diff --git a/matlab/dsge_likelihood_1.m b/matlab/dsge_likelihood_1.m index 9ce8800dc..cfa54c0e8 100644 --- a/matlab/dsge_likelihood_1.m +++ b/matlab/dsge_likelihood_1.m @@ -347,14 +347,14 @@ if (kalman_algo == 2) || (kalman_algo == 4) H = diag(H); mmm = mm; else - Z = [Z, eye(pp)]; - T = blkdiag(T,zeros(pp)); - Q = blkdiag(Q,H); - R = blkdiag(R,eye(pp)); - % Pstar = blkdiag(Pstar,H); - % Pinf = blkdiag(Pinf,zeros(pp)); - H = zeros(pp,1); - mmm = mm+pp; + Z = [Z, eye(pp)]; + T = blkdiag(T,zeros(pp)); + Q = blkdiag(Q,H); + R = blkdiag(R,eye(pp)); + Pstar = blkdiag(Pstar,H); + Pinf = blkdiag(Pinf,zeros(pp)); + H = zeros(pp,1); + mmm = mm+pp; end end end diff --git a/matlab/evaluate_likelihood.m b/matlab/evaluate_likelihood.m index f872f76c9..7e6c1f087 100644 --- a/matlab/evaluate_likelihood.m +++ b/matlab/evaluate_likelihood.m @@ -70,6 +70,6 @@ if isempty(dataset) [dataset, dataset_info] = makedataset(options_); end -llik = -dsge_likelihood_1(parameters,dataset,dataset_info,options_,M_,estim_params_,bayestopt_,prior_bounds(bayestopt_,options_),oo_); +llik = -dsge_likelihood(parameters,dataset,dataset_info,options_,M_,estim_params_,bayestopt_,prior_bounds(bayestopt_,options_),oo_); ldens = evaluate_prior(parameters); llik = llik - ldens; \ No newline at end of file diff --git a/matlab/osr1.m b/matlab/osr1.m index b85f3bd19..97113af6b 100644 --- a/matlab/osr1.m +++ b/matlab/osr1.m @@ -77,7 +77,7 @@ inv_order_var = oo_.dr.inv_order_var; %extract unique entries of covariance i_var=unique(i_var); %% do initial checks -[loss,info,exit_flag,vx]=osr_obj_1(t0,i_params,inv_order_var(i_var),weights(i_var,i_var)); +[loss,info,exit_flag,vx]=osr_obj(t0,i_params,inv_order_var(i_var),weights(i_var,i_var)); if info~=0 print_info(info, options_.noprint, options_); else @@ -99,7 +99,7 @@ elseif isequal(options_.osr.opt_algo,10) error('OSR: OSR does not support opt_algo=10.') else %%do actual optimization -[p, f, exitflag] = dynare_minimize_objective(str2func('osr_obj_1'),t0,options_.osr.opt_algo,options_,[],cellstr(M_.param_names(i_params,:)),[],[], i_params,... +[p, f, exitflag] = dynare_minimize_objective(str2func('osr_obj'),t0,options_.osr.opt_algo,options_,[],cellstr(M_.param_names(i_params,:)),[],[], i_params,... inv_order_var(i_var),weights(i_var,i_var)); end diff --git a/tests/kalman/likelihood_from_dynare/fs2000_corr_ME.mod b/tests/kalman/likelihood_from_dynare/fs2000_corr_ME.mod index 79aa27534..304bd7929 100644 --- a/tests/kalman/likelihood_from_dynare/fs2000_corr_ME.mod +++ b/tests/kalman/likelihood_from_dynare/fs2000_corr_ME.mod @@ -117,16 +117,16 @@ options_.debug=1; %%default options_.lik_init=1; -//estimation(kalman_algo=0,mode_compute=4,order=1,datafile='../../fs2000/fsdat_simul',smoother,filter_decomposition,forecast = 8,filtered_vars,filter_step_ahead=[1,3],irf=20) m P c e W R k d y gy_obs; -//fval_algo_0=oo_.likelihood_at_initial_parameters; +estimation(kalman_algo=0,mode_compute=4,order=1,datafile='../../fs2000/fsdat_simul',smoother,filter_decomposition,forecast = 8,filtered_vars,filter_step_ahead=[1,3],irf=20) m P c e W R k d y gy_obs; +fval_algo_0=oo_.likelihood_at_initial_parameters; %%Multivariate Kalman Filter options_.lik_init=1; -//estimation(kalman_algo=1,mode_file=fs2000_corr_ME_mode,mode_compute=0,order=1,datafile='../../fs2000/fsdat_simul',smoother,filter_decomposition,forecast = 8,filtered_vars,filter_step_ahead=[1,3],irf=20) m P c e W R k d y gy_obs; -//fval_algo_1=oo_.likelihood_at_initial_parameters; +estimation(kalman_algo=1,mode_file=fs2000_corr_ME_mode,mode_compute=0,order=1,datafile='../../fs2000/fsdat_simul',smoother,filter_decomposition,forecast = 8,filtered_vars,filter_step_ahead=[1,3],irf=20) m P c e W R k d y gy_obs; +fval_algo_1=oo_.likelihood_at_initial_parameters; %%Univariate Kalman Filter options_.lik_init=1; -//estimation(kalman_algo=3,mode_file=fs2000_corr_ME_mode,mode_compute=0,order=1,datafile='../../fs2000/fsdat_simul',smoother,filter_decomposition,forecast = 8,filtered_vars,filter_step_ahead=[1,3],irf=20) m P c e W R k d y gy_obs; -//fval_algo_3=oo_.likelihood_at_initial_parameters; +estimation(kalman_algo=3,mode_file=fs2000_corr_ME_mode,mode_compute=0,order=1,datafile='../../fs2000/fsdat_simul',smoother,filter_decomposition,forecast = 8,filtered_vars,filter_step_ahead=[1,3],irf=20) m P c e W R k d y gy_obs; +fval_algo_3=oo_.likelihood_at_initial_parameters; %%Diffuse Multivariate Kalman Filter options_.lik_init=1; estimation(kalman_algo=2,mode_file=fs2000_corr_ME_mode,mode_compute=0,datafile='../../fs2000/fsdat_simul',smoother,filter_decomposition,forecast = 8,filtered_vars,filter_step_ahead=[1,3],irf=20) m P c e W R k d y gy_obs;