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If option mode_file is used in the estimation command, replace the covariance of the 

jumping distribution by an identity matrix when the covariance matrix obtained with 
a previous call to another optimization routine is not positive definite.  



git-svn-id: https://www.dynare.org/svn/dynare/trunk@2646 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
stepan 2009-04-28 22:38:38 +00:00
parent 6a4a414a3b
commit 349630ba85
1 changed files with 5 additions and 1 deletions
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6
matlab/gmhmaxlik.m
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@ -97,7 +97,11 @@ isux = 0; jsux = 0; test = 0;
ix2 = ModePar;% initial condition!
ilogpo2 = - feval(ObjFun,ix2,varargin{:});% initial posterior density
mlogpo2 = ilogpo2;
dd = transpose(chol(CovJump));
try
dd = transpose(chol(CovJump));
catch
dd = eye(length(CovJump));
end
while j<=MaxNumberOfTuningSimulations
proposal = iScale*dd*randn(npar,1) + ix2;
if all(proposal > mh_bounds(:,1)) & all(proposal < mh_bounds(:,2))