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Adjust ident_unit_root.mod to reflect change in unit root treatment introduced in #1191

time-shift
Johannes Pfeifer 2016-05-30 14:03:55 +02:00
parent e294266247
commit e06bb9e057
3 changed files with 48 additions and 1 deletions
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1
tests/Makefile.am
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@ -322,6 +322,7 @@ XFAIL_MODFILES = ramst_xfail.mod \
estim_param_in_shock_value_xfail.mod \
optimal_policy/Ramsey/ramsey_ex_wrong_ss_file_xfail.mod \
estimation/fs2000_mixed_ML_xfail.mod \
identification/ident_unit_root/ident_unit_root_xfail.mod \
steady_state/Linear_steady_state_xfail.mod
MFILES = initval_file/ramst_initval_file_data.m

2
tests/identification/ident_unit_root/ident_unit_root.mod
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@ -33,7 +33,7 @@ end;
steady;
check;
varobs y delta_y;
varobs delta_y;
stoch_simul(order=1,irf=0);

46
tests/identification/ident_unit_root/ident_unit_root_xfail.mod Normal file
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@ -0,0 +1,46 @@
//Tests Identification command with ML and unit roots/diffuse filter option;
//Should not work because of observed unit root variable
var y delta_y x z;
varexo eps_x eps_z;
parameters rho sigma_z sigma_x;
// set parameter values
sigma_z=0.001;
sigma_x=0.01;
rho=0.9;
model;
z=rho*z(-1)+sigma_z*eps_z;
x=x(-1)+sigma_x*eps_x;
y=x+z;
delta_y=y-y(-1);
end;
steady_state_model;
x=0;
z=0;
y=0;
delta_y=0;
end;
//set shock variances
shocks;
var eps_z=1;
var eps_x=1;
end;
steady;
check;
varobs y delta_y;
stoch_simul(order=1,irf=0);
estimated_params;
rho, 0.9;
sigma_z, 0.01;
sigma_x, 0.01;
end;
identification(diffuse_filter,advanced=1,prior_trunc=0);