v4: further corrections
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@678 ac1d8469-bf42-47a9-8791-bf33cf982152time-shift
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@ -1,4 +1,4 @@
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function [alphahat,etahat,a1, aK, a] = DiffuseKalmanSmoother3(T,R,Q,Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf)
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function [alphahat,etahat,a1, aK] = DiffuseKalmanSmoother3(T,R,Q,Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf)
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%function [a,etahat,a1, aK] = DiffuseKalmanSmoother3(T,R,Q,Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf)
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%function [a,etahat,a1, aK] = DiffuseKalmanSmoother3(T,R,Q,Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf)
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% Modified by M. Ratto
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% Modified by M. Ratto
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% New output argument aK: 1-step to nk-stpe ahed predictions)
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% New output argument aK: 1-step to nk-stpe ahed predictions)
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@ -20,7 +20,7 @@ function [alphahat,etahat,a1, aK, a] = DiffuseKalmanSmoother3(T,R,Q,Pinf1,Pstar1
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global options_
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global options_
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nk = options_.nk;
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nk = options_.nk;
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spinf = size(Pinf1);
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spinf = size(Pinf1);
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spstar = size(Pstar1);
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spstar = size(Pstar1);
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v = zeros(pp,smpl);
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v = zeros(pp,smpl);
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@ -102,9 +102,9 @@ while newRank & t < smpl
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options_.diffuse_d = icc;
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options_.diffuse_d = icc;
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end
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end
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end,
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end,
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% if newRank==0,
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% if newRank==0,
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% options_.diffuse_d=i; %this is buggy
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% options_.diffuse_d=i; %this is buggy
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% end
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% end
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% end new terminiation criteria by M. Ratto
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% end new terminiation criteria by M. Ratto
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else
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else
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%% Note that : (1) rank(Pinf)=0 implies that Finf = 0, (2) outside this loop (when for some i and t the condition
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%% Note that : (1) rank(Pinf)=0 implies that Finf = 0, (2) outside this loop (when for some i and t the condition
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@ -82,7 +82,7 @@ function [alphahat,etahat,epsilonhat,ahat,SteadyState,trend_coeff,aK] = DsgeSmoo
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if options_.kalman_algo == 1
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if options_.kalman_algo == 1
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[alphahat,etahat,ahat,aK] = DiffuseKalmanSmoother1(T,R,Q,Pinf,Pstar,Y,trend,nobs,np,smpl,mf);
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[alphahat,etahat,ahat,aK] = DiffuseKalmanSmoother1(T,R,Q,Pinf,Pstar,Y,trend,nobs,np,smpl,mf);
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if all(alphahat(:)==0)
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if all(alphahat(:)==0)
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[alphahat,etahat,ahat] = DiffuseKalmanSmoother3(T,R,Q,Pinf,Pstar,Y,trend,nobs,np,smpl,mf);
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[alphahat,etahat,ahat,aK] = DiffuseKalmanSmoother3(T,R,Q,Pinf,Pstar,Y,trend,nobs,np,smpl,mf);
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end
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end
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elseif options_.kalman_algo == 3
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elseif options_.kalman_algo == 3
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[alphahat,etahat,ahat,aK] = DiffuseKalmanSmoother3(T,R,Q,Pinf,Pstar,Y,trend,nobs,np,smpl,mf);
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[alphahat,etahat,ahat,aK] = DiffuseKalmanSmoother3(T,R,Q,Pinf,Pstar,Y,trend,nobs,np,smpl,mf);
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