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Merge pull request #527 from JohannesPfeifer/bugfix_corr 

Bugfixes for set_param_values and for purely static models
time-shift
Houtan Bastani 2013-11-07 01:31:20 -08:00
parent 4626a1cf0f a0da47758f
commit 40fc867e28
3 changed files with 8 additions and 5 deletions
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4
doc/dynare.texi
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@ -4172,7 +4172,7 @@ end;
@deffnx Block estimated_params_init (@var{OPTIONS}@dots{});
This block declares numerical initial values for the optimizer when
these ones are different from the prior mean.
these ones are different from the prior mean. It should be specified after the @code{estimated_params}-block as otherwise the specified starting values are overwritten by the latter.
Each line has the following syntax:
@ -4186,7 +4186,7 @@ stderr VARIABLE_NAME | corr VARIABLE_NAME_1, VARIABLE_NAME_2 | PARAMETER_NAME
@table @code
@item use_calibration
Use the parameters from calibration as starting values for estimation.
For not specifically intialized parameters, use the deep parameters and the elements of the covariance matrix specified in the @code{shocks}-block from calibration as starting values for estimation. For components of the @code{shocks}-block that were not explicitly specified during calibration or which violate the prior, the prior mean is used.
@end table
@xref{estimated_params}, for the meaning and syntax of the various components.

4
matlab/set_parameters.m
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@ -67,8 +67,8 @@ end
%build covariance matrix from correlation matrix and variances already on
%diagonal
Sigma_e = diag(sqrt(diag(Sigma_e)))*Correlation_matrix*diag(sqrt(diag(Sigma_e)));
if isfield(estim_params,'calibrated_covariances')
Sigma_e(estim_params.calibrated_covariances.position)=estim_params.calibrated_covariances.cov_value;
if isfield(estim_params_,'calibrated_covariances')
Sigma_e(estim_params_.calibrated_covariances.position)=estim_params_.calibrated_covariances.cov_value;
end
% and update offset

5
matlab/set_state_space.m
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@ -34,7 +34,7 @@ function dr=set_state_space(dr,DynareModel,DynareOptions)
%! @end deftypefn
%@eod:
% Copyright (C) 1996-2012 Dynare Team
% Copyright (C) 1996-2013 Dynare Team
%
% This file is part of Dynare.
%
@ -84,6 +84,9 @@ if max_lag > 0
end
kmask = [kmask; lead_lag_incidence(1,order_var)] ;
else
if max_lead==0 %%in this case lead_lag_incidence has no entry max_lag+2
error('Dynare currently does not allow to solve purely static models in a stochastic context.')
end
kmask = lead_lag_incidence(max_lag+2,order_var) ;
end