Merge remote-tracking branch 'ratto/master'
commit
3170d93136
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@ -61,7 +61,7 @@ options_ident = set_default_option(options_ident,'advanced',0);
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options_ident = set_default_option(options_ident,'normalize_jacobians',1);
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options_ident = set_default_option(options_ident,'normalize_jacobians',1);
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options_ident = set_default_option(options_ident,'lik_init',1);
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options_ident = set_default_option(options_ident,'lik_init',1);
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if options_ident.gsa_sample_file,
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if options_ident.gsa_sample_file,
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GSAFolder = checkpath('gsa');
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GSAFolder = checkpath('gsa',M_.dname);
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if options_ident.gsa_sample_file==1,
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if options_ident.gsa_sample_file==1,
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load([GSAFolder,filesep,fname_,'_prior'],'lpmat','lpmat0','istable');
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load([GSAFolder,filesep,fname_,'_prior'],'lpmat','lpmat0','istable');
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elseif options_ident.gsa_sample_file==2,
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elseif options_ident.gsa_sample_file==2,
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@ -105,11 +105,13 @@ nlags = options_ident.ar;
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periods = options_ident.periods;
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periods = options_ident.periods;
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replic = options_ident.replic;
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replic = options_ident.replic;
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useautocorr = options_ident.useautocorr;
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useautocorr = options_ident.useautocorr;
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options_.order=1;
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options_.ar=nlags;
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options_.ar=nlags;
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options_.prior_mc = options_ident.prior_mc;
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options_.prior_mc = options_ident.prior_mc;
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options_.options_ident = options_ident;
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options_.options_ident = options_ident;
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options_.Schur_vec_tol = 1.e-8;
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options_.Schur_vec_tol = 1.e-8;
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options_.nomoments=0;
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options_.nomoments=0;
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options_.analytic_derivation=1;
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options_ = set_default_option(options_,'datafile',[]);
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options_ = set_default_option(options_,'datafile',[]);
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options_.mode_compute = 0;
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options_.mode_compute = 0;
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@ -152,7 +154,7 @@ end
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SampleSize = options_ident.prior_mc;
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SampleSize = options_ident.prior_mc;
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if ~(exist('sylvester3mr','file')==2),
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if ~(exist('sylvester3','file')==2),
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dynareroot = strrep(which('dynare'),'dynare.m','');
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dynareroot = strrep(which('dynare'),'dynare.m','');
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addpath([dynareroot 'gensylv'])
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addpath([dynareroot 'gensylv'])
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@ -1,5 +1,5 @@
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function x=sylvester3(a,b,c,d)
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function x=sylvester3(a,b,c,d)
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% solves a*x+b*x*c=d
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% solves a*x+b*x*c=d where d is [n x m x p]
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% Copyright (C) 2005-2009 Dynare Team
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% Copyright (C) 2005-2009 Dynare Team
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%
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%
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@ -20,53 +20,72 @@ function x=sylvester3(a,b,c,d)
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n = size(a,1);
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n = size(a,1);
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m = size(c,1);
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m = size(c,1);
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p = size(d,3);
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x=zeros(n,m,p);
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if n == 1
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if n == 1
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x=d./(a*ones(1,m)+b*c);
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for j=1:p,
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x(:,:,j)=d(:,:,j)./(a*ones(1,m)+b*c);
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end
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return
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return
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end
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end
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if m == 1
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if m == 1
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x = (a+c*b)\d;
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for j=1:p,
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x(:,:,j) = (a+c*b)\d(:,:,j);
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end
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return;
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return;
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end
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end
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x=zeros(n,m);
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[u,t]=schur(c);
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[u,t]=schur(c);
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if exist('OCTAVE_VERSION')
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if exist('OCTAVE_VERSION')
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[aa,bb,qq,zz]=qz(full(a),full(b));
