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v4: fixed bug concerning handling of filter decomposition (decomp) in DiffuseKalmanSmoother1_Z. and DsgeSmoother.m 

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1814 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
michel 2008-05-01 15:41:15 +00:00
parent b99d608b7e
commit 6352e90b26
3 changed files with 40 additions and 5 deletions
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30
matlab/DiffuseKalmanSmoother1_Z.m
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@ -1,4 +1,4 @@
function [alphahat,etahat,a,aK,P,PK,d] = DiffuseKalmanSmoother1_Z(T,Z,R,Q,Pinf1,Pstar1,Y,pp,mm,smpl)
function [alphahat,etahat,a,aK,P,PK,d,decomp] = DiffuseKalmanSmoother1_Z(T,Z,R,Q,Pinf1,Pstar1,Y,pp,mm,smpl)
% function [alphahat,etahat,a, aK] = DiffuseKalmanSmoother1(T,Z,R,Q,Pinf1,Pstar1,Y,pp,mm,smpl)
% Computes the diffuse kalman smoother without measurement error, in the case of a non-singular var-cov matrix
@ -27,6 +27,7 @@ function [alphahat,etahat,a,aK,P,PK,d] = DiffuseKalmanSmoother1_Z(T,Z,R,Q,Pinf1,
% matrices (meaningless for periods 1:d)
% d: number of periods where filter remains in diffuse part
% (should be equal to the order of integration of the model)
% decomp: decomposition of the effect of shocks on filtered values
%
% SPECIAL REQUIREMENTS
% See "Filtering and Smoothing of State Vector for Diffuse State Space
@ -47,6 +48,7 @@ function [alphahat,etahat,a,aK,P,PK,d] = DiffuseKalmanSmoother1_Z(T,Z,R,Q,Pinf1,
global options_
d = 0;
decomp = [];
nk = options_.nk;
spinf = size(Pinf1);
spstar = size(Pstar1);
@ -176,3 +178,29 @@ else
alphahat(:,1) = a(:,1) + P(:,:,1)*r0;
etahat(:,1) = QRt*r(:,1);
end
if nargout > 7
decomp = zeros(nk,mm,rr,smpl+nk);
ZRQinv = inv(Z*QQ*Z');
for t = d:smpl
ri_d = zeros(mm,1);
for i=pp:-1:1
if Fi(i,t) > crit
ri_d = Z(i,:)'/Fi(i,t)*v(i,t)+Li(:,:,i,t)'*ri_d;
end
end
% calculate eta_tm1t
eta_tm1t = QRt*ri_d;
% calculate decomposition
Ttok = eye(mm,mm);
for h = 1:nk
for j=1:rr
eta=zeros(rr,1);
eta(j) = eta_tm1t(j);
decomp(h,:,j,t+h) = Ttok*P1(:,:,t)*Z'*ZRQinv*Z*R*eta;
end
Ttok = T*Ttok;
end
end
end

4
matlab/DiffuseKalmanSmoother3_Z.m
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@ -54,7 +54,7 @@ function [alphahat,etahat,a1,P,aK,PK,d,decomp] = DiffuseKalmanSmoother3_Z(T,Z,R,
global options_
d = 0;
decomp = [];
nk = options_.nk;
spinf = size(Pinf1);
spstar = size(Pstar1);
@ -319,4 +319,4 @@ if nargout > 7
Ttok = T*Ttok;
end
end
end
end

11
matlab/DsgeSmoother.m
View File

@ -183,15 +183,22 @@ function [alphahat,etahat,epsilonhat,ahat,SteadyState,trend_coeff,aK,T,R,P,PK,d,
if options_.kalman_algo == 1
[alphahat,etahat,ahat,aK] = DiffuseKalmanSmoother1(T,R,Q,Pinf,Pstar,Y,trend,nobs,np,smpl,mf);
if all(alphahat(:)==0)
[alphahat,etahat,ahat,aK] = DiffuseKalmanSmoother3(T,R,Q,Pinf,Pstar,Y,trend,nobs,np,smpl,mf);
options_.kalman_algo = 3;
[alphahat,etahat,ahat,aK] = DiffuseKalmanSmoother3(T,R,Q,Pinf,Pstar,Y,trend,nobs,np,smpl,mf);
end
elseif options_.kalman_algo == 3
[alphahat,etahat,ahat,aK] = DiffuseKalmanSmoother3(T,R,Q,Pinf,Pstar,Y,trend,nobs,np,smpl,mf);
elseif options_.kalman_algo == 4 | options_.kalman_algo == 5
data1 = Y - trend;
if options_.kalman_algo == 4
[alphahat,etahat,ahat,P,aK,PK,d] = DiffuseKalmanSmoother1_Z(ST, ...
[alphahat,etahat,ahat,P,aK,PK,d,decomp] = DiffuseKalmanSmoother1_Z(ST, ...
Z,R1,Q,Pinf,Pstar,data1,nobs,np,smpl);
if all(alphahat(:)==0)
options_.kalman_algo = 5;
[alphahat,etahat,ahat,P,aK,PK,d,decomp] = DiffuseKalmanSmoother3_Z(ST, ...
Z,R1,Q,Pinf,Pstar, ...
data1,nobs,np,smpl);
end
else
[alphahat,etahat,ahat,P,aK,PK,d,decomp] = DiffuseKalmanSmoother3_Z(ST, ...
Z,R1,Q,Pinf,Pstar,data1,nobs,np,smpl);