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Fixed bugs (initialization of the Kalman filter with the fixed point of the Riccatti equation).

time-shift
Stéphane Adjemian (Charybdis) 2012-05-30 17:59:05 +02:00
parent 0caaeddb46
commit 3cbd702b3e
1 changed files with 7 additions and 5 deletions
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6
matlab/dsge_likelihood.m
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@ -475,9 +475,9 @@ switch DynareOptions.lik_init
kalman_algo = 1;
end
if isequal(H,0)
[err,Pstar] = kalman_steady_state(transpose(T),R*Q*transpose(R),transpose(build_selection_matrix(Z,np,length(Z))));
[err,Pstar] = kalman_steady_state(transpose(T),R*Q*transpose(R),transpose(build_selection_matrix(Z,mm,length(Z))));
else
[err,Pstar] = kalman_steady_state(transpose(T),R*Q*transpose(R),transpose(build_selection_matrix(Z,np,length(Z))),H);
[err,Pstar] = kalman_steady_state(transpose(T),R*Q*transpose(R),transpose(build_selection_matrix(Z,mm,length(Z))),H);
end
if err
disp(['dsge_likelihood:: I am not able to solve the Riccati equation, so I switch to lik_init=1!']);
@ -485,6 +485,8 @@ switch DynareOptions.lik_init
Pstar = lyapunov_symm(T,R*Q*R',DynareOptions.qz_criterium,DynareOptions.lyapunov_complex_threshold);
end
Pinf = [];
a = zeros(mm,1);
Zflag = 0;
otherwise
error('dsge_likelihood:: Unknown initialization approach for the Kalman filter!')
end