bug fix + inclusion of prior derivatives in analytic computations.
parent
9d2e153ef2
commit
3d2e55274d
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@ -442,7 +442,7 @@ if analytic_derivation
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full_Hess = 0;
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full_Hess = 0;
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DLIK = [];
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DLIK = [];
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AHess = [];
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AHess = [];
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if nargin<7 || isempty(derivatives_info)
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if nargin<8 || isempty(derivatives_info)
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[A,B,nou,nou,Model,DynareOptions,DynareResults] = dynare_resolve(Model,DynareOptions,DynareResults);
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[A,B,nou,nou,Model,DynareOptions,DynareResults] = dynare_resolve(Model,DynareOptions,DynareResults);
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if ~isempty(EstimatedParameters.var_exo)
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if ~isempty(EstimatedParameters.var_exo)
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indexo=EstimatedParameters.var_exo(:,1);
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indexo=EstimatedParameters.var_exo(:,1);
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@ -643,7 +643,19 @@ end
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% ------------------------------------------------------------------------------
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% ------------------------------------------------------------------------------
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% 5. Adds prior if necessary
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% 5. Adds prior if necessary
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% ------------------------------------------------------------------------------
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% ------------------------------------------------------------------------------
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lnprior = priordens(xparam1,BayesInfo.pshape,BayesInfo.p6,BayesInfo.p7,BayesInfo.p3,BayesInfo.p4);
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if analytic_derivation
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if full_Hess,
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[lnprior, dlnprior, d2lnprior] = priordens(xparam1,BayesInfo.pshape,BayesInfo.p6,BayesInfo.p7,BayesInfo.p3,BayesInfo.p4);
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AHess = Hess + d2lnprior;
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else
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[lnprior, dlnprior] = priordens(xparam1,BayesInfo.pshape,BayesInfo.p6,BayesInfo.p7,BayesInfo.p3,BayesInfo.p4);
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end
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if no_DLIK==0
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DLIK = DLIK - dlnprior';
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end
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else
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lnprior = priordens(xparam1,BayesInfo.pshape,BayesInfo.p6,BayesInfo.p7,BayesInfo.p3,BayesInfo.p4);
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end
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fval = (likelihood-lnprior);
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fval = (likelihood-lnprior);
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% Update DynareOptions.kalman_algo.
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% Update DynareOptions.kalman_algo.
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