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dynare/tests/kalman/likelihood_from_dynare/fs2000_uncorr_ME.mod

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Factorize Kalman filter unit tests
2016-06-16 18:55:23 +02:00
@#include "fs2000_model.inc"
stoch_simul(periods=200, order=1,irf=0);
temp=oo_.endo_simul;
%add measurement error
oo_.endo_simul(strmatch('gy_obs',M_.endo_names,'exact'),:)=oo_.endo_simul(strmatch('gy_obs',M_.endo_names,'exact'),:)+0.05*randn(1,size(oo_.endo_simul,2));
oo_.endo_simul(strmatch('gp_obs',M_.endo_names,'exact'),:)=oo_.endo_simul(strmatch('gp_obs',M_.endo_names,'exact'),:)+0.05*randn(1,size(oo_.endo_simul,2));
Use cells of strings instead of char arrays.
2017-10-10 10:05:59 +02:00
datatomfile('fsdat_simul_uncorr_ME', {'gy_obs'; 'gp_obs'});
Factorize Kalman filter unit tests
2016-06-16 18:55:23 +02:00
oo_.endo_simul(strmatch('gy_obs',M_.endo_names,'exact'),[7,199])=NaN;
oo_.endo_simul(strmatch('gp_obs',M_.endo_names,'exact'),[151,199])=NaN;
Use cells of strings instead of char arrays.
2017-10-10 10:05:59 +02:00
datatomfile('fsdat_simul_uncorr_ME_missing', {'gy_obs'; 'gp_obs'});
Factorize Kalman filter unit tests
2016-06-16 18:55:23 +02:00
shock_mat=chol([1 0.5; 0.5 1])*0.05*randn(2,size(oo_.endo_simul,2));
oo_.endo_simul(strmatch('gy_obs',M_.endo_names,'exact'),:)=oo_.endo_simul(strmatch('gy_obs',M_.endo_names,'exact'),:)+shock_mat(1,:);
oo_.endo_simul(strmatch('gp_obs',M_.endo_names,'exact'),:)=oo_.endo_simul(strmatch('gp_obs',M_.endo_names,'exact'),:)+shock_mat(2,:);
Use cells of strings instead of char arrays.
2017-10-10 10:05:59 +02:00
datatomfile('fsdat_simul_corr_ME', {'gy_obs'; 'gp_obs'});
Factorize Kalman filter unit tests
2016-06-16 18:55:23 +02:00
oo_.endo_simul(strmatch('gy_obs',M_.endo_names,'exact'),[7,199])=NaN;
oo_.endo_simul(strmatch('gp_obs',M_.endo_names,'exact'),[151,199])=NaN;
Use cells of strings instead of char arrays.
2017-10-10 10:05:59 +02:00
datatomfile('fsdat_simul_corr_ME_missing', {'gy_obs'; 'gp_obs'});
Add unit tests for Kalman filter calls from Matlab
2014-09-20 20:06:10 +02:00
estimated_params;
alp, 0.356;
gam, 0.0085;
del, 0.01;
stderr e_a, 0.035449;
stderr e_m, 0.008862;
corr e_m, e_a, 0;
stderr gp_obs, 1;
stderr gy_obs, 1;
//corr gp_obs, gy_obs,0;
end;
Storage of results: use subfolder Ref. #1758
2021-07-22 17:46:08 +02:00
@#define mode_file_name="'fs2000_uncorr_ME/Output/fs2000_uncorr_ME_mode'"
Factorize Kalman filter unit tests
2016-06-16 18:55:23 +02:00
@#define data_file_name="fsdat_simul_uncorr_ME"
Add correctness check for Kalman filter unit tests
2016-06-15 08:47:20 +02:00
Factorize Kalman filter unit tests
2016-06-16 18:55:23 +02:00
@#include "fs2000_estimation_check.inc"