithm=apf,number_of_particles=1000,mh_replic=0,mode_compute=8,mode_check);
+  estimation(order=2,nograph,filter_algorithm=apf,number_of_particles=10000,resampling=none,mh_replic=0,mode_compute=8,mode_check);
 @#endif
 
 @#if ALGO_GPF
@@ -163,7 +171,7 @@ options_.mode_check.number_of_points = 250;
 @#endif
 
 @#if ALGO_GUF
-  estimation(order=2,nograph,filter_algorithm=gf,proposal_approximation=unscented,distribution_approximation=unscented,mh_replic=0,mode_compute=4);
+  estimation(order=2,nograph,filter_algorithm=gf,proposal_approximation=unscented,distribution_approximation=unscented,mh_replic=0,mode_compute=8);
   estimation(order=2,nograph,filter_algorithm=gf,proposal_approximation=unscented,distribution_approximation=unscented,mh_replic=0,mode_compute=8,mode_check);
 @#endif
 

tests/read_trs_files.sh

 #!/bin/bash
 
-declare -i total=0;
-declare -i total_xfail=0;
-declare -i failed=0;
-declare -i xpassed=0;
-declare -a failed_tests=("");
-declare -a xpassed_tests=("");
+declare -i total=0
+declare -i total_xfail=0
+declare -i failed=0
+declare -i xpassed=0
+declare -a failed_tests=()
+declare -a xpassed_tests=()
 
 # Parse TRS Files
 tosort=""
 for file in $1 ; do
   # Find number of tests run in trs file
-  ((total += `grep number-tests $file | cut -d: -f3`))
+  ((total += $(grep ^:number-tests: "$file" | cut -d: -f3)))
 
   # Find number of tests failed in trs file
-  numfailed=`grep number-failed-tests $file | cut -d: -f3`
-  if [ $numfailed -ne 0 ] ; then
-    ((failed += $numfailed))
-    for failedfile in `grep list-of-failed-tests $file | cut -d: -f3` ; do
-      failed_tests=("${failed_tests[@]}" "$failedfile");
-    done
+  numfailed=$(grep ^:number-failed-tests: "$file" | cut -d: -f3)
+  if ((numfailed != 0)) ; then
+      ((failed += numfailed))
+      failed_tests+=($(grep ^:list-of-failed-tests: "$file" | cut -d: -f3))
   fi
 
-  time=`grep elapsed-time $file | cut -d: -f3`
-  tosort=`echo $tosort\| $file ' - ' $time:`
+  time=$(grep ^:elapsed-time: "$file" | cut -d: -f3)
+  tosort="$tosort| $file - $time:"
 done
-((passed=$total-$failed));
+((passed = total - failed))
 
 # Parse XFAIL TRS Files
 for file in $2 ; do
   # Find number of tests run in xfail trs file
-  ((xfail = `grep number-tests $file | cut -d: -f3`))
-  ((total_xfail += $xfail))
+  xfail=$(grep ^:number-tests: "$file" | cut -d: -f3)
+  ((total_xfail += xfail))
 
   # Find number of tests failed in trs file
-  numpassed=`grep number-failed-tests $file | cut -d: -f3`
-  if [ $numpassed -eq 0 ] ; then
-    ((xpassed += (($xfail - $numpassed))))
-    for xpassedfile in `grep list-of-passed-tests $file | cut -d: -f3` ; do
-      xpassed_tests=("${xpassed_tests[@]}" "$xpassedfile");
-    done
+  numfailed=$(grep ^:number-failed-tests: "$file" | cut -d: -f3)
+  if ((numfailed != xfail)) ; then
+    ((xpassed += xfail - numfailed))
+    xpassed_tests+=($(grep ^:list-of-passed-tests: "$file" | cut -d: -f3))
   fi
 
-  time=`grep elapsed-time $file | cut -d: -f3`
-  tosort=`echo $tosort\| $file ' - ' $time:`
+  time=$(grep ^:elapsed-time: "$file" | cut -d: -f3)
+  tosort="$tosort| $file - $time:"
 done
-((xfailed=$total_xfail-$xpassed));
-((total+=$total_xfail));
+((xfailed = total_xfail - xpassed))
+((total += total_xfail))
 
-timing=`echo $tosort | tr ":" "\n" | sort -rn -k4 | sed -e 's/$/:/' | head -n10`
+timing=$(echo "$tosort" | tr ":" "\n" | sort -rn -k4 | sed -e 's/$/:/' | head -n10)
 
