From 1da488db527a25b7091d327c3fc37b0120ddfda9 Mon Sep 17 00:00:00 2001
From: Johannes Pfeifer <jpfeifer@gmx.de>
Date: Sun, 2 Oct 2016 12:56:04 +0200
Subject: [PATCH] Add test case for stochastic singularity

---
 tests/Makefile.am                             |  1 +
 .../fs2000_stochastic_singularity_xfail.mod   | 76 +++++++++++++++++++
 2 files changed, 77 insertions(+)
 create mode 100644 tests/estimation/fs2000_stochastic_singularity_xfail.mod

diff --git a/tests/Makefile.am b/tests/Makefile.am
index 674904a42..071ca2782 100644
--- a/tests/Makefile.am
+++ b/tests/Makefile.am
@@ -328,6 +328,7 @@ XFAIL_MODFILES = ramst_xfail.mod \
 	estim_param_in_shock_value_xfail.mod \
 	optimal_policy/Ramsey/ramsey_ex_wrong_ss_file_xfail.mod \
 	estimation/fs2000_mixed_ML_xfail.mod \
+	estimation/fs2000_stochastic_singularity_xfail.mod \
 	identification/ident_unit_root/ident_unit_root_xfail.mod \
 	steady_state/Linear_steady_state_xfail.mod
 
diff --git a/tests/estimation/fs2000_stochastic_singularity_xfail.mod b/tests/estimation/fs2000_stochastic_singularity_xfail.mod
new file mode 100644
index 000000000..cdd977d07
--- /dev/null
+++ b/tests/estimation/fs2000_stochastic_singularity_xfail.mod
@@ -0,0 +1,76 @@
+// See fs2000.mod in the examples/ directory for details on the model
+
+var m P c e W R k d n l gy_obs gp_obs y dA;
+varexo e_a e_m e_junk;
+
+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) + e_junk;
+gp_obs = (P/P(-1))*m(-1)/dA;
+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;
+
+
+shocks;
+var e_a; stderr 0.014;
+var e_m; stderr 0.005;
+var e_junk; stderr 0.005;
+end;
+
+stoch_simul(order=1,periods=300,irf=0,nomoments) k y c;
+datatomfile('fsdat_simul_collinear', char('k','y','c'));
+
+estimated_params;
+alp, beta_pdf, 0.356, 0.02;
+end;
+
+varobs k y c;
+
+
+estimation(order=1,datafile=fsdat_simul_collinear) y m;