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Add proper measurement error to Kalman filter test files

time-shift
Johannes Pfeifer 2016-06-14 18:00:35 +02:00 committed by Stéphane Adjemian (Hermes)
parent ed22b6c4f8
commit b201ca4e4b
5 changed files with 1224 additions and 1217 deletions
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18
tests/kalman/likelihood_from_dynare/fs2000_uncorr_ME.mod
View File

@ -98,8 +98,22 @@ end;
steady;
//stoch_simul(periods=200, order=1);
//datatomfile('fsdat_simul_uncorr_ME', char('gy_obs', 'gp_obs'));
// stoch_simul(periods=200, order=1,irf=0);
// temp=oo_.endo_simul;
// %add measurement error
// oo_.endo_simul(strmatch('gy_obs',M_.endo_names,'exact'),:)=oo_.endo_simul(strmatch('gy_obs',M_.endo_names,'exact'),:)+0.05*randn(1,size(oo_.endo_simul,2));
// oo_.endo_simul(strmatch('gp_obs',M_.endo_names,'exact'),:)=oo_.endo_simul(strmatch('gp_obs',M_.endo_names,'exact'),:)+0.05*randn(1,size(oo_.endo_simul,2));
// datatomfile('fsdat_simul_uncorr_ME', char('gy_obs', 'gp_obs'));
// oo_.endo_simul(strmatch('gy_obs',M_.endo_names,'exact'),[7,199])=NaN;
// oo_.endo_simul(strmatch('gp_obs',M_.endo_names,'exact'),[151,199])=NaN;
// datatomfile('fsdat_simul_uncorr_ME_missing', char('gy_obs', 'gp_obs'));
// shock_mat=chol([1 0.5; 0.5 1])*0.05*randn(2,size(oo_.endo_simul,2));
// oo_.endo_simul(strmatch('gy_obs',M_.endo_names,'exact'),:)=oo_.endo_simul(strmatch('gy_obs',M_.endo_names,'exact'),:)+shock_mat(1,:);
// oo_.endo_simul(strmatch('gp_obs',M_.endo_names,'exact'),:)=oo_.endo_simul(strmatch('gp_obs',M_.endo_names,'exact'),:)+shock_mat(2,:);
// oo_.endo_simul(strmatch('gy_obs',M_.endo_names,'exact'),[7,199])=NaN;
// oo_.endo_simul(strmatch('gp_obs',M_.endo_names,'exact'),[151,199])=NaN;
// datatomfile('fsdat_simul_corr_ME_missing', char('gy_obs', 'gp_obs'));
estimated_params;
alp, 0.356;

3
tests/kalman/likelihood_from_dynare/fs2000_uncorr_ME_missing.mod
View File

@ -98,9 +98,6 @@ end;
steady;
//stoch_simul(periods=200, order=1);
//datatomfile('fsdat_simul_uncorr_ME', char('gy_obs', 'gp_obs'));
estimated_params;
alp, 0.356;
gam, 0.0085;