 # Determine if we are parsing Matlab or Octave trs files
-if [ `grep -c '.m.trs' <<< $1` -eq 0 ]; then
-  prg='OCTAVE';
-  outfile='run_test_octave_output.txt'
+if (($(grep -c '.m.trs' <<< "$1") == 0)); then
+  prg=OCTAVE
+  outfile=run_test_octave_output.txt
 else
-  prg='MATLAB';
-  outfile='run_test_matlab_output.txt'
+  prg=MATLAB
+  outfile=run_test_matlab_output.txt
 fi
 
-# Print Output
-echo '================================'             > $outfile
-echo 'DYNARE MAKE CHECK '$prg' RESULTS'            >> $outfile
-echo '================================'            >> $outfile
-echo '| TOTAL: '$total                             >> $outfile
-echo '|  PASS: '$passed                            >> $outfile
-echo '|  FAIL: '$failed                            >> $outfile
-echo '| XFAIL: '$xfailed                           >> $outfile
-echo '| XPASS: '$xpassed                           >> $outfile
-if [ $failed -gt 0 ] ; then
-  echo '| LIST OF FAILED TESTS:'                   >> $outfile
-  for file in ${failed_tests[@]} ; do
-    if [ "$prg" == "MATLAB" ]; then
-      modfile=`sed 's/\.m\.trs/\.mod/g' <<< $file` >> $outfile
-    else
-      modfile=`sed 's/\.o\.trs/\.mod/g' <<< $file` >> $outfile
-    fi
-    echo '|     * '$modfile                        >> $outfile
+# Print Output (to stdout and to a file)
+{
+    echo '================================'
+    echo "DYNARE MAKE CHECK $prg RESULTS"
+    echo '================================'
+    echo "| TOTAL: $total"
+    echo "|  PASS: $passed"
+    echo "|  FAIL: $failed"
+    echo "| XFAIL: $xfailed"
+    echo "| XPASS: $xpassed"
+    if ((failed > 0)) ; then
+        echo '|'
+        echo '| LIST OF FAILED TESTS:'
+        for file in "${failed_tests[@]}" ; do
+            echo "|     * $file"
         done
     fi
-if [ $xpassed -gt 0 ] ; then
-  echo '|  LIST OF XPASSED TESTS:'                 >> $outfile
-  for file in ${xpassed_tests[@]} ; do
-    if [ "$prg" == "MATLAB" ]; then
-      modfile=`sed 's/\.m\.trs/\.mod/g' <<< $file` >> $outfile
-    else
-      modfile=`sed 's/\.o\.trs/\.mod/g' <<< $file` >> $outfile
-    fi
-    echo '|     * '$modfile                        >> $outfile
+    if ((xpassed > 0)) ; then
+        echo '|'
+        echo '| LIST OF XPASSED TESTS:'
+        for file in "${xpassed_tests[@]}" ; do
+            echo "|     * $file"
         done
     fi
-echo '|'                                           >> $outfile
-echo '| LIST OF 10 SLOWEST TESTS:'                 >> $outfile
-if [ "$prg" == "MATLAB" ]; then
-    timing=`sed 's/\.m\.trs/\.mod/g' <<< $timing`
+    echo '|'
+    echo '| LIST OF 10 SLOWEST TESTS:'
+    if [[ $prg == MATLAB ]]; then
+        timing=$(sed 's/\.m\.trs/\.mod/g' <<< "$timing")
     else
-    timing=`sed 's/\.o\.trs/\.mod/g' <<< $timing`
+        timing=$(sed 's/\.o\.trs/\.mod/g' <<< "$timing")
     fi
-echo $timing | tr ':' '\n' | sed -e 's/^[ \t]*//' | \
-     sed '/^$/d' | sed -e 's/^|[ ]/|     * /'      >> $outfile
-echo                                               >> $outfile
+    echo "$timing" | tr ':' '\n' | sed -e 's/^[ \t]*//;/^$/d;s/^|[ ]/|     * /'
+    echo
+} | tee $outfile
+
+# Exit with error code if some tests failed
+((failed + xpassed == 0))

tests/run_test_octave.m

@@ -25,7 +25,6 @@ load_octave_packages
 
 top_test_dir = getenv('TOP_TEST_DIR');
 addpath(top_test_dir);
-addpath('.'); % workaround for bug in Octave 4.2.0-rc2: https://savannah.gnu.org/bugs/?49334
 addpath([top_test_dir filesep '..' filesep 'matlab']);
 
