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Merge branch 'experimental-kalman-initialization' into experimental-smoother-on-calibrated-model

time-shift
Stéphane Adjemian (Charybdis) 2013-06-28 17:00:16 +02:00
parent c3ec2704a7 e60d438e86
commit 0b8202bae3
1 changed files with 7 additions and 7 deletions
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14
matlab/DsgeSmoother.m
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@ -151,14 +151,14 @@ elseif options_.lik_init == 5 % Old diffuse Kalman filter only for th
end
R_tmp = R(stable, :);
T_tmp = T(stable,stable);
if DynareOptions.lyapunov_fp == 1
Pstar_tmp = lyapunov_symm(T_tmp,Q,DynareOptions.lyapunov_fixed_point_tol,DynareOptions.lyapunov_complex_threshold, 3, R_tmp);
elseif DynareOptions.lyapunov_db == 1
Pstar_tmp = disclyap_fast(T_tmp,R_tmp*Q*R_tmp',DynareOptions.lyapunov_doubling_tol);
elseif DynareOptions.lyapunov_srs == 1
Pstar_tmp = lyapunov_symm(T_tmp,Q,DynareOptions.lyapunov_fixed_point_tol,DynareOptions.lyapunov_complex_threshold, 4, R_tmp);
if options_.lyapunov_fp == 1
Pstar_tmp = lyapunov_symm(T_tmp,Q,options_.lyapunov_fixed_point_tol,options_.lyapunov_complex_threshold, 3, R_tmp);
elseif options_.lyapunov_db == 1
Pstar_tmp = disclyap_fast(T_tmp,R_tmp*Q*R_tmp',options_.lyapunov_doubling_tol);
elseif options_.lyapunov_srs == 1
Pstar_tmp = lyapunov_symm(T_tmp,Q,options_.lyapunov_fixed_point_tol,options_.lyapunov_complex_threshold, 4, R_tmp);
else
Pstar_tmp = lyapunov_symm(T_tmp,R_tmp*Q*R_tmp',DynareOptions.qz_criterium,DynareOptions.lyapunov_complex_threshold);
Pstar_tmp = lyapunov_symm(T_tmp,R_tmp*Q*R_tmp',options_.qz_criterium,options_.lyapunov_complex_threshold);
end
Pstar(stable, stable) = Pstar_tmp;
Pinf = [];