From 788e05b2fd3be4d5b491d5ee94166eb4bb566566 Mon Sep 17 00:00:00 2001
From: Johannes Pfeifer <jpfeifer@gmx.de>
Date: Tue, 16 Feb 2021 11:25:46 +0100
Subject: [PATCH 1/2] smoother2histval: add test case for correctness

---
 tests/Makefile.am                           |   1 +
 tests/smoother2histval/fs2000_smooth_ML.mod | 101 ++++++++++++++++++++
 2 files changed, 102 insertions(+)
 create mode 100644 tests/smoother2histval/fs2000_smooth_ML.mod

diff --git a/tests/Makefile.am b/tests/Makefile.am
index d58019f05..76cc3bd02 100644
--- a/tests/Makefile.am
+++ b/tests/Makefile.am
@@ -385,6 +385,7 @@ MODFILES = \
 	smoother2histval/fs2000_simul.mod \
 	smoother2histval/fs2000_smooth.mod \
 	smoother2histval/fs2000_smooth_stoch_simul.mod \
+	smoother2histval/fs2000_smooth_ML.mod \
 	optimizers/fs2000_1.mod \
 	optimizers/fs2000_2.mod \
 	optimizers/fs2000_3.mod \
diff --git a/tests/smoother2histval/fs2000_smooth_ML.mod b/tests/smoother2histval/fs2000_smooth_ML.mod
new file mode 100644
index 000000000..790aab1a7
--- /dev/null
+++ b/tests/smoother2histval/fs2000_smooth_ML.mod
@@ -0,0 +1,101 @@
+// Test that smoother2histval works (with an outfile)
+// Note that an observation equation has been modified in order to have an aux var for lagged endo
+
+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(-1)));
+gy_obs = dA*y/y(-2);
+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;
+
+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;
+
+estimation(order=1,datafile=fsdat_simul,mh_replic=0,mh_nblocks=1,mh_jscale=0.8,smoother,consider_all_endogenous,forecast=5);
+
+forecast_estimation=oo_.forecast;
+smoother2histval;
+
+forecast;
+forecast_smoother2histval=oo_.forecast;
+
+[forecast_smoother,info] = dyn_forecast(var_list_,M_,options_,oo_,'smoother');
+
+if max(abs(struct2array(forecast_estimation.Mean)-struct2array(forecast_smoother2histval.Mean)))>1e-6
+    error('Forecasts do not match')
+end
+
+if max(abs(struct2array(forecast_estimation.Mean)-struct2array(forecast_smoother.Mean)))>1e-6
+    error('Forecasts do not match')
+end
\ No newline at end of file

From 99c7d88c53fb370fe29f49069db7bac4a10ba095 Mon Sep 17 00:00:00 2001
From: Johannes Pfeifer <jpfeifer@gmx.de>
Date: Tue, 16 Feb 2021 11:26:35 +0100
Subject: [PATCH 2/2] dyn_forecast.m: set first_obs and allow for Bayesian
 smoother input

---
 matlab/dyn_forecast.m | 16 ++++++++++++----
 1 file changed, 12 insertions(+), 4 deletions(-)

diff --git a/matlab/dyn_forecast.m b/matlab/dyn_forecast.m
index f152c879f..7fa230ff4 100644
--- a/matlab/dyn_forecast.m
+++ b/matlab/dyn_forecast.m
@@ -87,7 +87,16 @@ switch task
     end
   case 'smoother'
     horizon = options.forecast;
-    y_smoothed = oo.SmoothedVariables;
+    if isnan(options.first_obs)
+        first_obs=1;
+    else
+        first_obs=options.first_obs;
+    end
+    if isfield(oo.SmoothedVariables,'Mean')
+        y_smoothed = oo.SmoothedVariables.Mean;
+    else
+        y_smoothed = oo.SmoothedVariables;
+    end
     y0 = zeros(M.endo_nbr,maximum_lag);
     for i = 1:M.endo_nbr
         v_name = M.endo_names{i};
@@ -110,7 +119,6 @@ switch task
     if isfield(oo.Smoother,'TrendCoeffs')
         var_obs = options.varobs;
         endo_names = M.endo_names;
-        order_var = oo.dr.order_var;
         i_var_obs = [];
         trend_coeffs = [];
         for i=1:length(var_obs)
@@ -122,9 +130,9 @@ switch task
             end
         end
         if ~isempty(trend_coeffs)
-            trend = trend_coeffs*(options.first_obs+gend-1+(1-M.maximum_lag:horizon));
+            trend = trend_coeffs*(first_obs+gend-1+(1-M.maximum_lag:horizon));
             if options.prefilter
-                trend = trend - repmat(mean(trend_coeffs*[options.first_obs:options.first_obs+gend-1],2),1,horizon+1); %subtract mean trend
+                trend = trend - repmat(mean(trend_coeffs*[first_obs:first_obs+gend-1],2),1,horizon+1); %subtract mean trend
             end
         end
     else