 ## Test Dynare Version

tests/simul/linear_state_space_arma.mod

+%mod-file triggering the sim1_linear.m solver;
+%The exogenous arma processes test whether the Jacobian at the
+%deterministic steady state is correctly computed
+var x
+    y
+    z;
+
+varexo u
+       v;
+
+parameters a1 a2 a3 a4
+	   b1 b2 b3
+	   c1;
+
+a1 =  .50;
+a2 =  .00;
+a3 =  .70;
+a4 =  .40;
+b1 =  .90;
+b2 =  .00;
+b3 =  .80;
+c1 =  .95;
+
+
+model(linear);
+   y = a1*x(-1) + a2*x(+1) + a3*z + a4*y(-1);
+   z = b1*z(-1) + b2*z(+1) + b3*x + u;
+   x = c1*x(-1) + v +v(-1)+v(+1);
+end;
+
+initval;
+y=-1;
+x=-1;
+z=-1;
+end;
+
+endval;
+y=0;
+x=0;
+z=0;
+end;
+steady;
+simul(periods=1000,stack_solve_algo=0);

tests/stochastic-backward-models/solow_cd_with_steadystate.mod

@@ -62,6 +62,6 @@ end
 
 IntensiveCapitalStock = oo_.endo_simul(6,1:end)./(oo_.endo_simul(1,1:end).*oo_.endo_simul(3,1:end));
 
-if abs(IntensiveCapitalStock-LongRunIntensiveCapitalStock)>1e-6
+if abs(IntensiveCapitalStock(end)-LongRunIntensiveCapitalStock>1e-10)
    error('Wrong long run level!')
 end

windows/README.txt

@@ -57,11 +57,11 @@ Using Dynare with Octave
 Dynare also works on top of GNU Octave, a free clone of MATLAB (R) (see
 <http://www.octave.org>).
 
-This version of Dynare is compiled for Octave 4.2.1 (MinGW, 32bit and 64bit), and may not work
+This version of Dynare is compiled for Octave 4.4.1 (MinGW, 32bit and 64bit), and may not work
 with other versions of Octave. The recommended version of Octave can be
 downloaded at:
 
-  http://www.dynare.org/download/octave/windows
+  https://www.gnu.org/software/octave/download.html
 
 Every time you run Octave, you should type the two following commands (assuming
 that you have installed Dynare at the standard location, and replacing '4.x.y'

windows/dynare.nsi

@@ -54,7 +54,7 @@ Section "Dynare core (preprocessor and M-files)"
  SectionIn RO
 !insertmacro DETERMINE_CONTEXT
  SetOutPath $INSTDIR
- File README.txt ..\NEWS mexopts-win32.bat mexopts-win64.bat ..\license.txt
+ File README.txt ..\NEWS mexopts-win32.bat mexopts-win64.bat ..\license.txt ..\VERSION
 
  SetOutPath $INSTDIR\matlab
  File /r ..\matlab\*.m
@@ -98,21 +98,26 @@ Section "MEX files for MATLAB 64-bit, version 7.5 to 7.7 (R2007b to R2008b)"
  File ..\mex\matlab\win64-7.5-7.7\*.mexw64
 SectionEnd
 
-Section "MEX files for MATLAB 64-bit, version 7.8 to 9.2 (R2009a to R2017a)"
- SetOutPath $INSTDIR\mex\matlab\win64-7.8-9.2
- File ..\mex\matlab\win64-7.8-9.2\*.mexw64
+Section "MEX files for MATLAB 64-bit, version 7.8 to 9.3 (R2009a to R2017b)"
+ SetOutPath $INSTDIR\mex\matlab\win64-7.8-9.3
+ File ..\mex\matlab\win64-7.8-9.3\*.mexw64
+SectionEnd
+
+Section "MEX files for MATLAB 64-bit, version 9.4 to 9.7 (R2018a to R2019b)"
+ SetOutPath $INSTDIR\mex\matlab\win64-9.4-9.7
+ File ..\mex\matlab\win64-9.4-9.7\*.mexw64
 SectionEnd
 
 SectionGroupEnd
 
-SectionGroup "MEX files for OCTAVE"
+SectionGroup "MEX files for Octave"
 
-Section "MEX files for Octave 4.2.1 (MinGW, 64bit)"
+Section "MEX files for Octave 4.4.1 (MinGW, 64bit)"
  SetOutPath $INSTDIR\mex\octave
  File ..\mex\octave\*.mex ..\mex\octave\*.oct
 SectionEnd
 
-Section "MEX files for Octave 4.2.1 (MinGW, 32bit)"
+Section "MEX files for Octave 4.4.1 (MinGW, 32bit)"
  SetOutPath $INSTDIR\mex\octave32
  File ..\mex\octave32\*.mex ..\mex\octave32\*.oct
 SectionEnd
@@ -156,6 +161,7 @@ Section "Uninstall"
  Delete $INSTDIR\license.txt
  Delete $INSTDIR\mexopts-win32.bat
  Delete $INSTDIR\mexopts-win64.bat
+ Delete $INSTDIR\VERSION
  Rmdir /r $INSTDIR\matlab
  Rmdir /r $INSTDIR\contrib
  Rmdir /r $INSTDIR\mex