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add consistency check of results using smoother_redux with occbin

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Marco Ratto 2022-11-18 11:59:27 +01:00
parent 21c9d59e8c
commit 21443e0988
1 changed files with 10 additions and 0 deletions
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10
tests/occbin/filter/NKM.mod
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@ -319,6 +319,16 @@ varobs yg inom pi;
mh_replic=0, plot_priors=0, smoother, smoother_redux,
nodisplay,consider_all_endogenous,heteroskedastic_filter,filter_step_ahead=[1],smoothed_state_uncertainty);
// check consistency of smoother_redux
for k=1:M_.endo_nbr,
mer(k)=max(abs(oo_.SmoothedVariables.(M_.endo_names{k})-oo0.SmoothedVariables.(M_.endo_names{k})));
end
if max(mer)>1.e-10
error('smoother redux does not recover full smoother results!')
else
disp('smoother redux successfully recovers full smoother results!')
end
// use inversion filter (note that IF provides smoother together with likelihood)
occbin_setup(likelihood_inversion_filter,smoother_inversion_filter);