From bd26eb2251d60b065ab0f852c0cf8b6c56bb4421 Mon Sep 17 00:00:00 2001
From: Marco Ratto <marco.ratto@jrc.ec.europa.eu>
Date: Mon, 7 Nov 2011 09:17:38 +0100
Subject: [PATCH] provisions for analytic 1st and 2nd derivatives

---
 matlab/priordens.m | 37 ++++++++++++++++++++++++++++++++++++-
 1 file changed, 36 insertions(+), 1 deletion(-)

diff --git a/matlab/priordens.m b/matlab/priordens.m
index c1b64fe1e..62cbda5d7 100644
--- a/matlab/priordens.m
+++ b/matlab/priordens.m
@@ -1,4 +1,4 @@
-function logged_prior_density = priordens(x, pshape, p6, p7, p3, p4,initialization)
+function [logged_prior_density, dlprior, d2lprior] = priordens(x, pshape, p6, p7, p3, p4,initialization)
 % Computes a prior density for the structural parameters of DSGE models
 %
 % INPUTS 
@@ -81,6 +81,11 @@ if tt1
     if isinf(logged_prior_density)
         return
     end
+    if nargout == 2,
+        [tmp, dlprior(id1)]=lpdfgbeta(x(id1),p6(id1),p7(id1),p3(id1),p4(id1));
+    elseif nargout == 3
+        [tmp, dlprior(id1), d2lprior(id1)]=lpdfgbeta(x(id1),p6(id1),p7(id1),p3(id1),p4(id1));
+    end
 end
 
 if tt2
@@ -88,10 +93,20 @@ if tt2
     if isinf(logged_prior_density)
         return
     end
+    if nargout == 2,
+        [tmp, dlprior(id2)]=lpdfgam(x(id2)-p3(id2),p6(id2),p7(id2));
+    elseif nargout == 3
+        [tmp, dlprior(id2), d2lprior(id2)]=lpdfgam(x(id2)-p3(id2),p6(id2),p7(id2));
+    end
 end
 
 if tt3
     logged_prior_density = logged_prior_density + sum(lpdfnorm(x(id3),p6(id3),p7(id3))) ;
+    if nargout == 2,
+        [tmp, dlprior(id3)]=lpdfnorm(x(id3),p6(id3),p7(id3));
+    elseif nargout == 3
+        [tmp, dlprior(id3), d2lprior(id3)]=lpdfnorm(x(id3),p6(id3),p7(id3));
+    end
 end
 
 if tt4
@@ -99,6 +114,11 @@ if tt4
     if isinf(logged_prior_density)
         return
     end
+    if nargout == 2,
+        [tmp, dlprior(id4)]=lpdfig1(x(id4)-p3(id4),p6(id4),p7(id4));
+    elseif nargout == 3
+        [tmp, dlprior(id4), d2lprior(id4)]=lpdfig1(x(id4)-p3(id4),p6(id4),p7(id4));
+    end
 end
 
 if tt5
@@ -107,6 +127,12 @@ if tt5
         return
     end
     logged_prior_density = logged_prior_density + sum(log(1./(p4(id5)-p3(id5)))) ;
+    if nargout >1,
+        dlprior(id5)=zeros(length(id5),1);
+    end
+    if nargout == 3
+        d2lprior(id5)=zeros(length(id5),1);
+    end
 end
 
 if tt6
@@ -114,4 +140,13 @@ if tt6
     if isinf(logged_prior_density)
         return
     end
+    if nargout == 2,
+        [tmp, dlprior(id6)]=lpdfig2(x(id6)-p3(id6),p6(id6),p7(id6));
+    elseif nargout == 3
+        [tmp, dlprior(id6), d2lprior(id6)]=lpdfig2(x(id6)-p3(id6),p6(id6),p7(id6));
+    end
+end
+
+if nargout==3,
+    d2lprior = diag(d2lprior);
 end
\ No newline at end of file