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Fixed bug related to squeeze. Replaced matlab's squeeze function by dynare_squeeze.

time-shift
Stéphane Adjemian (Karaba) 2010-02-13 19:19:57 +01:00
parent 498c10b2ab
commit 44623a1d3f
12 changed files with 30 additions and 30 deletions
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6
matlab/DiffuseKalmanSmoother1.m
View File

@ -99,7 +99,7 @@ while rank(Pinf(:,:,t+1),crit1) & t<smpl
a(:,t+1) = T*atilde(:,t);
aK(1,:,t+1) = a(:,t+1);
for jnk=2:nk,
aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
aK(jnk,:,t+jnk) = T*dynare_squeeze(aK(jnk-1,:,t+jnk-1));
end
Linf(:,:,t) = T - Kinf(:,:,t)*Z;
Fstar(:,:,t) = Pstar(mf,mf,t);
@ -131,7 +131,7 @@ while notsteady & t<smpl
a(:,t+1) = T*atilde(:,t);
aK(1,:,t+1) = a(:,t+1);
for jnk=2:nk,
aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1))';
aK(jnk,:,t+jnk) = T*dynare_squeeze(aK(jnk-1,:,t+jnk-1));
end
P(:,:,t+1) = T*P(:,:,t)*transpose(T)-T*P(:,mf,t)*transpose(K(:,:,t)) + QQ;
notsteady = ~(max(max(abs(P(:,:,t+1)-P(:,:,t))))<crit);
@ -154,7 +154,7 @@ while t<smpl
a(:,t+1) = T*a(:,t) + K_s*v(:,t);
aK(1,:,t+1) = a(:,t+1);
for jnk=2:nk,
aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1))';
aK(jnk,:,t+jnk) = T*dynare_squeeze(aK(jnk-1,:,t+jnk-1));
end
end
t = smpl+1;

6
matlab/DiffuseKalmanSmoother1_Z.m
View File

@ -106,7 +106,7 @@ while rank(Pinf(:,:,t+1),crit1) & t<smpl
aK(1,:,t+1) = a(:,t+1);
% isn't a meaningless as long as we are in the diffuse part? MJ
for jnk=2:nk
aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
aK(jnk,:,t+jnk) = T*dynare_squeeze(aK(jnk-1,:,t+jnk-1));
end
Linf(:,:,t) = T - Kinf(:,:,t)*Z;
Fstar(:,:,t) = Z*Pstar(:,:,t)*Z';
@ -143,7 +143,7 @@ while notsteady & t<smpl
Pf = T*Pf*T' + QQ;
PK(jnk,:,:,t+jnk) = Pf;
if jnk>1
aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
aK(jnk,:,t+jnk) = T*dynare_squeeze(aK(jnk-1,:,t+jnk-1));
end
end
P(:,:,t+1) = T*P(:,:,t)*T'-T*P(:,:,t)*Z'*K(:,:,t)' + QQ;
@ -170,7 +170,7 @@ while t<smpl
Pf = T*Pf*T' + QQ;
PK(jnk,:,:,t+jnk) = Pf;
if jnk>1
aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
aK(jnk,:,t+jnk) = T*dynare_squeeze(aK(jnk-1,:,t+jnk-1));
end
end
end

6
matlab/DiffuseKalmanSmoother3.m
View File

@ -168,7 +168,7 @@ while newRank & t < smpl
a1(:,t+1) = T*a(:,t);
aK(1,:,t+1) = a1(:,t+1);
for jnk=2:nk
aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
aK(jnk,:,t+jnk) = T*dynare_squeeze(aK(jnk-1,:,t+jnk-1));
end
Pstar(:,:,t+1) = T*Pstar(:,:,t)*transpose(T)+ QQ;
Pinf(:,:,t+1) = T*Pinf(:,:,t)*transpose(T);
@ -215,7 +215,7 @@ while notsteady & t<smpl
Pf = T*Pf*T' + QQ;
PK(jnk,:,:,t+jnk) = Pf;
if jnk>1
aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
aK(jnk,:,t+jnk) = T*dynare_squeeze(aK(jnk-1,:,t+jnk-1));
end
end
P(:,:,t+1) = T*P(:,:,t)*transpose(T) + QQ;
@ -248,7 +248,7 @@ while t<smpl
Pf = T*Pf*T' + QQ;
PK(jnk,:,:,t+jnk) = Pf;
if jnk>1
aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
aK(jnk,:,t+jnk) = T*dynare_squeeze(aK(jnk-1,:,t+jnk-1));
end
end
end

2
matlab/DiffuseKalmanSmoother3_Z.m
View File

@ -211,7 +211,7 @@ while notsteady & t<smpl
Pf = T*Pf*T' + QQ;
PK(jnk,:,:,t+jnk) = Pf;
if jnk>1
aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
aK(jnk,:,t+jnk) = T*dynare_squeeze(aK(jnk-1,:,t+jnk-1));
end
end
P(:,:,t+1) = T*P(:,:,t)*T' + QQ;

