From 9bea42f41162eb1049ec5be06d64d6898fcd7a5a Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?S=C3=A9bastien=20Villemot?= <sebastien.villemot@ens.fr>
Date: Wed, 6 Jun 2012 17:06:28 +0200
Subject: [PATCH] order=2 in estimation command now triggers particle filter

---
 matlab/dynare_estimation_1.m     |  4 +-
 preprocessor/ComputingTasks.cc   | 22 ++++++++-
 tests/Makefile.am                |  1 +
 tests/fs2000/fs2000_particle.mod | 76 ++++++++++++++++++++++++++++++++
 4 files changed, 98 insertions(+), 5 deletions(-)
 create mode 100644 tests/fs2000/fs2000_particle.mod

diff --git a/matlab/dynare_estimation_1.m b/matlab/dynare_estimation_1.m
index e4e899392..0264a9003 100644
--- a/matlab/dynare_estimation_1.m
+++ b/matlab/dynare_estimation_1.m
@@ -40,9 +40,7 @@ if options_.order > 1
     elseif options_.particle.status && options_.order>2
         error(['Non linear filter are not implemented with order ' int2str(options_.order) ' approximation of the model!'])
     elseif ~options_.particle.status && options_.order==2
-        disp('If you want to estimate the model with a second order approximation using a non linear filter, set options_.particle.status=1;')
-        disp('I set order=1!')
-        options_.order=1;
+        error('For estimating the model with a second order approximation using a non linear filter, one should have options_.particle.status=1;')
     else
         error(['Cannot estimate a model with an order ' int2str(options_.order) ' approximation!'])
     end
diff --git a/preprocessor/ComputingTasks.cc b/preprocessor/ComputingTasks.cc
index a77d0e28c..25823649f 100644
--- a/preprocessor/ComputingTasks.cc
+++ b/preprocessor/ComputingTasks.cc
@@ -276,8 +276,18 @@ EstimationStatement::checkPass(ModFileStructure &mod_file_struct, WarningConsoli
   // Fill in option_order of mod_file_struct
   OptionsList::num_options_t::const_iterator it = options_list.num_options.find("order");
   if (it != options_list.num_options.end())
-    mod_file_struct.order_option = max(mod_file_struct.order_option, atoi(it->second.c_str()));
-
+    {
+      int order = atoi(it->second.c_str());
+          
+      if (order > 2)
+        {
+          cerr << "ERROR: order > 2 is not supported in estimation" << endl;
+          exit(EXIT_FAILURE);
+        }
+      
+      mod_file_struct.order_option = max(mod_file_struct.order_option, order);
+    }
+  
   // Fill in mod_file_struct.partial_information
   it = options_list.num_options.find("partial_information");
   if (it != options_list.num_options.end() && it->second == "1")
@@ -334,6 +344,14 @@ void
 EstimationStatement::writeOutput(ostream &output, const string &basename) const
 {
   options_list.writeOutput(output);
+
+  // Special treatment for order option and particle filter
+  OptionsList::num_options_t::const_iterator it = options_list.num_options.find("order");
+  if (it == options_list.num_options.end())
+    output << "options_.order = 1;" << endl;
+  else if (atoi(it->second.c_str()) == 2)
+    output << "options_.particle.status = 1;" << endl;
+
   symbol_list.writeOutput("var_list_", output);
   output << "dynare_estimation(var_list_);\n";
 }
diff --git a/tests/Makefile.am b/tests/Makefile.am
index ad2110dea..cdd6945c0 100644
--- a/tests/Makefile.am
+++ b/tests/Makefile.am
@@ -65,6 +65,7 @@ MODFILES = \
 	fs2000/fs2000_cmaes.mod \
 	fs2000/fs2000_calib.mod \
 	fs2000/fs2000_analytic_derivation.mod \
+	fs2000/fs2000_particle.mod \
 	homotopy/homotopy1_test.mod \
 	homotopy/homotopy2_test.mod \
 	homotopy/homotopy3_test.mod \
diff --git a/tests/fs2000/fs2000_particle.mod b/tests/fs2000/fs2000_particle.mod
new file mode 100644
index 000000000..ea87fb38d
--- /dev/null
+++ b/tests/fs2000/fs2000_particle.mod
@@ -0,0 +1,76 @@
+// 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;
+
+initval;
+k = 6;
+m = mst;
+P = 2.25;
+c = 0.45;
+e = 1;
+W = 4;
+R = 1.02;
+d = 0.85;
+n = 0.19;
+l = 0.86;
+y = 0.6;
+gy_obs = exp(gam);
+gp_obs = exp(-gam);
+dA = exp(gam);
+end;
+
+shocks;
+var e_a; stderr 0.014;
+var e_m; stderr 0.005;
+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;
+end;
+
+varobs gp_obs gy_obs;
+
+options_.solve_tolf = 1e-12;
+
+/* Not computing the mode because it is very expensive, just running a small MH */
+estimation(order=2,mode_compute=0,datafile=fsdat_simul,nobs=192,loglinear,mh_replic=50);