diff --git a/tests/Makefile.am b/tests/Makefile.am
index b3520b738..0f124062c 100644
--- a/tests/Makefile.am
+++ b/tests/Makefile.am
@@ -150,6 +150,8 @@ MODFILES = \
kalman_filter_smoother/fs2000_1.mod \
kalman_filter_smoother/fs2000_2.mod \
kalman_filter_smoother/fs2000a.mod \
+ kalman_filter_smoother\check_variable_dimensions\fs2000.mod \
+ kalman_filter_smoother\check_variable_dimensions\fs2000_ML.mod \
second_order/burnside_1.mod \
second_order/ds1.mod \
second_order/ds2.mod \
diff --git a/tests/kalman_filter_smoother/check_variable_dimensions/fs2000.mod b/tests/kalman_filter_smoother/check_variable_dimensions/fs2000.mod
new file mode 100644
index 000000000..f13639d24
--- /dev/null
+++ b/tests/kalman_filter_smoother/check_variable_dimensions/fs2000.mod
@@ -0,0 +1,193 @@
+/*
+ * This file replicates the estimation of the cash in advance model described
+ * Frank Schorfheide (2000): "Loss function-based evaluation of DSGE models",
+ * Journal of Applied Econometrics, 15(6), 645-670.
+ *
+ * The data are in file "fsdat_simul.m", and have been artificially generated.
+ * They are therefore different from the original dataset used by Schorfheide.
+ *
+ * The equations are taken from J. Nason and T. Cogley (1994): "Testing the
+ * implications of long-run neutrality for monetary business cycle models",
+ * Journal of Applied Econometrics, 9, S37-S70.
+ * Note that there is an initial minus sign missing in equation (A1), p. S63.
+ *
+ * This implementation was written by Michel Juillard. Please note that the
+ * following copyright notice only applies to this Dynare implementation of the
+ * model.
+ */
+
+/*
+ * Copyright (C) 2004-2010 Dynare Team
+ *
+ * This file is part of Dynare.
+ *
+ * Dynare is free software: you can redistribute it and/or modify
+ * it under the terms of the GNU General Public License as published by
+ * the Free Software Foundation, either version 3 of the License, or
+ * (at your option) any later version.
+ *
+ * Dynare is distributed in the hope that it will be useful,
+ * but WITHOUT ANY WARRANTY; without even the implied warranty of
+ * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
+ * GNU General Public License for more details.
+ *
+ * You should have received a copy of the GNU General Public License
+ * along with Dynare. If not, see .
+ */
+
+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;
+
+shocks;
+var e_a; stderr 0.014;
+var e_m; stderr 0.005;
+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;
+
+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;
+stderr gp_obs, inv_gamma_pdf, 0.001, inf;
+end;
+
+varobs gp_obs gy_obs;
+
+estimation(order=1,datafile='../fsdat_simul', nobs=192, loglinear, mh_replic=2000, mh_nblocks=1, mh_jscale=0.8,forecast=8,smoother,filtered_vars,filter_step_ahead=[1:2],filter_decomposition) m P c e W R k d y gy_obs;
+
+if size(oo_.PointForecast.deciles.gy_obs,1)~=9
+ error('Number of deciles must be 9')
+end
+
+if size(oo_.PointForecast.deciles.gy_obs,2)~=options_.forecast || ...
+ size(oo_.PointForecast.Mean.gy_obs,1)~=options_.forecast || ...
+ size(oo_.PointForecast.Median.gy_obs,1)~=options_.forecast || ...
+ size(oo_.PointForecast.Var.gy_obs,1)~=options_.forecast || ...
+ size(oo_.PointForecast.HPDinf.gy_obs,1)~=options_.forecast || ...
+ size(oo_.PointForecast.HPDsup.gy_obs,1)~=options_.forecast || ...
+ size(oo_.MeanForecast.deciles.gy_obs,2)~=options_.forecast || ...
+ size(oo_.MeanForecast.Mean.gy_obs,1)~=options_.forecast || ...
+ size(oo_.MeanForecast.Median.gy_obs,1)~=options_.forecast || ...
+ size(oo_.MeanForecast.Var.gy_obs,1)~=options_.forecast || ...
+ size(oo_.MeanForecast.HPDinf.gy_obs,1)~=options_.forecast || ...
+ size(oo_.MeanForecast.HPDsup.gy_obs,1)~=options_.forecast
+ error('Forecasts have the wrong length')
+end
+
+if size(oo_.UpdatedVariables.deciles.gy_obs,2)~=options_.nobs || ...
