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Fixed encondig in the integration test added in 45864f414f.

time-shift
Stéphane Adjemian (Scylla) 2017-07-24 10:53:14 +02:00
parent d78be7fdf0
commit 9203f9e52f
2 changed files with 199 additions and 202 deletions
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73
tests/filter_step_ahead/trend_cycle_decomposition.mod
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@ -1,38 +1,35 @@
var y yp z mu;
varexo ez eyp emu;
parameters alpha;
alpha = .889;
model(linear);
y = yp + z;
yp = mu + yp(-1) + eyp;
mu = mu(-1) + emu;
z = alpha*z(-1) + ez;
end;
initval;
y=8.655680;
z=0;
yp=8.655680;
mu=0;
end;
steady(nocheck);
//resid(1);
//options_.steadystate.nocheck;
estimated_params;
stderr emu , inv_gamma_pdf, 0.002 , inf;
stderr eyp , inv_gamma_pdf, 0.002 , inf;
stderr ez , inv_gamma_pdf, 0.06 , inf;
alpha, normal_pdf, 0.9, 0.1;
end;
varobs y;
estimation(datafile=data_i,nobs=82, mh_replic=2000, mode_compute=4, mh_nblocks=2, mh_jscale=0.3, filtered_vars, smoother, diffuse_filter) yp z;
var y yp z mu;
varexo ez eyp emu;
parameters alpha;
alpha = .889;
model(linear);
y = yp + z;
yp = mu + yp(-1) + eyp;
mu = mu(-1) + emu;
z = alpha*z(-1) + ez;
end;
initval;
y=8.655680;
z=0;
yp=8.655680;
mu=0;
end;
steady(nocheck);
estimated_params;
stderr emu , inv_gamma_pdf, 0.002 , inf;
stderr eyp , inv_gamma_pdf, 0.002 , inf;
stderr ez , inv_gamma_pdf, 0.06 , inf;
alpha, normal_pdf, 0.9, 0.1;
end;
varobs y;
estimation(datafile=data_i,nobs=82, mh_replic=2000, mode_compute=4, mh_nblocks=2, mh_jscale=0.3, filtered_vars, smoother, diffuse_filter) yp z;

328
tests/filter_step_ahead/trend_cycle_decomposition_data.m
View File

@ -1,164 +1,164 @@
y=[8.655680
8.656123
8.654401
8.641229
8.630567
8.620637
8.605288
8.608660
8.620357
8.619683
8.630202
8.636380
8.614226
8.605106
8.537263
8.555079
8.591242
8.626651
8.645062
8.671851
8.704031
8.723127
8.737705
8.750433
8.758621
8.772876
8.790050
8.794088
8.798091
8.816624
8.836301
8.852974
8.872307
8.887314
8.902466
8.924601
8.944691
8.960662
8.973784
8.984161
9.000123
9.019129
9.035000
9.054575
9.075913
9.094302
9.114171
9.135554
9.157538
9.176307
9.193220
9.220434
9.246620
9.257001
9.243476
9.202275
9.160007
9.147657
9.157229
9.171294
9.189745
9.198273
9.201042
9.214450
9.225220
9.233702
9.247974
9.262110
9.272097
9.275883
9.277719
9.278357
9.282812
9.289376
9.290788
9.292530
9.295274
9.297219
9.297555
9.290289
9.271941
9.255655];
ipc=[23.5993149
24.9374227
15.5668177
12.822998
8.720567
5.2893706
3.4198277
3.274742
3.664711
3.0744047
2.0693272
1.704983
1.3786582
1.3437517
2.6167173
4.7126735
6.3341827
7.3020707
6.5659735
4.3717219
3.4512364
4.7505574
5.6671666
5.6241466
5.5933745
4.7565382
3.7032831
3.6624086
3.8250059
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3.3568247
3.7965188
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2.7513284
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2.2870368
2.0836978
2.6555146
3.3263235
3.3905589
3.2762151
2.8684465
2.1706005
2.3531933
2.5136208
2.3339758
2.0782414
1.8397957
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2.3651145
3.4129652
3.8212567
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3.6723844
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2.9099557
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1.5138311
1.191679
1.286452
1.8904928
2.4851907
2.7408867
2.2572768
1.3839678
0.813925
0.88364
1.2723562
2.0426676
2.4161978
1.5967846
0.9763814
1.6120089
2.0962214
1.6427865
1.5391928
2.0537506
3.1496297
4.34142
4.3532191
2.2026746];
y=[8.655680
8.656123
8.654401
8.641229
8.630567
8.620637
8.605288
8.608660
8.620357
8.619683
8.630202
8.636380
8.614226
8.605106
8.537263
8.555079
8.591242
8.626651
8.645062
8.671851
8.704031
8.723127
8.737705
8.750433
8.758621
8.772876
8.790050
8.794088
8.798091
8.816624
8.836301
8.852974
8.872307
8.887314
8.902466
8.924601
8.944691
8.960662
8.973784
8.984161
9.000123
9.019129
9.035000
9.054575
9.075913
9.094302
9.114171
9.135554
9.157538
9.176307
9.193220
9.220434
9.246620
9.257001
9.243476
9.202275
9.160007
9.147657
9.157229
9.171294
9.189745
9.198273
9.201042
9.214450
9.225220
9.233702
9.247974
9.262110
9.272097
9.275883
9.277719
9.278357
9.282812
9.289376
9.290788
9.292530
9.295274
9.297219
9.297555
9.290289
9.271941
9.255655];
ipc=[23.5993149
24.9374227
15.5668177
12.822998
8.720567
5.2893706
3.4198277
3.274742
3.664711
3.0744047
2.0693272
1.704983
1.3786582
1.3437517
2.6167173
4.7126735
6.3341827
7.3020707
6.5659735
4.3717219
3.4512364
4.7505574
5.6671666
5.6241466
5.5933745
4.7565382
3.7032831
3.6624086
3.8250059
3.2723449
3.3568247
3.7965188
3.5401286
2.7513284
2.5482882
2.2870368
2.0836978
2.6555146
3.3263235
3.3905589
3.2762151
2.8684465
2.1706005
2.3531933
2.5136208
2.3339758
2.0782414
1.8397957
1.7220838
2.3651145
3.4129652
3.8212567
3.9356373
3.6723844
3.11287
2.9099557
3.1280929
2.5837809
1.5138311
1.191679
1.286452
1.8904928
2.4851907
2.7408867
2.2572768
1.3839678
0.813925
0.88364
1.2723562
2.0426676
2.4161978
1.5967846
0.9763814
1.6120089
2.0962214
1.6427865
1.5391928
2.0537506
3.1496297
4.34142
4.3532191
2.2026746];