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dynare/trunk:: 

+ Added a  new option for likinit=2 used to define  the numbers on the
initial diagonal Pstar matrix.


git-svn-id: https://www.dynare.org/svn/dynare/trunk@2828 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
stepan 2009-07-09 15:41:11 +00:00
parent a4d01dc31d
commit a089e59f3c
4 changed files with 4 additions and 3 deletions
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2
matlab/DsgeLikelihood.m
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@ -176,7 +176,7 @@ function [fval,cost_flag,ys,trend_coeff,info] = DsgeLikelihood(xparam1,gend,data
if kalman_algo ~= 2
kalman_algo = 1;
end
Pstar = 10*eye(np);
Pstar = options_.Harvey_scale_factor*eye(np);
Pinf = [];
elseif options_.lik_init == 3 % Diffuse Kalman filter
if kalman_algo ~= 4

2
matlab/DsgeLikelihood_hh.m
View File

@ -177,7 +177,7 @@ function [fval,llik,cost_flag,ys,trend_coeff,info] = DsgeLikelihood_hh(xparam1,g
if kalman_algo ~= 2
kalman_algo = 1;
end
Pstar = 10*eye(np);
Pstar = options_.Harvey_scale_factor*eye(np);
Pinf = [];
elseif options_.lik_init == 3 % Diffuse Kalman filter
if kalman_algo ~= 4

2
matlab/DsgeSmoother.m
View File

@ -119,7 +119,7 @@ function [alphahat,etahat,epsilonhat,ahat,SteadyState,trend_coeff,aK,T,R,P,PK,d,
if kalman_algo ~= 2
kalman_algo = 1;
end
Pstar = 10*eye(np);
Pstar = options_.Harvey_scale_factor*eye(np);
Pinf = [];
elseif options_.lik_init == 3 % Diffuse Kalman filter
if kalman_algo ~= 4

1
matlab/global_initialization.m
View File

@ -132,6 +132,7 @@ function global_initialization()
options_.timeless = 0;
% estimation
options_.Harvey_scale_factor = 10;
options_.MaxNumberOfBytes = 1e6;
options_.MaximumNumberOfMegaBytes = 111;
options_.PosteriorSampleSize = 1000;