+ size(oo_.UpdatedVariables.Mean.gy_obs,1)~=options_.nobs || ...
+ size(oo_.UpdatedVariables.Median.gy_obs,1)~=options_.nobs || ...
+ size(oo_.UpdatedVariables.Var.gy_obs,1)~=options_.nobs || ...
+ size(oo_.UpdatedVariables.HPDinf.gy_obs,1)~=options_.nobs || ...
+ size(oo_.UpdatedVariables.HPDsup.gy_obs,1)~=options_.nobs
+ error('Updated Variables have the wrong length')
+end
+
+if size(oo_.Filtered_Variables_1_step_ahead.deciles.gy_obs,2)~=options_.nobs || ...
+ size(oo_.Filtered_Variables_1_step_ahead.Mean.gy_obs,1)~=options_.nobs || ...
+ size(oo_.Filtered_Variables_1_step_ahead.Median.gy_obs,1)~=options_.nobs || ...
+ size(oo_.Filtered_Variables_1_step_ahead.Var.gy_obs,1)~=options_.nobs || ...
+ size(oo_.Filtered_Variables_1_step_ahead.HPDinf.gy_obs,1)~=options_.nobs || ...
+ size(oo_.Filtered_Variables_1_step_ahead.HPDsup.gy_obs,1)~=options_.nobs
+ error('Filtered_Variables_1_step_ahead have the wrong length')
+end
+
+
+if size(oo_.SmoothedVariables.deciles.gy_obs,2)~=options_.nobs || ...
+ size(oo_.SmoothedVariables.Mean.gy_obs,1)~=options_.nobs || ...
+ size(oo_.SmoothedVariables.Median.gy_obs,1)~=options_.nobs || ...
+ size(oo_.SmoothedVariables.Var.gy_obs,1)~=options_.nobs || ...
+ size(oo_.SmoothedVariables.HPDinf.gy_obs,1)~=options_.nobs || ...
+ size(oo_.SmoothedVariables.HPDsup.gy_obs,1)~=options_.nobs
+ error('Smoothed Variables have the wrong length')
+end
+
+if size(oo_.SmoothedShocks.deciles.e_a,2)~=options_.nobs || ...
+ size(oo_.SmoothedShocks.Mean.e_a,1)~=options_.nobs || ...
+ size(oo_.SmoothedShocks.Median.e_a,1)~=options_.nobs || ...
+ size(oo_.SmoothedShocks.Var.e_a,1)~=options_.nobs || ...
+ size(oo_.SmoothedShocks.HPDinf.e_a,1)~=options_.nobs || ...
+ size(oo_.SmoothedShocks.HPDsup.e_a,1)~=options_.nobs
+ error('Smoothed Shocks have the wrong length')
+end
+
+if size(oo_.FilteredVariables.deciles.gy_obs,2)~=options_.nobs || ...
+ size(oo_.FilteredVariables.Mean.gy_obs,1)~=options_.nobs || ...
+ size(oo_.FilteredVariables.Median.gy_obs,1)~=options_.nobs || ...
+ size(oo_.FilteredVariables.Var.gy_obs,1)~=options_.nobs || ...
+ size(oo_.FilteredVariables.HPDinf.gy_obs,1)~=options_.nobs || ...
+ size(oo_.FilteredVariables.HPDsup.gy_obs,1)~=options_.nobs
+ error('Filtered Variables have the wrong length')
+end
+
+if size(oo_.SmoothedMeasurementErrors.deciles.SE_EOBS_gp_obs,2)~=options_.nobs || ...
+ size(oo_.SmoothedMeasurementErrors.Mean.SE_EOBS_gp_obs,1)~=options_.nobs || ...
+ size(oo_.SmoothedMeasurementErrors.Median.SE_EOBS_gp_obs,1)~=options_.nobs || ...
+ size(oo_.SmoothedMeasurementErrors.Var.SE_EOBS_gp_obs,1)~=options_.nobs || ...
+ size(oo_.SmoothedMeasurementErrors.HPDinf.SE_EOBS_gp_obs,1)~=options_.nobs || ...
+ size(oo_.SmoothedMeasurementErrors.HPDsup.SE_EOBS_gp_obs,1)~=options_.nobs
+ error('SmoothedMeasurementErrors have the wrong length')
+end
+
diff --git a/tests/kalman_filter_smoother/check_variable_dimensions/fs2000_ML.mod b/tests/kalman_filter_smoother/check_variable_dimensions/fs2000_ML.mod
new file mode 100644
index 000000000..6b396682c
--- /dev/null
+++ b/tests/kalman_filter_smoother/check_variable_dimensions/fs2000_ML.mod
@@ -0,0 +1,161 @@
+/*
+ * This file replicates the estimation of the cash in advance model described
+ * Frank Schorfheide (2000): "Loss function-based evaluation of DSGE models",
+ * Journal of Applied Econometrics, 15(6), 645-670.