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[aa,bb,qq,zz]=qz(full(a),full(b));
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d=qq'*d*u;
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for j=1:p,
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d(:,:,j)=qq'*d(:,:,j)*u;
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end
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else
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else
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[aa,bb,qq,zz]=qz(full(a),full(b),'real'); % available in Matlab version 6.0
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[aa,bb,qq,zz]=qz(full(a),full(b),'real'); % available in Matlab version 6.0
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d=qq*d*u;
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for j=1:p,
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d(:,:,j)=qq*d(:,:,j)*u;
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end
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end
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end
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i = 1;
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i = 1;
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c = zeros(n,1,p);
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while i < m
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while i < m
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if t(i+1,i) == 0
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if t(i+1,i) == 0
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if i == 1
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if i == 1
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c = zeros(n,1);
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c = zeros(n,1,p);
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else
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else
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c = bb*(x(:,1:i-1)*t(1:i-1,i));
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for j=1:p,
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c(:,:,j) = bb*(x(:,1:i-1,j)*t(1:i-1,i));
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end
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end
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x(:,i)=(aa+bb*t(i,i))\(d(:,i)-c);
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end
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x(:,i,:)=(aa+bb*t(i,i))\squeeze(d(:,i,:)-c);
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i = i+1;
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i = i+1;
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else
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else
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if i == n
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if i == n
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c = zeros(n,1);
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c = zeros(n,1,p);
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c1 = zeros(n,1);
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c1 = zeros(n,1,p);
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else
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else
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c = bb*(x(:,1:i-1)*t(1:i-1,i));
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for j=1:p,
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c1 = bb*(x(:,1:i-1)*t(1:i-1,i+1));
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c(:,:,j) = bb*(x(:,1:i-1,j)*t(1:i-1,i));
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c1(:,:,j) = bb*(x(:,1:i-1,j)*t(1:i-1,i+1));
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end
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end
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z = [aa+bb*t(i,i) bb*t(i+1,i); bb*t(i,i+1) aa+bb*t(i+1,i+1)]...
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end
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\[d(:,i)-c;d(:,i+1)-c1];
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bigmat = ([aa+bb*t(i,i) bb*t(i+1,i); bb*t(i,i+1) aa+bb*t(i+1,i+1)]);
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x(:,i) = z(1:n);
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z = bigmat\squeeze([d(:,i,:)-c;d(:,i+1,:)-c1]);
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x(:,i+1) = z(n+1:end);
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x(:,i,:) = z(1:n,:);
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x(:,i+1,:) = z(n+1:end,:);
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i = i + 2;
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i = i + 2;
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end
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end
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end
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end
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if i == m
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if i == m
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c = bb*(x(:,1:m-1)*t(1:m-1,m));
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for j=1:p,
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x(:,m)=(aa+bb*t(m,m))\(d(:,m)-c);
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c(:,:,j) = bb*(x(:,1:m-1,j)*t(1:m-1,m));
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end
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aabbt = (aa+bb*t(m,m));
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x(:,m,:)=aabbt\squeeze(d(:,m,:)-c);
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end
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for j=1:p,
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x(:,:,j)=zz*x(:,:,j)*u';
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end
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end
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x=zz*x*u';
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% 01/25/03 MJ corrected bug for i==m (sign of c in x determination)
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% 01/25/03 MJ corrected bug for i==m (sign of c in x determination)
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% 01/31/03 MJ added 'real' to qz call
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% 01/31/03 MJ added 'real' to qz call
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@ -1,7 +1,7 @@
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function x=sylvester3a(x0,a,b,c,d)
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function [x0, flag]=sylvester3a(x0,a,b,c,dd)
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% solves iteratively ax+bxc=d
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% solves iteratively ax+bxc=d
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% Copyright (C) 2005-2009 Dynare Team
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% Copyright (C) 2005-2012 Dynare Team
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%
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%
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% This file is part of Dynare.
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% This file is part of Dynare.
