From 2aa6565c186f7995a2b64c8b4514a55d219382c0 Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?St=C3=A9phane=20Adjemian=20=28Ry=C3=BBk=29?=
 <stepan@adjemian.eu>
Date: Wed, 31 Aug 2022 13:37:00 +0200
Subject: [PATCH] Add test for lmmcp in extended path.

---
 tests/Makefile.am              |  3 +++
 tests/ep/rbcii-calibration.inc | 10 ++++++++++
 tests/ep/rbcii.mod             | 21 +++++----------------
 tests/ep/rbcii_MCP.mod         | 21 ++++++++++++++-------
 4 files changed, 32 insertions(+), 23 deletions(-)
 create mode 100644 tests/ep/rbcii-calibration.inc

diff --git a/tests/Makefile.am b/tests/Makefile.am
index 552e137fe..32de1b95d 100644
--- a/tests/Makefile.am
+++ b/tests/Makefile.am
@@ -983,6 +983,9 @@ model-inversion/nk-2/invert.o.trs: model-inversion/nk-2/simulate.o.trs
 model-inversion/nk-2/z_check_inversion.m.trs: model-inversion/nk-2/invert.m.trs
 model-inversion/nk-2/z_check_inversion.o.trs: model-inversion/nk-2/invert.o.trs
 
+ep/rbcii_MCP.m.trs: ep/rbcii.m.trs
+ep/rbcii_MCP.o.trs: ep/rbcii.o.trs
+
 observation_trends_and_prefiltering/MCMC: m/observation_trends_and_prefiltering/MCMC o/observation_trends_and_prefiltering/MCMC
 m/observation_trends_and_prefiltering/MCMC: $(patsubst %.mod, %.m.trs, $(filter observation_trends_and_prefiltering/MCMC/%.mod, $(MODFILES)))
 o/observation_trends_and_prefiltering/MCMC: $(patsubst %.mod, %.o.trs, $(filter observation_trends_and_prefiltering/MCMC/%.mod, $(MODFILES)))
diff --git a/tests/ep/rbcii-calibration.inc b/tests/ep/rbcii-calibration.inc
new file mode 100644
index 000000000..05ceb2622
--- /dev/null
+++ b/tests/ep/rbcii-calibration.inc
@@ -0,0 +1,10 @@
+Astar   =  1.000 ;
+beta    =  0.990 ;
+theta   =  0.357 ;
+tau     =  2.000 ;
+alpha   =  0.450 ;
+psi     = -0.200 ;
+delta   =  0.020 ;
+rho     =  0.800 ;
+effstar =  1.000 ;
+sigma   =  0.100 ;
diff --git a/tests/ep/rbcii.mod b/tests/ep/rbcii.mod
index 6e5383949..cf8c6a5e4 100644
--- a/tests/ep/rbcii.mod
+++ b/tests/ep/rbcii.mod
@@ -6,19 +6,7 @@ varexo EfficiencyInnovation;
 
 parameters beta, theta, tau, alpha, psi, delta, rho, effstar, sigma;
 
-/*
-** Calibration
-*/
-
-beta    =  0.990;
-theta   =  0.357;
-tau     =  2.000;
-alpha   =  0.450;
-psi     = -0.200;
-delta   =  0.020;
-rho     =  0.800;
-effstar =  1.000;
-sigma   =  0.100;
+@#include "rbcii-calibration.inc"
 
 model(use_dll);
 
@@ -63,11 +51,12 @@ end;
     steady(nocheck);
 
     options_.ep.stochastic.order = 0;
-
-    ts = extended_path([], 20, [], options_, M_, oo_);
+!*
+    ts = extended_path([], 200, [], options_, M_, oo_);
+    ts.save('rbcii-sim-data');
 
     options_.ep.stochastic.order = 1;
-    ts1_4 = extended_path([], 20, [], options_, M_, oo_);
+    ts1_4 = extended_path([], 200, [], options_, M_, oo_);
 
 @#else
 
diff --git a/tests/ep/rbcii_MCP.mod b/tests/ep/rbcii_MCP.mod
index 2351e7485..f3fca41d2 100644
--- a/tests/ep/rbcii_MCP.mod
+++ b/tests/ep/rbcii_MCP.mod
@@ -1,15 +1,14 @@
 % RBC model  with  irreversible  investment  constraint, implemented using MCP tag.
 
 var k, y, L, c, A, a, mu, i;
+
 varexo epsilon;
+
 parameters beta, theta, tau, alpha, psi, delta, rho, Astar;
 
-beta = 0.9900;  theta = 0.3570;
-tau = 2.0000;   alpha = 0.4500;
-psi = -0.1000;  delta = 0.0200;
-rho = 0.8000;   Astar = 1.0000;
+@#include "rbcii-calibration.inc"
 
-model;
+model(use_dll);
   a = rho*a(-1) + epsilon;
   A = Astar*exp(a);
   y = A*(alpha*k(-1)^psi+(1-alpha)*L^psi)^(1/psi);
@@ -51,8 +50,16 @@ shocks;
   stderr 0.10;
 end;
 
-extended_path(periods=50,lmmcp);
+extended_path(periods=200,lmmcp);
 
 if any(oo_.endo_simul(strmatch('i',M_.endo_names,'exact'),:)<-1e-6)
-    error('lmmcp tag did not work')
+    error('lmmcp tag did not work.')
 end
+
+ds = dseries('rbcii-sim-data.mat');
+
+if any(abs(transpose(oo_.endo_simul(strmatch('i',M_.endo_names,'exact'),:))-ds.Investment.data)>1e-6)
+    error('Simulation with lmmcp returns different results.')
+end
+
+delete rbcii-sim-data.mat