+ *
+ * The data are in file "fsdat_simul.m", and have been artificially generated.
+ * They are therefore different from the original dataset used by Schorfheide.
+ *
+ * The equations are taken from J. Nason and T. Cogley (1994): "Testing the
+ * implications of long-run neutrality for monetary business cycle models",
+ * Journal of Applied Econometrics, 9, S37-S70.
+ * Note that there is an initial minus sign missing in equation (A1), p. S63.
+ *
+ * This implementation was written by Michel Juillard. Please note that the
+ * following copyright notice only applies to this Dynare implementation of the
+ * model.
+ */
+
+/*
+ * Copyright (C) 2004-2010 Dynare Team
+ *
+ * This file is part of Dynare.
+ *
+ * Dynare is free software: you can redistribute it and/or modify
+ * it under the terms of the GNU General Public License as published by
+ * the Free Software Foundation, either version 3 of the License, or
+ * (at your option) any later version.
+ *
+ * Dynare is distributed in the hope that it will be useful,
+ * but WITHOUT ANY WARRANTY; without even the implied warranty of
+ * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
+ * GNU General Public License for more details.
+ *
+ * You should have received a copy of the GNU General Public License
+ * along with Dynare. If not, see .
+ */
+
+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 theta;
+
+alp = 0.33;
+bet = 0.99;
+gam = 0.003;
+mst = 1.011;
+rho = 0.7;
+psi = 0.787;
+del = 0.02;
+theta=0;
+
+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;
+
+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;
+end;
+
+varobs gp_obs gy_obs;
+
+steady;
+check;
+
+estimated_params;
+alp, 0.356;
+gam, 0.0085;
+mst, 1.0002;
+rho, 0.129;
+psi, 0.65;
+del, 0.02;
+stderr e_a, 0.035449;
+stderr e_m, 0.008862;
+corr e_m, e_a, 0;
+stderr gp_obs, 0.01;
+end;
+options_.prior_trunc=0;
+estimation(order=1,datafile='../fsdat_simul', nobs=192, loglinear, forecast=8,smoother,filtered_vars,filter_step_ahead=[1,2,4],filter_decomposition,selected_variables_only) m P c e W R k d y gy_obs;
+
+
+if size(oo_.FilteredVariablesKStepAhead,3)~=(options_.nobs+max(options_.filter_step_ahead)) || ...
+ size(oo_.FilteredVariablesKStepAhead,1)~=(length(options_.filter_step_ahead))
+ error('FilteredVariablesKStepAhead has the wrong length')
+end
+
+if size(oo_.FilteredVariablesKStepAheadVariances,4)~=(options_.nobs+max(options_.filter_step_ahead)) || ...
+ size(oo_.FilteredVariablesKStepAheadVariances,1)~=(length(options_.filter_step_ahead))
+ error('FilteredVariablesKStepAhead has the wrong length')
+end
+
+if size(oo_.FilteredVariablesShockDecomposition,4)~=(options_.nobs+max(options_.filter_step_ahead)) || ...
+ size(oo_.FilteredVariablesShockDecomposition,1)~=(length(options_.filter_step_ahead))
+ error('FilteredVariablesShockDecomposition has the wrong length')
+end
+
+if size(oo_.SmoothedVariables.gy_obs,1)~=options_.nobs
+ error('SmoothedVariables has the wrong length')
+end
+
+if size(oo_.FilteredVariables.gy_obs,1)~=options_.nobs
+ error('FilteredVariables has the wrong length')
+end
+
+if size(oo_.UpdatedVariables.gy_obs,1)~=options_.nobs
+ error('UpdatedVariables has the wrong length')
+end
+
+if size(oo_.SmoothedShocks.e_a,1)~=options_.nobs
+ error('SmoothedShocks has the wrong length')
+end
+
+if size(oo_.SmoothedMeasurementErrors.gy_obs,1)~=options_.nobs
+ error('SmoothedShocks has the wrong length')
+end
+
+if size(oo_.forecast.Mean.gy_obs,1)~=options_.forecast || ...
+ size(oo_.forecast.HPDinf.gy_obs,1)~=options_.forecast || ...
+ size(oo_.forecast.HPDsup.gy_obs,1)~=options_.forecast
+ error('Forecasts have the wrong length')
+end