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%
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%
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@ -20,15 +20,19 @@ function x=sylvester3a(x0,a,b,c,d)
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a_1 = inv(a);
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a_1 = inv(a);
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b = a_1*b;
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b = a_1*b;
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d = a_1*d;
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flag=0;
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for j=1:size(dd,3),
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d = a_1*dd(:,:,j);
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e = 1;
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e = 1;
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iter = 1;
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iter = 1;
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while e > 1e-8 & iter < 500
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while e > 1e-8 && iter < 500
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x = d-b*x0*c;
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x = d-b*x0(:,:,j)*c;
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e = max(max(abs(x-x0)));
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e = max(max(abs(x-x0(:,:,j))));
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x0 = x;
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x0(:,:,j) = x;
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iter = iter + 1;
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iter = iter + 1;
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end
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end
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if iter == 500
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if iter == 500
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warning('sylvester3a : Only accuracy of %10.8f is achieved after 500 iterations')
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sprintf('sylvester3a : Only accuracy of %10.8f is achieved after 500 iterations',e);
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flag=1;
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end
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end
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end
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@ -1,100 +0,0 @@
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function x=sylvester3mr(a,b,c,d)
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% solves a*x+b*x*c=d where d is [n x m x p]
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% Copyright (C) 2005-2009 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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|
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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|
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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|
||||||
% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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|
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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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n = size(a,1);
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m = size(c,1);
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if length(size(d))==2,
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x=sylvester3(a,b,c,d);
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|
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return
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end
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p = size(d,3);
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if n == 1
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for j=1:p,
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x(:,:,j)=d(:,:,j)./(a*ones(1,m)+b*c);
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|
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end
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|
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return
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end
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if m == 1
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invacb = inv(a+c*b);
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x = invacb*d;
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return;
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|
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end
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x=zeros(n,m,p);
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[u,t]=schur(c);
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if exist('OCTAVE_VERSION')
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[aa,bb,qq,zz]=qz(full(a),full(b));
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for j=1:p,
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d(:,:,j)=qq'*d(:,:,j)*u;
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|
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end
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else
