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bug correction in diffuse filter/smoother 

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2060 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
michel 2008-09-12 18:15:20 +00:00
parent eb0ccd8f5b
commit dbe69c1942
4 changed files with 5 additions and 5 deletions
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2
matlab/DiffuseKalmanSmootherH1_Z.m
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@ -217,4 +217,4 @@ if nargout > 7
end
end
end
epsilonhat = Y-alphahat(mf,:)-trend;
epsilonhat = Y-Z*alphahat;

2
matlab/DiffuseKalmanSmootherH3_Z.m
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@ -328,4 +328,4 @@ if nargout > 7
end
end
epsilonhat = Y-alphahat(mf,:)-trend;
epsilonhat = Y-Z*alphahat;

4
matlab/DiffuseLikelihoodH1_Z.m
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@ -1,6 +1,6 @@
function [LIK, lik] = DiffuseLikelihood1_Z(T,Z,R,Q,Pinf,Pstar,Y,start)
function [LIK, lik] = DiffuseLikelihoodH1_Z(T,Z,R,Q,H,Pinf,Pstar,Y,start)
% function [LIK, lik] = DiffuseLikelihood1_Z(T,Z,R,Q,H,Pinf,Pstar,Y,start)
% function [LIK, lik] = DiffuseLikelihoodH1_Z(T,Z,R,Q,H,Pinf,Pstar,Y,start)
% Computes the diffuse likelihood (H=measurement error) in the case of a non-singular var-cov matrix
%

2
matlab/DsgeLikelihood.m
View File

@ -277,7 +277,7 @@ function [fval,cost_flag,ys,trend_coeff,info] = DsgeLikelihood(xparam1,gend,data
end
elseif kalman_algo == 3
data1 = data - trend;
LIK = DiffuseLikelihoodH1_Z(ST,Z,R1,Q,H,Pinf,Pstar,data1,trend,start);
LIK = DiffuseLikelihoodH1_Z(ST,Z,R1,Q,H,Pinf,Pstar,data1,start);
if isinf(LIK)
kalman_algo = 4;
if ~estim_params_.ncn