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Add correctness check for Kalman filter unit tests

time-shift
Johannes Pfeifer 2016-06-15 08:47:20 +02:00 committed by Stéphane Adjemian (Hermes)
parent 077b725a52
commit 915b437efc
4 changed files with 16 additions and 0 deletions
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4
tests/kalman/likelihood_from_dynare/fs2000_corr_ME.mod
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@ -135,3 +135,7 @@ fval_algo_2=oo_.likelihood_at_initial_parameters;
options_.lik_init=1;
estimation(kalman_algo=4,mode_file=fs2000_corr_ME_mode,mode_compute=0,datafile='../../fs2000/fsdat_simul',smoother,filter_decomposition,forecast = 8,filtered_vars,filter_step_ahead=[1,3],irf=20) m P c e W R k d y gy_obs;
fval_algo_4=oo_.likelihood_at_initial_parameters;
if max(abs([fval_algo_2,fval_algo_3,fval_algo_4]-fval_algo_1))>1e-6
error('Likelihoods do not match')
end

4
tests/kalman/likelihood_from_dynare/fs2000_corr_ME_missing.mod
View File

@ -135,3 +135,7 @@ fval_algo_2=oo_.likelihood_at_initial_parameters;
options_.lik_init=1;
estimation(kalman_algo=4,mode_file=fs2000_corr_ME_missing_mode,mode_compute=0,order=1,datafile=fsdat_simul_corr_ME_missing,smoother,filter_decomposition,forecast = 8,filtered_vars,filter_step_ahead=[1,3],irf=20) m P c e W R k d y gy_obs;
fval_algo_4=oo_.likelihood_at_initial_parameters;
if max(abs([fval_algo_2,fval_algo_3,fval_algo_4]-fval_algo_1))>1e-6
error('Likelihoods do not match')
end

4
tests/kalman/likelihood_from_dynare/fs2000_uncorr_ME.mod
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@ -149,3 +149,7 @@ fval_algo_2=oo_.likelihood_at_initial_parameters;
options_.lik_init=1;
estimation(kalman_algo=4,mode_file=fs2000_uncorr_ME_mode,mode_compute=0,order=1,datafile=fsdat_simul_uncorr_ME,smoother,filter_decomposition,forecast = 8,filtered_vars,filter_step_ahead=[1,3],irf=20) m P c e W R k d y gy_obs;
fval_algo_4=oo_.likelihood_at_initial_parameters;
if max(abs([fval_algo_2,fval_algo_3,fval_algo_4]-fval_algo_1))>1e-6
error('Likelihoods do not match')
end

4
tests/kalman/likelihood_from_dynare/fs2000_uncorr_ME_missing.mod
View File

@ -132,3 +132,7 @@ fval_algo_2=oo_.likelihood_at_initial_parameters;
options_.lik_init=1;
estimation(kalman_algo=4,mode_file=fs2000_uncorr_ME_missing_mode,mode_compute=0,order=1,datafile=fsdat_simul_uncorr_ME_missing,smoother,filter_decomposition,forecast = 8,filtered_vars,filter_step_ahead=[1,3],irf=20) m P c e W R k d y gy_obs;
fval_algo_4=oo_.likelihood_at_initial_parameters;
if max(abs([fval_algo_2,fval_algo_3,fval_algo_4]-fval_algo_1))>1e-6
error('Likelihoods do not match')
end