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v 4.0.2: simpler solution to problem with unobserved stochastic trends 

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2149 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
michel 2008-10-13 20:08:13 +00:00
parent f58cdcf676
commit 63f5008305
2 changed files with 12 additions and 28 deletions
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6
matlab/DsgeLikelihood.m
View File

@ -241,17 +241,17 @@ function [fval,cost_flag,ys,trend_coeff,info] = DsgeLikelihood(xparam1,gend,data
Z = QT(mf,:);
R1 = QT'*R;
% [u,s,v]=svd(Z*ST(:,1:nk),0);
% [u,s,v]=svd(Z*ST(:,1:nk),0);
[QQ,RR,EE] = qr(Z*ST(:,1:nk),0);
k = find(abs(diag(RR)) < 1e-8);
if length(k) > 0
k1 = find(ismember(EE,k)); %find(EE(:,k));
k1 = EE(:,k);
% [junk,k1] = max(abs(v(:,k)));
dd =ones(nk,1);
dd(k1) = zeros(length(k1),1);
Pinf(1:nk,1:nk) = diag(dd);
end
end
%------------------------------------------------------------------------------
% 4. Likelihood evaluation

34
matlab/DsgeSmoother.m
View File

@ -175,16 +175,15 @@ function [alphahat,etahat,epsilonhat,ahat,SteadyState,trend_coeff,aK,T,R,P,PK,d,
Z = QT(mf,:);
R1 = QT'*R;
% [u,s,v]=svd(Z*ST(:,1:nk),0);
[QQ,RR,EE] = qr(Z*ST(:,1:nk),0);
k = find(abs(diag(RR)) < 1e-8);
if length(k) > 0
k1 = find(ismember(EE,k)); %find(EE(:,k));
% [junk,k1] = max(abs(v(:,k)));
dd =ones(nk,1);
dd(k1) = zeros(length(k1),1);
Pinf(1:nk,1:nk) = diag(dd);
end
% $$$ [u,s,v]=svd(Z*ST(:,1:nk),0);
% $$$ k = find(abs(diag(s)) < 1e-8);
% $$$ if length(k) > 0
% $$$ [junk,k1] = max(abs(v(:,k)));
% $$$ dd =ones(nk,1);
% $$$ dd(k1) = zeros(length(k1),1);
% $$$ Pinf(1:nk,1:nk) = diag(dd);
% $$$ end
Pinf(1:nk,1:nk) = eye(nk);
end
% -----------------------------------------------------------------------------
% 4. Kalman smoother
@ -282,18 +281,3 @@ function [alphahat,etahat,epsilonhat,ahat,SteadyState,trend_coeff,aK,T,R,P,PK,d,
end
end
end
aE=T*alphahat;
global ss_
ss_.T=T;
ss_.R=R;
ss_.a=alphahat(:,end);
ss_.a1=alphahat(:,1);
ss_.ss=SteadyState(oo_.dr.order_var);
for j= (length(ss_.ss)+1):length(T),
ss_.ss(j)=ss_.ss(find(T(j,:)));
end
ss_.etahat=etahat;
% ss_.af=af;
ss_.aE=aE;