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[aa,bb,qq,zz]=qz(full(a),full(b),'real'); % available in Matlab version 6.0
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for j=1:p,
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d(:,:,j)=qq*d(:,:,j)*u;
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|
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end
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|
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end
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|
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i = 1;
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c = zeros(n,1,p);
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|
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while i < m
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|
||||||
if t(i+1,i) == 0
|
|
||||||
if i == 1
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|
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c = zeros(n,1,p);
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|
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else
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|
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for j=1:p,
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|
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c(:,:,j) = bb*(x(:,1:i-1,j)*t(1:i-1,i));
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|
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end
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|
||||||
end
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|
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% aabbtinv = inv(aa+bb*t(i,i));
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|
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% x(:,i,:)=aabbtinv*squeeze(d(:,i,:)-c);
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|
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x(:,i,:)=(aa+bb*t(i,i))\squeeze(d(:,i,:)-c);
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|
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i = i+1;
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|
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else
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|
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if i == n
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|
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c = zeros(n,1,p);
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|
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c1 = zeros(n,1,p);
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|
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else
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|
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for j=1:p,
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|
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c(:,:,j) = bb*(x(:,1:i-1,j)*t(1:i-1,i));
|
|
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c1(:,:,j) = bb*(x(:,1:i-1,j)*t(1:i-1,i+1));
|
|
||||||
end
|
|
||||||
end
|
|
||||||
% bigmatinv = inv([aa+bb*t(i,i) bb*t(i+1,i); bb*t(i,i+1) aa+bb*t(i+1,i+1)]);
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|
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% z = bigmatinv * squeeze([d(:,i,:)-c;d(:,i+1,:)-c1]);
|
|
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bigmat = ([aa+bb*t(i,i) bb*t(i+1,i); bb*t(i,i+1) aa+bb*t(i+1,i+1)]);
|
|
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z = bigmat\squeeze([d(:,i,:)-c;d(:,i+1,:)-c1]);
|
|
||||||
x(:,i,:) = z(1:n,:);
|
|
||||||
x(:,i+1,:) = z(n+1:end,:);
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|
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i = i + 2;
|
|
||||||
end
|
|
||||||
end
|
|
||||||
if i == m
|
|
||||||
for j=1:p,
|
|
||||||
c(:,:,j) = bb*(x(:,1:m-1,j)*t(1:m-1,m));
|
|
||||||
end
|
|
||||||
% aabbtinv = inv(aa+bb*t(m,m));
|
|
||||||
% x(:,m,:)=aabbtinv*squeeze(d(:,m,:)-c);
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|
||||||
aabbt = (aa+bb*t(m,m));
|
|
||||||
x(:,m,:)=aabbt\squeeze(d(:,m,:)-c);
|
|
||||||
end
|
|
||||||
for j=1:p,
|
|
||||||
x(:,:,j)=zz*x(:,:,j)*u';
|
|
||||||
end
|
|
||||||
|
|
||||||
% 01/25/03 MJ corrected bug for i==m (sign of c in x determination)
|
|
||||||
% 01/31/03 MJ added 'real' to qz call
|
|
|
@ -355,7 +355,13 @@ else % generalized sylvester equation
|
||||||
elem(:,:,j) = (Dg0(:,:,j)-Dg1(:,:,j)*A);
|
elem(:,:,j) = (Dg0(:,:,j)-Dg1(:,:,j)*A);
|
||||||
d(:,:,j) = Dg2(:,:,j)-elem(:,:,j)*A;
|
d(:,:,j) = Dg2(:,:,j)-elem(:,:,j)*A;
|
||||||
end
|
end
|
||||||
xx=sylvester3mr(a,b,c,d);
|
xx=sylvester3(a,b,c,d);
|
||||||
|
flag=1;
|
||||||
|
icount=0;
|
||||||
|
while flag && icount<4,
|
||||||
|
[xx, flag]=sylvester3a(xx,a,b,c,d);
|
||||||
|
icount=icount+1;
|
||||||
|
end
|
||||||
H=zeros(m*m+m*(m+1)/2,param_nbr+length(indexo));
|
H=zeros(m*m+m*(m+1)/2,param_nbr+length(indexo));
|
||||||
if nargout>1,
|
if nargout>1,
|
||||||
dOm = zeros(m,m,param_nbr+length(indexo));
|
dOm = zeros(m,m,param_nbr+length(indexo));
|
||||||
|
@ -435,7 +441,13 @@ if nargout > 5,
|
||||||
d(:,:,jcount) = elem1+elem2;
|
d(:,:,jcount) = elem1+elem2;
|
||||||
end
|
end
|
||||||
end
|
end
|
||||||
xx2=sylvester3mr(a,b,c,d);
|
xx2=sylvester3(a,b,c,d);
|
