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removed oo_.smoother.integration_order 

removed integration_order (d) from the output arguments of DsgeSmoother. It is still computed by a few Kalman smoother routines. I don't change them now as they need to be rewritten soon.
time-shift
Michel Juillard 2010-04-03 08:00:22 +02:00
parent c1b3627896
commit f85049e9a6
2 changed files with 3 additions and 8 deletions
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5
matlab/DsgeSmoother.m
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@ -1,4 +1,4 @@
function [alphahat,etahat,epsilonhat,ahat,SteadyState,trend_coeff,aK,T,R,P,PK,d,decomp] = DsgeSmoother(xparam1,gend,Y,data_index,missing_value)
function [alphahat,etahat,epsilonhat,ahat,SteadyState,trend_coeff,aK,T,R,P,PK,decomp] = DsgeSmoother(xparam1,gend,Y,data_index,missing_value)
% Estimation of the smoothed variables and innovations.
%
% INPUTS
@ -21,8 +21,6 @@ function [alphahat,etahat,epsilonhat,ahat,SteadyState,trend_coeff,aK,T,R,P,PK,d,
% matrices
% PK: 4D array of k-step ahead forecast error variance
% matrices (meaningless for periods 1:d)
% d: number of periods where filter remains in diffuse part
% (should be equal to the order of integration of the model)
%
% ALGORITHM
% Diffuse Kalman filter (Durbin and Koopman)
@ -60,7 +58,6 @@ T = [];
R = [];
P = [];
PK = [];
d = [];
decomp = [];
nobs = size(options_.varobs,1);
smpl = size(Y,2);

6
matlab/dynare_estimation_1.m
View File

@ -356,10 +356,9 @@ initial_estimation_checks(xparam1,gend,data,data_index,number_of_observations,no
if options_.mode_compute == 0 && length(options_.mode_file) == 0
if options_.smoother == 1
[atT,innov,measurement_error,updated_variables,ys,trend_coeff,aK,T,R,P,PK,d,decomp] = DsgeSmoother(xparam1,gend,data,data_index,missing_value);
[atT,innov,measurement_error,updated_variables,ys,trend_coeff,aK,T,R,P,PK,decomp] = DsgeSmoother(xparam1,gend,data,data_index,missing_value);
oo_.Smoother.SteadyState = ys;
oo_.Smoother.TrendCoeffs = trend_coeff;
oo_.Smoother.integration_order = d;
if options_.filter_covariance
oo_.Smoother.variance = P;
end
@ -1112,10 +1111,9 @@ if (~((any(bayestopt_.pshape > 0) & options_.mh_replic) | (any(bayestopt_.pshape
> 0) & options_.load_mh_file)) ...
| ~options_.smoother ) & M_.endo_nbr^2*gend < 1e7 & options_.partial_information == 0 % to be fixed
%% ML estimation, or posterior mode without metropolis-hastings or metropolis without bayesian smooth variable
[atT,innov,measurement_error,updated_variables,ys,trend_coeff,aK,T,R,P,PK,d,decomp] = DsgeSmoother(xparam1,gend,data,data_index,missing_value);
[atT,innov,measurement_error,updated_variables,ys,trend_coeff,aK,T,R,P,PK,decomp] = DsgeSmoother(xparam1,gend,data,data_index,missing_value);
oo_.Smoother.SteadyState = ys;
oo_.Smoother.TrendCoeffs = trend_coeff;
oo_.Smoother.integration_order = d;
oo_.Smoother.variance = P;
i_endo = bayestopt_.smoother_saved_var_list;
if options_.nk ~= 0