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Add unit test for kalman filter with missing observations 

Contributed by Johannes Pfeifer
time-shift
Sébastien Villemot 2012-07-06 10:32:34 +02:00
parent 3414d4d468
commit 57b7c0e94f
4 changed files with 501 additions and 0 deletions
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1
tests/.gitignore vendored
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@ -39,6 +39,7 @@ wsOct
!/external_function/extFunWithFirstAndSecondDerivs.m
!/fs2000/fs2000a_steadystate.m
!/fs2000/fsdat_simul.m
!/fs2000/fsdat_simul_missing_obs.m
!/gsa/data_ca1.m
!/gsa/data_ca1.mat
!/gsa/ls2003_mean.mat

1
tests/Makefile.am
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@ -67,6 +67,7 @@ MODFILES = \
fs2000/fs2000_calib.mod \
fs2000/fs2000_analytic_derivation.mod \
fs2000/fs2000_particle.mod \
fs2000/fs2000_missing_data.mod \
homotopy/homotopy1_test.mod \
homotopy/homotopy2_test.mod \
homotopy/homotopy3_test.mod \

83
tests/fs2000/fs2000_missing_data.mod Normal file
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@ -0,0 +1,83 @@
// Tests kalman filter with missing observations
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;
initval;
k = 6;
m = mst;
P = 2.25;
c = 0.45;
e = 1;
W = 4;
R = 1.02;
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;
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;
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, datafile=fsdat_simul_missing_obs, nobs=192, loglinear, mh_replic=2000, mh_nblocks=2, mh_jscale=0.8);
/*
* 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'));

