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Do not detrend the data (nonlinear filters).

time-shift
Stéphane Adjemian (Charybdis) 2015-01-07 16:27:41 +01:00
parent f195fade13
commit 647d7b9761
1 changed files with 1 additions and 22 deletions
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23
matlab/non_linear_dsge_likelihood.m
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@ -227,32 +227,11 @@ end
% Define a vector of indices for the observed variables. Is this really usefull?...
BayesInfo.mf = BayesInfo.mf1;
% Define the deterministic linear trend of the measurement equation.
if DynareOptions.noconstant
constant = zeros(DynareDataset.vobs,1);
else
constant = SteadyState(BayesInfo.mfys);
end
% Define the deterministic linear trend of the measurement equation.
if BayesInfo.with_trend
trend_coeff = zeros(DynareDataset.vobs,1);
t = DynareOptions.trend_coeffs;
for i=1:length(t)
if ~isempty(t{i})
trend_coeff(i) = evalin('base',t{i});
end
end
trend = repmat(constant,1,DynareDataset.nobs)+trend_coeff*[1:DynareDataset.nobs];
else
trend = repmat(constant,1,DynareDataset.nobs);
end
% Get needed informations for kalman filter routines.
start = DynareOptions.presample+1;
np = size(T,1);
mf = BayesInfo.mf;
Y = transpose(DynareDataset.data)-trend;
Y = transpose(DynareDataset.data);
%------------------------------------------------------------------------------
% 3. Initial condition of the Kalman filter