From 76c4df129c05ba4746ef08ef22500f795af0006d Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?St=C3=A9phane=20Adjemian=28Charybdis=29?=
 <stepan@adjemian.io>
Date: Thu, 27 Sep 2018 18:56:41 +0200
Subject: [PATCH] Added integration tests.

---
 tests/Makefile.am                            |  2 +
 tests/conditional_forecasts/6/fs2000_cal.mod | 82 ++++++++++++++++++++
 2 files changed, 84 insertions(+)
 create mode 100644 tests/conditional_forecasts/6/fs2000_cal.mod

diff --git a/tests/Makefile.am b/tests/Makefile.am
index 6cfc204eb..255c748d0 100644
--- a/tests/Makefile.am
+++ b/tests/Makefile.am
@@ -188,10 +188,12 @@ MODFILES = \
 	simul/simul_ZLB_purely_forward_no_solution.mod \
 	simul/Irreversible_investment.mod \
 	simul/linear_state_space_arma.mod \
+	conditional_forecasts/1/fs2000_cal.mod \
 	conditional_forecasts/2/fs2000_est.mod \
 	conditional_forecasts/3/fs2000_conditional_forecast_initval.mod \
 	conditional_forecasts/4/fs2000_conditional_forecast_histval.mod \
 	conditional_forecasts/5/fs2000_cal.mod \
+	conditional_forecasts/6/fs2000_cal.mod \
 	recursive/ls2003.mod \
 	recursive/ls2003_bayesian.mod \
 	recursive/ls2003_bayesian_xls.mod \
diff --git a/tests/conditional_forecasts/6/fs2000_cal.mod b/tests/conditional_forecasts/6/fs2000_cal.mod
new file mode 100644
index 000000000..9dd610a74
--- /dev/null
+++ b/tests/conditional_forecasts/6/fs2000_cal.mod
@@ -0,0 +1,82 @@
+// 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;
+
+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;
+
+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;
+
+steady;
+
+check;
+
+stoch_simul(irf=0);
+
+conditional_forecast_paths;
+var gy_obs;
+periods  1  2  3:5;
+values   0.01 -0.02 0;
+var gp_obs;
+periods 1:7;
+values  0.05;
+end;
+
+conditional_forecast(parameter_set=calibration, controlled_varexo=(e_a,e_m));
+
+plot_conditional_forecast(periods=10) gy_obs gp_obs;
+