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v4: reduced state space for likelihood computation 

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@781 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
michel 2006-06-03 19:45:05 +00:00
parent ac5a09a233
commit 21f989819e
6 changed files with 24 additions and 7 deletions
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2
matlab/DiffuseLikelihood1.m
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@ -70,7 +70,7 @@ function [LIK, lik] = DiffuseLikelihood1(T,R,Q,Pinf,Pstar,Y,trend,start)
lik(t) = log(dF)+transpose(v)*iF*v;
K = Pstar(:,mf)*iF; %% premultiplication by the transition matrix T is removed (stephane)
a = T*(a+K*v); %% --> factorization of the transition matrix...
Pstar = T*(Pstar-Pstar(:,mf)*iF*Pstar(mf,:))*transpose(T)+QQ; %% ... idem (stephane)
Pstar = T*(Pstar-K*Pstar(mf,:))*transpose(T)+QQ; %% ... idem (stephane)
end
notsteady = ~(max(max(abs(Pstar-oldPstar)))<crit);
end

2
matlab/DiffuseLikelihoodH1.m
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@ -141,7 +141,7 @@ function [LIK, lik] = DiffuseLikelihoodH1(T,R,Q,H,Pinf,Pstar,Y,trend,start)
lik(t) = log(dF)+transpose(v)*iF*v;
K = Pstar(:,mf)*iF; %% premultiplication by the transition matrix T is removed (stephane)
a = T*(a+K*v); %% --> factorization of the transition matrix...
Pstar = T*(Pstar-Pstar(:,mf)*iF*Pstar(mf,:))*transpose(T)+QQ; %% ... idem (stephane)
Pstar = T*(Pstar-K*Pstar(mf,:))*transpose(T)+QQ; %% ... idem (stephane)
end
notsteady = ~(max(max(abs(Pstar-oldPstar)))<crit);
end

4
matlab/DsgeLikelihood.m
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@ -87,6 +87,7 @@ function [fval,cost_flag,ys,trend_coeff,info] = DsgeLikelihood(xparam1,gend,data
% 2. call model setup & reduction program
%------------------------------------------------------------------------------
[T,R,SteadyState,info] = dynare_resolve;
rs = bayestopt_.restrict_state;
if info(1) == 1 | info(1) == 2 | info(1) == 5
fval = bayestopt_.penalty+1;
cost_flag = 0;
@ -96,6 +97,9 @@ function [fval,cost_flag,ys,trend_coeff,info] = DsgeLikelihood(xparam1,gend,data
cost_flag = 0;
return
end
T = T(rs,rs);
R = R(rs,:);
bayestopt_.mf = bayestopt_.mf1;
if options_.loglinear == 1
constant = log(SteadyState(bayestopt_.mfys));
else

1
matlab/DsgeSmoother.m
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@ -16,6 +16,7 @@ function [alphahat,etahat,epsilonhat,ahat,SteadyState,trend_coeff,aK] = DsgeSmoo
% 2. call model setup & reduction program
%------------------------------------------------------------------------------
[T,R,SteadyState] = dynare_resolve;
bayestopt_.mf = bayestopt_.mf2;
if options_.loglinear == 1
constant = log(SteadyState(bayestopt_.mfys));
else

14
matlab/dynare_estimation.m
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@ -200,8 +200,20 @@ for i=1:n_varobs
k = [k strmatch(deblank(options_.varobs(i,:)),M_.endo_names(dr.order_var,:),'exact')];
k1 = [k1 strmatch(deblank(options_.varobs(i,:)),M_.endo_names, 'exact')];
end
% union of observed and state variables
k2 = union(k',[dr.nstatic+1:dr.nstatic+dr.npred]');
% including variables in t-2 and earlier, if any
k2 = [k2;[M_.endo_nbr+(1:dr.nspred-dr.npred)]'];
bayestopt_.mf = k;
% set restrict_state to postion of observed + state variables
% in expanded state vector
bayestopt_.restrict_state = k2;
% set mf1 to positions of observed variables in restricted state vector
% for likelihood computation
[junk,bayestopt_.mf1] = ismember(k,k2);
% set mf2 to positions of observed variables in expanded state vector
% for filtering and smoothing
bayestopt_.mf2 = k;
bayestopt_.mfys = k1;
options_ = set_default_option(options_,'nobs',size(rawdata,1)-options_.first_obs+1);
gend = options_.nobs;

8
matlab/set_state_space.m
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@ -78,7 +78,7 @@ dr.kad = kad;
dr.kae = kae;
dr.nboth = nboth;
dr.nfwrd = nfwrd;
% 06/01/03 MJ removed negative entries for kstate(:,3) when lags on more
% than 1 period
% 06/25/03 MJ corrected logic for kmask computation when M_.maximum_lead == 0
% number of forward variables in the state vector
dr.nsfwrd = sum(kstate(:,2) > M_.maximum_lag+1);
% number of predetermined variables in the state vector
dr.nspred = sum(kstate(:,2) <= M_.maximum_lag+1);