Port state variance initialization fix from dab5d38068
parent
1b7dc985cd
commit
5e1c3b282b
|
@ -185,15 +185,22 @@ if setinitialcondition
|
|||
switch DynareOptions.particle.initialization
|
||||
case 1% Initial state vector covariance is the ergodic variance associated to the first order Taylor-approximation of the model.
|
||||
StateVectorMean = ReducedForm.state_variables_steady_state;%.constant(mf0);
|
||||
StateVectorVariance = lyapunov_symm(ReducedForm.ghx(mf0,:),ReducedForm.ghu(mf0,:)*ReducedForm.Q*ReducedForm.ghu(mf0,:)',DynareOptions.lyapunov_fixed_point_tol,DynareOptions.qz_criterium,DynareOptions.lyapunov_complex_threshold);
|
||||
[A,B] = kalman_transition_matrix(dr,dr.restrict_var_list,dr.restrict_columns,Model.exo_nbr);
|
||||
StateVectorVariance2 = lyapunov_symm(ReducedForm.ghx(mf0,:),ReducedForm.ghu(mf0,:)*ReducedForm.Q*ReducedForm.ghu(mf0,:)',DynareOptions.lyapunov_fixed_point_tol,DynareOptions.qz_criterium,DynareOptions.lyapunov_complex_threshold);
|
||||
StateVectorVariance = lyapunov_symm(A, B*ReducedForm.Q*B', DynareOptions.lyapunov_fixed_point_tol, ...
|
||||
DynareOptions.qz_criterium, DynareOptions.lyapunov_complex_threshold, [], DynareOptions.debug);
|
||||
StateVectorVariance = StateVectorVariance(mf0,mf0);
|
||||
case 2% Initial state vector covariance is a monte-carlo based estimate of the ergodic variance (consistent with a k-order Taylor-approximation of the model).
|
||||
StateVectorMean = ReducedForm.state_variables_steady_state;%.constant(mf0);
|
||||
old_DynareOptionsperiods = DynareOptions.periods;
|
||||
DynareOptions.periods = 5000;
|
||||
y_ = simult(oo_.steady_state, dr, Model, DynareOptions, DynareResults);
|
||||
y_ = y_(state_variables_idx,2001:5000);
|
||||
old_DynareOptionspruning = DynareOptions.pruning;
|
||||
DynareOptions.pruning = DynareOptions.particle.pruning;
|
||||
y_ = simult(dr.ys, dr, Model, DynareOptions, DynareResults);
|
||||
y_ = y_(dr.order_var(state_variables_idx),2001:DynareOptions.periods);
|
||||
StateVectorVariance = cov(y_');
|
||||
DynareOptions.periods = old_DynareOptionsperiods;
|
||||
DynareOptions.pruning = old_DynareOptionspruning;
|
||||
clear('old_DynareOptionsperiods','y_');
|
||||
case 3% Initial state vector covariance is a diagonal matrix.
|
||||
StateVectorMean = ReducedForm.state_variables_steady_state;%.constant(mf0);
|
||||
|
|
Loading…
Reference in New Issue