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fixing bugs related to recent changes for analytic derivatives 

in estimation
time-shift
Michel Juillard 2012-04-30 13:35:36 +02:00
parent da9ec0f187
commit d601f173d8
3 changed files with 12 additions and 4 deletions
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10
matlab/DsgeVarLikelihood.m
View File

@ -39,6 +39,12 @@ persistent penalty dsge_prior_weight_idx
grad=[];
hess=[];
exit_flag = [];
info = [];
PHI = [];
SIGMAu = [];
iXX = [];
prior = [];
% Initialization of the penalty
if ~nargin || isempty(penalty)
@ -263,7 +269,7 @@ end
lnprior = priordens(xparam1,BayesInfo.pshape,BayesInfo.p6,BayesInfo.p7,BayesInfo.p3,BayesInfo.p4);
fval = (lik-lnprior);
if (nargout == 6)
if (nargout == 8)
if isinf(dsge_prior_weight)
iXX = iGXX;
else
@ -271,7 +277,7 @@ if (nargout == 6)
end
end
if (nargout==7)
if (nargout==9)
if isinf(dsge_prior_weight)
iXX = iGXX;
else

2
matlab/PosteriorIRF_core1.m
View File

@ -180,7 +180,7 @@ while fpar<npar
end
if MAX_nirfs_dsgevar
IRUN = IRUN+1;
[fval,cost_flag,info,PHI,SIGMAu,iXX] = DsgeVarLikelihood(deep',dataset_,options_,M_,estim_params_,bayestopt_,oo_);
[fval,junk1,junk2,cost_flag,info,PHI,SIGMAu,iXX] = DsgeVarLikelihood(deep',dataset_,options_,M_,estim_params_,bayestopt_,oo_);
dsge_prior_weight = M_.params(strmatch('dsge_prior_weight',M_.param_names));
DSGE_PRIOR_WEIGHT = floor(dataset_.info.ntobs*(1+dsge_prior_weight));
SIGMA_inv_upper_chol = chol(inv(SIGMAu*dataset_.info.ntobs*(dsge_prior_weight+1)));

4
matlab/osr_obj.m
View File

@ -1,4 +1,4 @@
function [loss,vx,info]=osr_obj(x,i_params,i_var,weights);
function [loss,vx,junk,exit_flag]=osr_obj(x,i_params,i_var,weights);
% objective function for optimal simple rules (OSR)
% Copyright (C) 2005-2009 Dynare Team
@ -21,6 +21,8 @@ function [loss,vx,info]=osr_obj(x,i_params,i_var,weights);
global M_ oo_ options_ optimal_Q_ it_
% global ys_ Sigma_e_ endo_nbr exo_nbr optimal_Q_ it_ ykmin_ options_
junk = [];
exit_flag = 1;
vx = [];
% set parameters of the policiy rule
M_.params(i_params) = x;