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bug fix + inclusion of prior derivatives in analytic computations.

time-shift
Marco Ratto 2011-11-07 09:19:36 +01:00
parent 9d2e153ef2
commit 3d2e55274d
1 changed files with 14 additions and 2 deletions
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16
matlab/DsgeLikelihood.m
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@ -442,7 +442,7 @@ if analytic_derivation
full_Hess = 0;
DLIK = [];
AHess = [];
if nargin<7 || isempty(derivatives_info)
if nargin<8 || isempty(derivatives_info)
[A,B,nou,nou,Model,DynareOptions,DynareResults] = dynare_resolve(Model,DynareOptions,DynareResults);
if ~isempty(EstimatedParameters.var_exo)
indexo=EstimatedParameters.var_exo(:,1);
@ -643,7 +643,19 @@ end
% ------------------------------------------------------------------------------
% 5. Adds prior if necessary
% ------------------------------------------------------------------------------
lnprior = priordens(xparam1,BayesInfo.pshape,BayesInfo.p6,BayesInfo.p7,BayesInfo.p3,BayesInfo.p4);
if analytic_derivation
if full_Hess,
[lnprior, dlnprior, d2lnprior] = priordens(xparam1,BayesInfo.pshape,BayesInfo.p6,BayesInfo.p7,BayesInfo.p3,BayesInfo.p4);
AHess = Hess + d2lnprior;
else
[lnprior, dlnprior] = priordens(xparam1,BayesInfo.pshape,BayesInfo.p6,BayesInfo.p7,BayesInfo.p3,BayesInfo.p4);
end
if no_DLIK==0
DLIK = DLIK - dlnprior';
end
else
lnprior = priordens(xparam1,BayesInfo.pshape,BayesInfo.p6,BayesInfo.p7,BayesInfo.p3,BayesInfo.p4);
end
fval = (likelihood-lnprior);
% Update DynareOptions.kalman_algo.