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Fix bug in dsge_var_likelihood.m where constant was not considered for dof when Gamma function was computed 

Does not affect the maximum of the posterior as it only affects constant term
time-shift
Johannes Pfeifer 2016-06-13 14:45:28 +02:00 committed by Stéphane Adjemian (Lupi)
parent 4486d098b5
commit 029e9495ba
1 changed files with 2 additions and 2 deletions
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4
matlab/dsge_var_likelihood.m
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@ -248,10 +248,10 @@ if ~isinf(dsge_prior_weight)% Evaluation of the likelihood of the dsge-var model
PHI_tilde = tmp2*tmp1'; %formula (28), DS (2004)
clear('tmp1');
prodlng1 = sum(gammaln(.5*((1+dsge_prior_weight)*NumberOfObservations- ...
NumberOfObservedVariables*NumberOfLags ...
NumberOfParameters ...
+1-(1:NumberOfObservedVariables)'))); %last term in numerator of third line of (A.2), DS (2004)
prodlng2 = sum(gammaln(.5*(dsge_prior_weight*NumberOfObservations- ...
NumberOfObservedVariables*NumberOfLags ...
NumberOfParameters ...
+1-(1:NumberOfObservedVariables)'))); %last term in denominator of third line of (A.2), DS (2004)
%Compute minus log likelihood according to (A.2), DS (2004)
lik = .5*NumberOfObservedVariables*log(det(dsge_prior_weight*NumberOfObservations*GXX+mXX)) ... %first term in numerator of second line of (A.2), DS (2004)