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Add fast Kalman filter to stationary unit tests

time-shift
Johannes Pfeifer 2016-06-16 22:03:34 +02:00 committed by Stéphane Adjemian (Hermes)
parent 20e5d76d54
commit 960aeb0d8d
2 changed files with 30 additions and 5 deletions
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25
tests/kalman/likelihood_from_dynare/fs2000_estimation_check.inc
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@ -34,18 +34,35 @@ SmoothedMeasurementErrors(:,:,4)=cell2mat(struct2cell(oo_.SmoothedMeasurementErr
SmoothedShocks(:,:,4)=cell2mat(struct2cell(oo_.SmoothedShocks));
SmoothedVariables(:,:,4)=cell2mat(struct2cell(oo_.SmoothedVariables));
if max(max(abs(SmoothedMeasurementErrors-repmat(SmoothedMeasurementErrors(:,:,1),1,1,4))))>1e-8
%%Multivariate Fast Kalman Filter
options_.lik_init=1;
estimation(kalman_algo=1,fast_kalman_filter,mode_file=@{mode_file_name},mode_compute=0,order=1,datafile=@{data_file_name},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_5=oo_.likelihood_at_initial_parameters;
SmoothedMeasurementErrors(:,:,5)=cell2mat(struct2cell(oo_.SmoothedMeasurementErrors));
SmoothedShocks(:,:,5)=cell2mat(struct2cell(oo_.SmoothedShocks));
SmoothedVariables(:,:,5)=cell2mat(struct2cell(oo_.SmoothedVariables));
%%Multivariate Fast Kalman Filter
options_.lik_init=1;
estimation(kalman_algo=3,fast_kalman_filter,mode_file=@{mode_file_name},mode_compute=0,order=1,datafile=@{data_file_name},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_6=oo_.likelihood_at_initial_parameters;
SmoothedMeasurementErrors(:,:,6)=cell2mat(struct2cell(oo_.SmoothedMeasurementErrors));
SmoothedShocks(:,:,6)=cell2mat(struct2cell(oo_.SmoothedShocks));
SmoothedVariables(:,:,6)=cell2mat(struct2cell(oo_.SmoothedVariables));
if max(max(abs(SmoothedMeasurementErrors-repmat(SmoothedMeasurementErrors(:,:,1),1,1,6))))>1e-8
error('SmoothedMeasurementErrors do not match')
end
if max(max(abs(SmoothedShocks-repmat(SmoothedShocks(:,:,1),1,1,4))))>1e-8
if max(max(abs(SmoothedShocks-repmat(SmoothedShocks(:,:,1),1,1,6))))>1e-8
error('SmoothedShocks do not match')
end
if max(max(abs(SmoothedVariables-repmat(SmoothedVariables(:,:,1),1,1,4))))>1e-8
if max(max(abs(SmoothedVariables-repmat(SmoothedVariables(:,:,1),1,1,6))))>1e-8
error('SmoothedVariables do not match')
end
if max(abs([fval_algo_2,fval_algo_3,fval_algo_4]-fval_algo_1))>1e-6
if max(abs([fval_algo_2,fval_algo_3,fval_algo_4,fval_algo_5,fval_algo_6]-fval_algo_1))>1e-6
error('Likelihoods do not match')
end

10
tests/kalman/likelihood_from_dynare/fs2000_uncorr_ME_missing.mod
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@ -15,4 +15,12 @@ end;
@#define mode_file_name="fs2000_uncorr_ME_missing_mode"
@#define data_file_name="fsdat_simul_uncorr_ME_missing"
@#include "fs2000_estimation_check.inc"
@#include "fs2000_estimation_check.inc"
%%Multivariate Kalman Filter
options_.lik_init=1;
estimation(kalman_algo=1,fast_kalman_filter,mode_file=@{mode_file_name},mode_compute=0,order=1,datafile=@{data_file_name},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_5=oo_.likelihood_at_initial_parameters;
SmoothedMeasurementErrors(:,:,1)=cell2mat(struct2cell(oo_.SmoothedMeasurementErrors));
SmoothedShocks(:,:,1)=cell2mat(struct2cell(oo_.SmoothedShocks));
SmoothedVariables(:,:,1)=cell2mat(struct2cell(oo_.SmoothedVariables));