stepan
/
dynare
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

block option needs a specific index for the kalman smoother

time-shift
Ferhat Mihoubi 2011-06-21 13:23:06 +02:00
parent bf6853339d
commit 1317e04c28
1 changed files with 30 additions and 15 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

45
matlab/dynare_estimation_init.m
View File

@ -207,6 +207,21 @@ for i=1:n_varobs
var_obs_index = [var_obs_index strmatch(deblank(options_.varobs(i,:)),M_.endo_names(dr.order_var,:),'exact')];
k1 = [k1 strmatch(deblank(options_.varobs(i,:)),M_.endo_names, 'exact')];
end
k3 = [];
k3p = [];
if options_.selected_variables_only
for i=1:size(var_list_,1)
k3 = [k3; strmatch(var_list_(i,:),M_.endo_names(dr.order_var,:), ...
'exact')];
k3p = [k3; strmatch(var_list_(i,:),M_.endo_names, ...
'exact')];
end
else
k3 = (1:M_.endo_nbr)';
k3p = (1:M_.endo_nbr)';
end
% Define union of observed and state variables
if options_.block == 1
[k2, i_posA, i_posB] = union(k1', M_.state_var', 'rows');
@ -220,6 +235,14 @@ if options_.block == 1
bayestopt_.mf2 = var_obs_index;
bayestopt_.mfys = k1;
oo_.dr.restrict_columns = [size(i_posA,1)+(1:size(M_.state_var,2))];
[k2, i_posA, i_posB] = union(k3p, M_.state_var', 'rows');
bayestopt_.smoother_var_list = [k3p(i_posA); M_.state_var(sort(i_posB))'];
[junk,bayestopt_.smoother_saved_var_list] = intersect(k3p,bayestopt_.smoother_var_list(:));
[junk,ic] = intersect(bayestopt_.smoother_var_list,M_.state_var);
bayestopt_.smoother_restrict_columns = ic;
[junk,bayestopt_.smoother_mf] = ismember(k1, ...
bayestopt_.smoother_var_list);
else
k2 = union(var_obs_index',[dr.nstatic+1:dr.nstatic+dr.npred]', 'rows');
% Set restrict_state to postion of observed + state variables in expanded state vector.
@ -233,23 +256,15 @@ else
bayestopt_.mfys = k1;
[junk,ic] = intersect(k2,nstatic+(1:npred)');
oo_.dr.restrict_columns = [ic; length(k2)+(1:nspred-npred)'];
bayestopt_.smoother_var_list = union(k2,k3);
[junk,bayestopt_.smoother_saved_var_list] = intersect(k3,bayestopt_.smoother_var_list(:));
[junk,ic] = intersect(bayestopt_.smoother_var_list,nstatic+(1:npred)');
bayestopt_.smoother_restrict_columns = ic;
[junk,bayestopt_.smoother_mf] = ismember(var_obs_index, ...
bayestopt_.smoother_var_list);
end;
k3 = [];
if options_.selected_variables_only
for i=1:size(var_list_,1)
k3 = [k3; strmatch(var_list_(i,:),M_.endo_names(dr.order_var,:), ...
'exact')];
end
else
k3 = (1:M_.endo_nbr)';
end
bayestopt_.smoother_var_list = union(k2,k3);
[junk,bayestopt_.smoother_saved_var_list] = intersect(k3,bayestopt_.smoother_var_list(:));
[junk,ic] = intersect(bayestopt_.smoother_var_list,nstatic+(1:npred)');
bayestopt_.smoother_restrict_columns = ic;
[junk,bayestopt_.smoother_mf] = ismember(var_obs_index, ...
bayestopt_.smoother_var_list);
%% Initialization with unit-root variables.
if ~isempty(options_.unit_root_vars)