bug correction in diffuse filter/smoother
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2060 ac1d8469-bf42-47a9-8791-bf33cf982152time-shift
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eb0ccd8f5b
commit
dbe69c1942
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@ -217,4 +217,4 @@ if nargout > 7
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end
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end
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end
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end
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end
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end
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epsilonhat = Y-alphahat(mf,:)-trend;
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epsilonhat = Y-Z*alphahat;
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@ -328,4 +328,4 @@ if nargout > 7
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end
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end
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end
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end
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epsilonhat = Y-alphahat(mf,:)-trend;
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epsilonhat = Y-Z*alphahat;
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@ -1,6 +1,6 @@
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function [LIK, lik] = DiffuseLikelihood1_Z(T,Z,R,Q,Pinf,Pstar,Y,start)
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function [LIK, lik] = DiffuseLikelihoodH1_Z(T,Z,R,Q,H,Pinf,Pstar,Y,start)
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% function [LIK, lik] = DiffuseLikelihood1_Z(T,Z,R,Q,H,Pinf,Pstar,Y,start)
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% function [LIK, lik] = DiffuseLikelihoodH1_Z(T,Z,R,Q,H,Pinf,Pstar,Y,start)
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% Computes the diffuse likelihood (H=measurement error) in the case of a non-singular var-cov matrix
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% Computes the diffuse likelihood (H=measurement error) in the case of a non-singular var-cov matrix
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%
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%
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@ -277,7 +277,7 @@ function [fval,cost_flag,ys,trend_coeff,info] = DsgeLikelihood(xparam1,gend,data
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end
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end
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elseif kalman_algo == 3
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elseif kalman_algo == 3
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data1 = data - trend;
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data1 = data - trend;
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LIK = DiffuseLikelihoodH1_Z(ST,Z,R1,Q,H,Pinf,Pstar,data1,trend,start);
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LIK = DiffuseLikelihoodH1_Z(ST,Z,R1,Q,H,Pinf,Pstar,data1,start);
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if isinf(LIK)
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if isinf(LIK)
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kalman_algo = 4;
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kalman_algo = 4;
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if ~estim_params_.ncn
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if ~estim_params_.ncn
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