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bug fix: the anlytic hessian was wrong with estimated stderr. 

Manual cherry pick from Commit: 36853cb7615de41ca61ed92decf8bbe81ab40cba
time-shift
Marco Ratto 2012-08-02 14:57:20 +02:00
parent fe8ae2c565
commit 47353a276b
1 changed files with 7 additions and 7 deletions
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14
matlab/dsge_likelihood.m
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@ -568,16 +568,16 @@ if analytic_derivation,
if full_Hess
DTj = DT(:,:,j+offset);
DPj = dum;
for i=1:j,
DTi = DT(:,:,i+offset);
DPi = DP(:,:,i+offset);
D2Tij = D2T(:,:,i,j);
D2Omij = D2Om(:,:,i,j);
for i=1:j+offset,
DTi = DT(:,:,i);
DPi = DP(:,:,i);
D2Tij = D2T(:,:,i,j+offset);
D2Omij = D2Om(:,:,i,j+offset);
tmp = D2Tij*Pstar*T' + T*Pstar*D2Tij' + DTi*DPj*T' + DTj*DPi*T' + T*DPj*DTi' + T*DPi*DTj' + DTi*Pstar*DTj' + DTj*Pstar*DTi' + D2Omij;
dum = lyapunov_symm(T,tmp,DynareOptions.qz_criterium,DynareOptions.lyapunov_complex_threshold);
dum(abs(dum)<1.e-12) = 0;
D2P(:,:,i+offset,j+offset) = dum;
D2P(:,:,j+offset,i+offset) = dum;
D2P(:,:,i,j+offset) = dum;
D2P(:,:,j+offset,i) = dum;
end
end
end