816
tests/kalman/likelihood_from_dynare/fsdat_simul_corr_ME_missing.m
View File

@ -1,416 +1,408 @@
% Generated data, used by fs2000.mod
gy_obs =[
1.0030045
1.0002599
0.99104664
1.0321162
1.0223545
1.0043614
NaN
1.0092127
1.0357197
1.0150827
1.0051548
0.98465775
0.99132132
0.99904153
1.0044641
1.0179198
1.0113462
0.99409421
0.99904293
1.0448336
0.99932433
1.0057004
0.99619787
1.0267504
1.0077645
1.0058026
1.0025891
0.9939097
0.99604693
0.99908569
1.0151094
0.99348134
1.0039124
1.0145805
0.99800868
0.98578138
1.0065771
0.99843919
0.97979062
0.98413351
0.96468174
1.0273857
1.0225211
0.99958667
1.0111157
1.0099585
0.99480311
1.0079265
0.98924573
1.0070613
1.0075706
0.9937151
1.0224711
1.0018891
0.99051863
1.0042944
1.0184055
0.99419508
0.99756624
1.0015983
0.9845772
1.0004407
1.0116237
0.9861885
1.0073094
0.99273355
1.0013224
0.99777979
1.0301686
0.96809556
0.99917088
0.99949253
0.96590004
1.0083938
0.96662298
1.0221454
1.0069792
1.0343996
1.0066531
1.0072525
0.99743563
0.99723703
1.000372
0.99013917
1.0095223
0.98864268
0.98092242
0.98886488
1.0030341
1.01894
0.99155059
0.99533235
0.99734316
1.0047356
1.0082737
0.98425116
0.99949212
1.0055899
1.0065075
0.99385069
0.98867975
0.99804843
1.0184038
0.99301902
1.0177222
1.0051924
1.0187852
1.0098985
1.0097172
1.0145811
0.98721038
1.0361722
1.0105821
0.99469309
0.98626785
1.013871
0.99858924
0.99302637
1.0042186
0.99623745
0.98545708
1.0225435
1.0011861
1.0130321
0.97861347
1.0228193
0.99627435
1.0272779
1.0075172
1.0096762
1.0129306
0.99966549
1.0262882
1.0026914
1.0061475
1.009523
1.0036127
0.99762992
0.99092634
1.0058469
0.99887292
1.0060653
0.98673557
0.98895709
0.99111967
0.990118
0.99788054
0.97054709
1.0099157
1.0107431
0.99518695
1.0114048
0.99376019
1.0023369
0.98783327
1.0051727
1.0100462
0.98607387
1.0000064
0.99692442
1.012225
0.99574078
0.98642833
0.99008207
1.0197359
1.0112849
0.98711069
0.99402748
1.0242141
1.0135349
0.99842505
1.0130714
0.99887044
1.0059058
1.0185998
1.0073314
0.98687706
1.0084551
0.97698964
0.99482714
1.0015302
1.0105331
1.0261767
1.0232822
1.0084176
0.99785167
0.99619733
1.0055223
1.0076326
0.99205461
1.0030587
1.0137012
1.0145878
1.0190297
1.0000681
1.0153894
1.0140649
1.0007236
0.97961463
1.0125257
1.0169503
NaN
1.0221185
% Dataset generated by fs2000_uncorr_ME.m.
% 14-Jun-2016 17:56:00
gy_obs = [
1.0109609
0.97642646
0.96315626
0.95745501
0.97985018
0.98698404
NaN
0.97758449
1.0372816
1.0458945
1.0332673
0.97502186
0.94303873
0.90973739
0.99226447
1.1009692
1.0053564
0.94758433
0.9567912
0.87110654
1.0446766
1.0111115
0.86655595
1.0215822
1.0472621
0.908667
1.1514238
0.89857157
1.060294
1.013061
0.96731591
0.9138868
0.98929905
0.97839349
0.85327882
0.89567237
1.0052162
0.98056641
0.92769265
1.1388486
1.0496267
0.98826525
0.97595184
1.0090495
0.89012437
1.0911123
0.99972573
1.0037704
0.93309032
1.0777157
1.0195358
0.93789726
0.93761622
0.99192629
0.99058658
0.96107042
0.97133837
0.89782855
0.89300512
1.1139143
1.0940156
1.1159643
0.98698884
1.0290253
0.96175065
0.90738687
0.99696118
0.97020529
1.1340389
1.0148178
1.0718094
1.0246439
1.0853133
0.9376242
0.98567328
1.0127188
0.89367724
1.1355668
0.96168471
1.0507627
0.97586638
0.99626073
1.0162793
1.0616655
1.0678168
0.97154114
0.99647212
1.0420533
1.0217119
1.1918036
0.92459188
1.0202248
1.1838137
0.98797992
1.000314
0.92258543
0.98650265
1.0416953
1.0685879
1.0723427
1.0187821
1.0227766
1.0229143
0.98194776
0.99438303
1.0064659
0.88075679
1.2524675
0.98155486
0.94454137
0.91557661
0.94205973
0.95937251
1.0861095
0.95876852
1.1358827
0.97599938
0.98529744
1.1516775
1.2405386
0.88366791
0.85121878
0.9844267
0.96547309
0.96460182
1.0839974
1.1668071
1.0287994
1.0180404
1.0132839
1.0273246
1.0382224
1.0030073
0.96332671
0.99994006
0.99648052
1.0565757
1.0387682
0.90149605
1.0537697
1.1070891
0.99672816
1.0670392
0.9810588
1.0392032
1.0431335
0.91577584
1.027802
0.96260436
0.85928141
0.96465077
1.0163289
0.98117748
1.0331503
1.0033069
0.90657866
1.0963327
0.84171175
1.0262137
1.1035421
1.0091114
1.0007519
1.2000436
1.0487303
0.97031189
1.0637329
1.0283992
1.0893456
1.0592114
0.97353829
1.0326355
1.0745714
0.99375808
1.1411619
1.0828585
0.83939772
0.87515849
0.96132978
1.0772758
1.0185846
0.99000922
0.96689881
1.1259479
0.92506257
1.0039843
0.93819156
1.0443276