6
matlab/DiffuseKalmanSmootherH1.m
View File

@ -100,7 +100,7 @@ while rank(Pinf(:,:,t+1),crit1) & t<smpl
a(:,t+1) = T*atilde(:,t);
aK(1,:,t+1) = a(:,t+1);
for jnk=1:nk
aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
aK(jnk,:,t+jnk) = T*dynare_squeeze(aK(jnk-1,:,t+jnk-1));
end
Linf(:,:,t) = T - Kinf(:,:,t)*Z;
Fstar(:,:,t) = Pstar(mf,mf,t) + H;
@ -132,7 +132,7 @@ while notsteady & t<smpl
a(:,t+1) = T*atilde(:,t);
aK(1,:,t+1) = a(:,t+1);
for jnk=2:nk
aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
aK(jnk,:,t+jnk) = T*dynare_squeeze(aK(jnk-1,:,t+jnk-1));
end
P(:,:,t+1) = T*P(:,:,t)*transpose(T)-T*P(:,mf,t)*transpose(K(:,:,t)) + QQ;
notsteady = ~(max(max(abs(P(:,:,t+1)-P(:,:,t))))<crit);
@ -155,7 +155,7 @@ while t<smpl
a(:,t+1) = T*atilde(:,t);
aK(1,:,t+1) = a(:,t+1);
for jnk=2:nk
aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
aK(jnk,:,t+jnk) = T*dynare_squeeze(aK(jnk-1,:,t+jnk-1));
end
end
t = smpl+1;

6
matlab/DiffuseKalmanSmootherH1_Z.m
View File

@ -109,7 +109,7 @@ while rank(Pinf(:,:,t+1),crit1) & t<smpl
aK(1,:,t+1) = a(:,t+1);
% isn't a meaningless as long as we are in the diffuse part? MJ
for jnk=2:nk
aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
aK(jnk,:,t+jnk) = T*dynare_squeeze(aK(jnk-1,:,t+jnk-1));
end
Linf(:,:,t) = T - Kinf(:,:,t)*Z;
Fstar(:,:,t) = Z*Pstar(:,:,t)*Z' + H;
@ -146,7 +146,7 @@ while notsteady & t<smpl
Pf = T*Pf*T' + QQ;
PK(jnk,:,:,t+jnk) = Pf;
if jnk>1
aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
aK(jnk,:,t+jnk) = T*dynare_squeeze(aK(jnk-1,:,t+jnk-1));
end
end
P(:,:,t+1) = T*P(:,:,t)*T'-T*P(:,:,t)*Z'*K(:,:,t)' + QQ;
@ -173,7 +173,7 @@ while t<smpl
Pf = T*Pf*T' + QQ;
PK(jnk,:,:,t+jnk) = Pf;
if jnk>1
aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
aK(jnk,:,t+jnk) = T*dynare_squeeze(aK(jnk-1,:,t+jnk-1));
end
end
end

6
matlab/DiffuseKalmanSmootherH3.m
View File

@ -166,7 +166,7 @@ while newRank & t < smpl
a1(:,t+1) = T*a(:,t);
aK(1,:,t+1) = a1(:,t+1)
for jnk=2:nk
aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
aK(jnk,:,t+jnk) = T*dynare_squeeze(aK(jnk-1,:,t+jnk-1));
end
Pstar(:,:,t+1) = T*Pstar(:,:,t)*transpose(T)+ QQ;
Pinf(:,:,t+1) = T*Pinf(:,:,t)*transpose(T);
@ -209,7 +209,7 @@ while notsteady & t<smpl
a1(:,t+1) = T*a(:,t);
aK(1,:,t+1) = a1(:,t+1);
for jnk=2:nk
aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
aK(jnk,:,t+jnk) = T*dynare_squeeze(aK(jnk-1,:,t+jnk-1));
end
P(:,:,t+1) = T*P(:,:,t)*transpose(T) + QQ;
notsteady = ~(max(max(abs(P(:,:,t+1)-P(:,:,t))))<crit);
@ -237,7 +237,7 @@ while t<smpl
a1(:,t+1) = T*a(:,t);
aK(1,:,t+1) = a1(:,t+1);
for jnk=2:nk
aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
aK(jnk,:,t+jnk) = T*dynare_squeeze(aK(jnk-1,:,t+jnk-1));
end
end
ri=zeros(mm,1);

