Correctly update covariance matrix of exogenous shocks during prior simulation

2018-11-14 08:35:43 +01:00 · 2018-11-14 08:35:43 +01:00 · 68d3852cbf
parent 463e42a18f
commit 68d3852cbf
1 changed files with 1 additions and 0 deletions
--- a/matlab/cli/prior.m
+++ b/matlab/cli/prior.m
@ -171,6 +171,7 @@ if ismember('moments(distribution)', varargin) % Prior simulations (BK).
                dr = tmp.pdraws{j,3};
                oo__ = oo_;
                oo__.dr = dr;
+                Model=set_parameters_locally(Model,tmp.pdraws{j,1});% Needed to update the covariance matrix of the state innovations.
                oo__ = disp_th_moments(oo__.dr, [], Model, options_, oo__);
                FirstOrderMoments(:,iter) = oo__.mean;
                SecondOrderMoments(:,:,iter) = oo__.var;