||||||
|
flag=1;
|
||||||
|
icount=0;
|
||||||
|
while flag && icount<4,
|
||||||
|
[xx2, flag]=sylvester3a(xx2,a,b,c,d);
|
||||||
|
icount = icount + 1;
|
||||||
|
end
|
||||||
jcount = 0;
|
jcount = 0;
|
||||||
for j=1:param_nbr,
|
for j=1:param_nbr,
|
||||||
for i=j:param_nbr,
|
for i=j:param_nbr,
|
||||||
|
|
|
@ -138,6 +138,10 @@ if info(1)==0,
|
||||||
[fval,cost_flag,ys,trend_coeff,info,M_,options_,bayestopt_,oo_,DLIK,AHess] = dsge_likelihood(params',data_info,options_,M_,estim_params_,bayestopt_,oo_,derivatives_info);
|
[fval,cost_flag,ys,trend_coeff,info,M_,options_,bayestopt_,oo_,DLIK,AHess] = dsge_likelihood(params',data_info,options_,M_,estim_params_,bayestopt_,oo_,derivatives_info);
|
||||||
% fval = DsgeLikelihood(xparam1,data_info,options_,M_,estim_params_,bayestopt_,oo_);
|
% fval = DsgeLikelihood(xparam1,data_info,options_,M_,estim_params_,bayestopt_,oo_);
|
||||||
AHess=-AHess;
|
AHess=-AHess;
|
||||||
|
if min(eig(AHess))<0,
|
||||||
|
error('Analytic Hessian is not positive semi-definite!')
|
||||||
|
end
|
||||||
|
% chol(AHess);
|
||||||
ide_hess.AHess= AHess;
|
ide_hess.AHess= AHess;
|
||||||
deltaM = sqrt(diag(AHess));
|
deltaM = sqrt(diag(AHess));
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||||||
iflag=any((deltaM.*deltaM)==0);
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iflag=any((deltaM.*deltaM)==0);
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@ -153,7 +157,9 @@ if info(1)==0,
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||||||
cmm = NaN(size(siJ,1),size(siJ,1));
|
cmm = NaN(size(siJ,1),size(siJ,1));
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||||||
ind1=find(ide_hess.ind0);
|
ind1=find(ide_hess.ind0);
|
||||||
cmm = siJ(:,ind1)*((AHess(ind1,ind1))\siJ(:,ind1)');
|
cmm = siJ(:,ind1)*((AHess(ind1,ind1))\siJ(:,ind1)');
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||||||
chh = siH(:,ind1)*((AHess(ind1,ind1))\siH(:,ind1)');
|
temp1=((AHess(ind1,ind1))\siH(:,ind1)');
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||||||
|
diag_chh=sum(siH(:,ind1)'.*temp1)';
|
||||||
|
% chh = siH(:,ind1)*((AHess(ind1,ind1))\siH(:,ind1)');
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||||||
ind1=ind1(ind1>offset);
|
ind1=ind1(ind1>offset);
|
||||||
clre = siLRE(:,ind1-offset)*((AHess(ind1,ind1))\siLRE(:,ind1-offset)');
|
clre = siLRE(:,ind1-offset)*((AHess(ind1,ind1))\siLRE(:,ind1-offset)');
|
||||||
rhoM=sqrt(1./diag(inv(tildaM(indok,indok))));
|
rhoM=sqrt(1./diag(inv(tildaM(indok,indok))));
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||||||
|
@ -190,12 +196,16 @@ if info(1)==0,
|
||||||
% rhoM=sqrt(1-1./diag(inv(tildaM)));
|
% rhoM=sqrt(1-1./diag(inv(tildaM)));
|
||||||
% rhoM=(1-1./diag(inv(tildaM)));
|
% rhoM=(1-1./diag(inv(tildaM)));
|
||||||
ind1=find(ide_hess.ind0);
|
ind1=find(ide_hess.ind0);
|
||||||
chh = siH(:,ind1)*((MIM(ind1,ind1))\siH(:,ind1)');
|
temp1=((MIM(ind1,ind1))\siH(:,ind1)');
|
||||||
|
diag_chh=sum(siH(:,ind1)'.*temp1)';
|
||||||
|
% chh = siH(:,ind1)*((MIM(ind1,ind1))\siH(:,ind1)');
|
||||||
ind1=ind1(ind1>offset);
|
ind1=ind1(ind1>offset);
|
||||||
clre = siLRE(:,ind1-offset)*((MIM(ind1,ind1))\siLRE(:,ind1-offset)');
|
clre = siLRE(:,ind1-offset)*((MIM(ind1,ind1))\siLRE(:,ind1-offset)');
|
||||||
|
if ~isempty(indok),
|
||||||
rhoM(indok)=sqrt(1./diag(inv(tildaM(indok,indok))));
|
rhoM(indok)=sqrt(1./diag(inv(tildaM(indok,indok))));
|
||||||
normaliz(indok) = (sqrt(diag(inv(tildaM(indok,indok))))./deltaM(indok))'; %sqrt(diag(inv(MIM(indok,indok))))';
|
normaliz(indok) = (sqrt(diag(inv(tildaM(indok,indok))))./deltaM(indok))'; %sqrt(diag(inv(MIM(indok,indok))))';
|
||||||
% deltaM = deltaM.*abs(params');
|
end
|
||||||
|
% deltaM = deltaM.*abs(params')
|
||||||
flag_score=0;
|
flag_score=0;
|
||||||
end
|
end
|
||||||
ide_strength_J(indok) = (1./(normaliz(indok)'./abs(params(indok)')));
|
ide_strength_J(indok) = (1./(normaliz(indok)'./abs(params(indok)')));
|
||||||
|
@ -212,7 +222,8 @@ if info(1)==0,
|
||||||
% isok = find((abs(TAU)>=1.e-8));
|
% isok = find((abs(TAU)>=1.e-8));
|
||||||
% quant(isok,:) = siH(isok,:)./repmat(TAU(isok,1),1,nparam);
|
% quant(isok,:) = siH(isok,:)./repmat(TAU(isok,1),1,nparam);
|
||||||
% quant(inok,:) = siH(inok,:)./repmat(mean(abs(TAU)),length(inok),nparam);
|
% quant(inok,:) = siH(inok,:)./repmat(mean(abs(TAU)),length(inok),nparam);
|
||||||
quant = siH./repmat(sqrt(diag(chh)),1,nparam);
|
% quant = siH./repmat(sqrt(diag(chh)),1,nparam);
|
||||||
|
quant = siH./repmat(sqrt(diag_chh),1,nparam);
|
||||||
siHnorm = vnorm(quant).*normaliz1;
|
siHnorm = vnorm(quant).*normaliz1;
|
||||||
% siHnorm = vnorm(siH./repmat(TAU,1,nparam)).*normaliz;
|
% siHnorm = vnorm(siH./repmat(TAU,1,nparam)).*normaliz;
|
||||||
quant=[];
|
quant=[];
|
||||||
|
|
|
@ -22,7 +22,7 @@ global options_ oo_
|
||||||
|
|
||||||
mm=zeros(length(indx),replic);
|
mm=zeros(length(indx),replic);
|
||||||
|
|
||||||
disp('Evaluting simulated moment uncertainty ... please wait')
|
disp('Evaluating simulated moment uncertainty ... please wait')
|
||||||
disp(['Doing ',int2str(replic),' replicas of length ',int2str(periods),' periods.'])
|
disp(['Doing ',int2str(replic),' replicas of length ',int2str(periods),' periods.'])
|
||||||
noprint0 = options_.noprint;
|
noprint0 = options_.noprint;
|
||||||
for j=1:replic;
|
for j=1:replic;
|
||||||
|
|
Loading…
Reference in New Issue