416
tests/fs2000/fsdat_simul_missing_obs.m Normal file
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@ -0,0 +1,416 @@
% Generated data, used by fs2000.mod
gy_obs =[
NaN
1.0002599
0.99104664
1.0321162
1.0223545
1.0043614
0.98626929
1.0092127
1.0357197
1.0150827
1.0051548
0.98465775
0.99132132
0.99904153
1.0044641
1.0179198
1.0113462
0.99409421
0.99904293
1.0448336
0.99932433
1.0057004
0.99619787
1.0267504
1.0077645
1.0058026
1.0025891
0.9939097
0.99604693
0.99908569
1.0151094
0.99348134
1.0039124
1.0145805
0.99800868
0.98578138
1.0065771
0.99843919
0.97979062
0.98413351
0.96468174
1.0273857
1.0225211
0.99958667
1.0111157
1.0099585
0.99480311
1.0079265
0.98924573
1.0070613
1.0075706
0.9937151
1.0224711
1.0018891
0.99051863
1.0042944
1.0184055
0.99419508
0.99756624
1.0015983
0.9845772
1.0004407
1.0116237
0.9861885
1.0073094
0.99273355
1.0013224
0.99777979
1.0301686
0.96809556
0.99917088
0.99949253
0.96590004
1.0083938
0.96662298
1.0221454
1.0069792
1.0343996
1.0066531
1.0072525
0.99743563
0.99723703
1.000372
0.99013917
1.0095223
0.98864268
0.98092242
0.98886488
1.0030341
1.01894
0.99155059
0.99533235
0.99734316
1.0047356
1.0082737
0.98425116
0.99949212
1.0055899
1.0065075
0.99385069
0.98867975
0.99804843
1.0184038
0.99301902
1.0177222
1.0051924
1.0187852
1.0098985
1.0097172
1.0145811
0.98721038
1.0361722
1.0105821
0.99469309
0.98626785
1.013871
0.99858924
0.99302637
1.0042186
0.99623745
0.98545708
1.0225435
1.0011861
1.0130321
0.97861347
1.0228193
0.99627435
1.0272779
1.0075172
1.0096762
1.0129306
0.99966549
1.0262882
1.0026914
1.0061475
1.009523
1.0036127
0.99762992
0.99092634
1.0058469
0.99887292
1.0060653
0.98673557
0.98895709
0.99111967
0.990118
0.99788054
0.97054709
1.0099157
1.0107431
0.99518695
1.0114048
0.99376019
1.0023369
0.98783327
1.0051727
1.0100462
0.98607387
1.0000064
0.99692442
1.012225
0.99574078
0.98642833
0.99008207
1.0197359
1.0112849
0.98711069
0.99402748
1.0242141
1.0135349
0.99842505
1.0130714
0.99887044
1.0059058
1.0185998
1.0073314
0.98687706
1.0084551
0.97698964
0.99482714
1.0015302
1.0105331
1.0261767
1.0232822
1.0084176
0.99785167
0.99619733
1.0055223
1.0076326
0.99205461
1.0030587
1.0137012
1.0145878
1.0190297
1.0000681
1.0153894
1.0140649
1.0007236
0.97961463
1.0125257
1.0169503
NaN
1.0221185
];
gp_obs =[
1.0079715
1.0115853
1.0167502
1.0068957
1.0138189
1.0258364
1.0243817
1.017373
1.0020171
1.0003742
1.0008974
1.0104804
1.0116393
1.0114294
0.99932124
0.99461459
1.0170349
1.0051446
1.020639
1.0051964
1.0093042
1.007068
1.01086
NaN
1.0014883
1.0117332
0.9990095
1.0108284
1.0103672
1.0036722
1.0005124
1.0190331
1.0130978
1.007842
1.0285436
1.0322054
1.0213403
1.0246486
1.0419306
1.0258867
1.0156316
0.99818589
0.9894107
1.0127584
1.0146882
1.0136529
1.0340107
1.0343652
1.02971
1.0077932
1.0198114
1.013971
1.0061083
1.0089573
1.0037926
1.0082071
0.99498155
0.99735772
0.98765026
1.006465
1.0196088
1.0053233
1.0119974
1.0188066
1.0029302
1.0183459
1.0034218
1.0158799
0.98824798
1.0274357
1.0168832
1.0180641
1.0294657
0.98864091
1.0358326
0.99889969
1.0178322
0.99813566
1.0073549
1.0215985
1.0084245
1.0080939
1.0157021
1.0075815
1.0032633
1.0117871
1.0209276
1.0077569
0.99680958
1.0120266
1.0017625
1.0138811
1.0198358
1.0059629
1.0115416
1.0319473
1.0167074
1.0116111
1.0048627
1.0217622
1.0125221
1.0142045
0.99792469
0.99823971
0.99561547
0.99850373
0.9898464
1.0030963
1.0051373
1.0004213
1.0144117
0.97185592
0.9959518
1.0073529
1.0051603
0.98642572
0.99433423
1.0112131
1.0007695
1.0176867
1.0134363
0.99926191
0.99879835
0.99878754
1.0331374
1.0077797
1.0127221
1.0047393
1.0074106
0.99784213
1.0056495
1.0057708
0.98817494
0.98742176
0.99930555
1.0000687
1.0129754
1.009529
1.0226731
1.0149534
1.0164295
1.0239469
1.0293458
1.026199
1.0197525
1.0126818
1.0054473
1.0254423
1.0069461
1.0153135
1.0337515
1.0178187
1.0240469
1.0079489
1.0186953
1.0008628
1.0113799
1.0140118
1.0168007
1.011441
0.98422774
0.98909729
1.0157859
1.0151586
0.99756232
0.99497777
1.0102841
1.0221659
0.9937759
0.99877193
1.0079433
0.99667692
1.0095959
1.0128804
1.0156949
1.0111951
1.0228887
1.0122083
1.0190197
1.0074927
1.0268096
0.99689352
0.98948474
1.0024938
1.0105543
1.014116
1.0141217
1.0056504
1.0101026
1.0105069
0.99619053
1.0059439
0.99449473
0.99482458
1.0037702
1.0068087
0.99575975
1.0030815
1.0334014
0.99879386
0.99625634
NaN
0.99233844
];