1.0782669
0.90842532
1.0840948
0.9993092
1.0253587
1.058007
1.069575
0.85747319
1.0449107
0.95307215
0.96357006
NaN
1.0147373
];
gp_obs =[
1.0079715
1.0115853
1.0167502
1.0068957
1.0138189
1.0258364
1.0243817
1.017373
1.0020171
1.0003742
1.0008974
1.0104804
1.0116393
1.0114294
0.99932124
0.99461459
NaN
1.0051446
1.020639
1.0051964
1.0093042
1.007068
1.01086
0.99590086
1.0014883
1.0117332
0.9990095
1.0108284
1.0103672
1.0036722
1.0005124
1.0190331
1.0130978
1.007842
1.0285436
1.0322054
1.0213403
1.0246486
1.0419306
1.0258867
1.0156316
0.99818589
0.9894107
1.0127584
1.0146882
1.0136529
1.0340107
1.0343652
1.02971
1.0077932
1.0198114
1.013971
1.0061083
1.0089573
1.0037926
1.0082071
0.99498155
0.99735772
0.98765026
1.006465
1.0196088
1.0053233
1.0119974
1.0188066
1.0029302
1.0183459
1.0034218
1.0158799
0.98824798
1.0274357
1.0168832
1.0180641
1.0294657
0.98864091
1.0358326
0.99889969
1.0178322
0.99813566
1.0073549
1.0215985
1.0084245
1.0080939
1.0157021
1.0075815
1.0032633
1.0117871
1.0209276
1.0077569
0.99680958
1.0120266
1.0017625
1.0138811
1.0198358
1.0059629
1.0115416
1.0319473
1.0167074
1.0116111
1.0048627
1.0217622
1.0125221
1.0142045
0.99792469
0.99823971
0.99561547
0.99850373
0.9898464
1.0030963
1.0051373
1.0004213
1.0144117
0.97185592
0.9959518
1.0073529
1.0051603
0.98642572
0.99433423
1.0112131
1.0007695
1.0176867
1.0134363
0.99926191
0.99879835
0.99878754
1.0331374
1.0077797
1.0127221
1.0047393
1.0074106
0.99784213
1.0056495
1.0057708
0.98817494
0.98742176
0.99930555
1.0000687
1.0129754
1.009529
1.0226731
1.0149534
1.0164295
1.0239469
1.0293458
1.026199
1.0197525
1.0126818
1.0054473
1.0254423
1.0069461
1.0153135
1.0337515
1.0178187
1.0240469
1.0079489
1.0186953
1.0008628
1.0113799
1.0140118
1.0168007
1.011441
0.98422774
0.98909729
1.0157859
1.0151586
0.99756232
0.99497777
1.0102841
1.0221659
0.9937759
0.99877193
1.0079433
0.99667692
1.0095959
1.0128804
1.0156949
1.0111951
1.0228887
1.0122083
1.0190197
1.0074927
1.0268096
0.99689352
0.98948474
1.0024938
1.0105543
1.014116
1.0141217
1.0056504
1.0101026
1.0105069
0.99619053
1.0059439
0.99449473
0.99482458
1.0037702
1.0068087
0.99575975
1.0030815
1.0334014
0.99879386
0.99625634
NaN
0.99233844
gp_obs = [
0.97641139
1.0835387
1.0201422
0.9965768
1.0679288
0.94310955
1.02692
1.0766354
0.99291694
1.0758558
1.0223423
0.953096
0.95557758
1.0626314
0.95623269
0.99722683
1.0724598
1.0685878
1.0925098
1.0060236
1.044239
1.0010542
0.9095508
1.0209972
0.96154318
0.96426173
1.096074
0.92189876
1.0576579
0.97575926
1.0373979
1.0060191
0.88276069
0.99418001
1.0066328
0.95684524
1.0486087
0.85117929
0.83268536
0.99478843
0.91192351
0.9873018
0.86550156
1.0176583
0.95770069
1.1049287
1.0822732
0.99394903
1.020333
0.95132673
0.89484016
1.0472374
0.99930771
1.0854244
0.93423194
0.98676402
0.98664845
0.98267411
0.95051396
0.99980157
1.0823984
0.90190298
1.008969
0.86171467
0.94455682
0.97917936
0.98479622
0.97453798
1.0617859
0.99353433
1.0422265
0.95311075
1.0732908
1.0428699
1.156329
1.0503186
1.0463145
1.0770277
1.0610048
0.99620784
0.93563853
0.97661085
1.0713851
1.0249986
0.95524394
1.0154089
1.0612265
1.0419124
0.97997092
1.0311427
1.1117738
1.0540805
1.0294702
0.99083418
0.87573216
0.89835666
1.0160201
1.0708264
1.019447
0.92475214
1.0698928
0.98237724
1.0314822
1.013597
1.0148469
1.0708994
1.0619818
0.99435012
0.91915364
0.95040793
0.919936
0.99663848
1.0317468
0.93628249
0.88433423
1.0976301
1.1131723
1.0119619
1.0387386
1.0881946
0.95853899
0.98744557
0.96373938
1.0736045
1.0142062
1.04146
1.0114068
0.9344964
1.01653
0.9760068
0.9675109
0.98498547
0.97943987
0.82709931
0.98329725
0.91502538
0.93625216
0.94584179
0.96191095
1.1728771
1.0140516
0.89530207
0.94334423
0.92887834
0.95378136
1.0127008
0.97136082
1.0745622
0.92417618
0.85770118
NaN
1.0440046
1.0086679
0.91750251
1.0573989
0.97088121
1.0015049
1.0403713
1.0228201
0.90967756
0.98839521
1.0862834
1.0452364
1.0129798
1.0504615
1.0673073
0.95170616
1.0757234
1.0151971
1.0083416
0.97789045
1.0665525
1.0079413
1.0822921
1.0423627
0.91265687
0.97524101
1.013278
1.0818822
1.0019729
1.0558259
0.96626308
0.93379096
0.89050659
0.98798506
1.1290532
1.0484984
1.0867873
1.049982
0.92204043
0.88462983
1.0675095
0.98330347
1.0956124
1.0234829
1.0073299
0.9892484
0.91541384
NaN
1.0836086
];

