v4.1: corrected DsgeSmoother.m for unobserved trends
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2219 ac1d8469-bf42-47a9-8791-bf33cf982152time-shift
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fbeab98711
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@ -181,15 +181,14 @@ function [alphahat,etahat,epsilonhat,ahat,SteadyState,trend_coeff,aK,T,R,P,PK,d,
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Z = QT(mf,:);
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Z = QT(mf,:);
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R1 = QT'*R;
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R1 = QT'*R;
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% $$$ [u,s,v]=svd(Z*ST(:,1:nk),0);
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[QQ,RR,EE] = qr(Z*ST(:,1:nk),0);
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% $$$ k = find(abs(diag(s)) < 1e-8);
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k = find(abs(diag(RR)) < 1e-8);
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% $$$ if length(k) > 0
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if length(k) > 0
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% $$$ [junk,k1] = max(abs(v(:,k)));
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k1 = EE(:,k);
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% $$$ dd =ones(nk,1);
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dd =ones(nk,1);
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% $$$ dd(k1) = zeros(length(k1),1);
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dd(k1) = zeros(length(k1),1);
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% $$$ Pinf(1:nk,1:nk) = diag(dd);
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Pinf(1:nk,1:nk) = diag(dd);
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% $$$ end
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end
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Pinf(1:nk,1:nk) = eye(nk);
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end
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end
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% -----------------------------------------------------------------------------
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% -----------------------------------------------------------------------------
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% 4. Kalman smoother
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% 4. Kalman smoother
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