6
matlab/DiffuseKalmanSmootherH3corr.m
View File

@ -124,7 +124,7 @@ while newRank & t < smpl
a1(:,t+1) = T*a(:,t);
aK(1,:,t+1) = a1(:,t+1)
for jnk=2:nk
aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
aK(jnk,:,t+jnk) = T*dynare_squeeze(aK(jnk-1,:,t+jnk-1));
end
Pstar(:,:,t+1) = T*Pstar(:,:,t)*transpose(T)+ QQ;
Pinf(:,:,t+1) = T*Pinf(:,:,t)*transpose(T);
@ -162,7 +162,7 @@ while notsteady & t<smpl
a1(:,t+1) = T*a(:,t);
aK(1,:,t+1) = a1(:,t+1);
for jnk=2:nk
aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
aK(jnk,:,t+jnk) = T*dynare_squeeze(aK(jnk-1,:,t+jnk-1));
end
P(:,:,t+1) = T*P(:,:,t)*transpose(T) + QQ;
notsteady = ~(max(max(abs(P(:,:,t+1)-P(:,:,t))))<crit);
@ -190,7 +190,7 @@ while t<smpl
a1(:,t+1) = T*a(:,t);
aK(1,:,t+1) = a1(:,t+1);
for jnk=2:nk
aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
aK(jnk,:,t+jnk) = T*dynare_squeeze(aK(jnk-1,:,t+jnk-1));
end
end

4
matlab/missing_DiffuseKalmanSmoother1.m
View File

@ -115,7 +115,7 @@ while rank(Pinf(:,:,t+1),crit1) & t<smpl
end
aK(1,:,t+1) = a(:,t+1);
for jnk=2:nk
aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
aK(jnk,:,t+jnk) = T*dynare_squeeze(aK(jnk-1,:,t+jnk-1));
end
end
d = t;
@ -150,7 +150,7 @@ while notsteady & t<smpl
end
aK(1,:,t+1) = a(:,t+1);
for jnk=2:nk,
aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
aK(jnk,:,t+jnk) = T*dynare_squeeze(aK(jnk-1,:,t+jnk-1));
end
P(:,:,t+1) = T*P(:,:,t)*transpose(T)-T*P(:,mf,t)*transpose(K(:,:,t)) + QQ;
% notsteady = ~(max(max(abs(P(:,:,t+1)-P(:,:,t))))<crit);

4
matlab/missing_DiffuseKalmanSmoother1_Z.m
View File

@ -121,7 +121,7 @@ while rank(Pinf(:,:,t+1),crit1) & t<smpl
aK(1,:,t+1) = a(:,t+1);
% isn't a meaningless as long as we are in the diffuse part? MJ
for jnk=2:nk,
aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
aK(jnk,:,t+jnk) = T*dynare_squeeze(aK(jnk-1,:,t+jnk-1));
end
end
d = t;
@ -162,7 +162,7 @@ while notsteady & t<smpl
Pf = T*Pf*T' + QQ;
PK(jnk,:,:,t+jnk) = Pf;
if jnk>1
aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
aK(jnk,:,t+jnk) = T*dynare_squeeze(aK(jnk-1,:,t+jnk-1));
end
end
% notsteady = ~(max(max(abs(P(:,:,t+1)-P(:,:,t))))<crit);

4
matlab/missing_DiffuseKalmanSmoother3.m
View File

@ -170,7 +170,7 @@ while newRank & t < smpl
a1(:,t+1) = T*a(:,t);
aK(1,:,t+1) = a1(:,t+1);
for jnk=2:nk
aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
aK(jnk,:,t+jnk) = T*dynare_squeeze(aK(jnk-1,:,t+jnk-1));
end
Pstar(:,:,t+1) = T*Pstar(:,:,t)*transpose(T)+ QQ;
Pinf(:,:,t+1) = T*Pinf(:,:,t)*transpose(T);
@ -218,7 +218,7 @@ while notsteady & t<smpl
Pf = T*Pf*T' + QQ;
PK(jnk,:,:,t+jnk) = Pf;
if jnk>1
aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
aK(jnk,:,t+jnk) = T*dynare_squeeze(aK(jnk-1,:,t+jnk-1));
end
end
P(:,:,t+1) = T*P(:,:,t)*transpose(T) + QQ;

4
matlab/missing_DiffuseKalmanSmoother3_Z.m
View File

@ -166,7 +166,7 @@ while newRank & t < smpl
a1(:,t+1) = T*a(:,t);
aK(1,:,t+1) = a1(:,t+1);
for jnk=2:nk
aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
aK(jnk,:,t+jnk) = T*dynare_squeeze(aK(jnk-1,:,t+jnk-1));
end
Pstar(:,:,t+1) = T*Pstar(:,:,t)*T'+ QQ;
Pinf(:,:,t+1) = T*Pinf(:,:,t)*T';
@ -214,7 +214,7 @@ while notsteady & t<smpl
Pf = T*Pf*T' + QQ;
PK(jnk,:,:,t+jnk) = Pf;
if jnk>1
aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
aK(jnk,:,t+jnk) = T*dynare_squeeze(aK(jnk-1,:,t+jnk-1));
end
end
P(:,:,t+1) = T*P(:,:,t)*T' + QQ;