802
tests/kalman/likelihood_from_dynare/fsdat_simul_uncorr_ME.m
View File

@ -1,406 +1,408 @@
% Dataset generated by fs2000_uncorr_ME.m.
% 14-Jun-2016 17:56:00
gy_obs = [
1.0089434
0.97436837
1.0078602
0.99728812
1.0469033
0.98514927
1.0130718
1.0127905
1.0012276
1.0207597
1.0128382
1.0117555
1.0093849
1.0130848
1.0076878
1.0151714
0.99010787
0.9651508
1.0075909
1.0211352
1.0016703
1.0067838
0.99211778
1.0006245
1.0164224
0.99240467
0.98841006
1.0021161
0.99328172
0.99975511
0.9894502
1.0095403
1.0227135
0.98474395
0.98842474
0.99510226
1.0003444
0.99419424
0.98459156
1.0006202
1.0205175
1.0046155
0.99261284
1.0137533
1.0062878
0.9882274
1.0106694
0.99471339
1.002965
0.99799306
1.0134657
1.0039836
1.0066297
1.0084027
1.0245597
0.9763106
1.02033
1.0147916
1.0219756
1.0008057
1.0390485
1.0210931
0.99734292
1.0171595
1.0130723
0.99892094
0.98279425
1.0066122
0.98575479
1.0078347
1.0036275
0.98116612
0.99293813
0.98842048
0.97690963
1.0093542
1.0027533
1.0156453
0.99313547
1.0004421
0.99954572
0.98736251
1.0238741
0.98768174
1.000261
0.98722229
0.98398124
1.0072403
1.0009303
0.99628068
0.98538731
0.99218841
1.009118
0.98810044
1.0112788
1.0004868
0.99890858
1.0029751
1.0219324
1.000043
1.0058196
1.014664
1.0044
1.0067619
1.0008676
0.99532428
0.99224953
0.99444046
1.0003366
1.0221002
0.98855273
1.0187089
0.98416472
1.0006988
0.99933767
1.0084427
0.9910711
0.99630044
1.0041385
0.99578819
0.98859148
1.0071189
1.0057602
1.0006798
1.0040692
0.99357917
1.0055212
0.99826781
1.0294402
1.0306182
1.0163397
0.99544135
1.0089258
1.0091866
1.0031688
1.0065311
1.0162032
1.006835
0.98588242
1.0031649
1.0143694
1.0071297
1.0151235
0.9950707
1.0190895
1.0036681
1.0153039
1.0031942
0.97146165
0.97647363
1.0040287
1.0074315
1.0139851
1.0084592
1.013138
1.0145484
1.0008416
0.97670707
0.98714692
1.0106897
0.99046031
1.0047648
1.0064955
0.99129614
0.97537098
0.99551383
1.0000844
1.0024149
1.0294317
0.97109038
0.98520755
1.0043495
0.99858097
0.99675168
1.0112858
1.0139032
0.99391287
1.026372
1.003729
1.0047125
0.99687991
1.0218475
1.0125423
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802
tests/kalman/likelihood_from_dynare/fsdat_simul_uncorr_ME_missing.m
View File

@ -1,406 +1,408 @@
% Dataset generated by fs2000_uncorr_ME.m.
% 14-Jun-2016 17:56:00
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