dynare

Commit Graph

Author	SHA1	Message	Date
Michel Juillard	919c2f8fb4	correcting bug with presample and diffuse filter + simplified logic for computation of likelihood with presample	2012-01-22 22:40:46 +01:00
Michel Juillard	e4c803d0db	fixed issues with estimation of non-stationary models. Option lik_init=2 is contradictory with diffuse_filter or unit_root_variables declaration. Models with non-stationary variables, but only stationary observed variables need diffuse_filter option and make a useless call to kalman_filter_d (this seems better than trying to distinguish these rare cases)	2011-11-21 12:39:02 +01:00
Stéphane Adjemian (Scylla)	f2ca6d0ad9	Changed kalman filter routines to allow for arbitrary initial conditions (needed for the introduction of breaks on the estimated parameters and also for the estimation of the initial states). Added specialized routines for steady state kalman filter. Completed header of DsgeLikelihood (missing refs to the routines called by DsgeLikelihood).	2011-09-19 17:01:24 +02:00

Author

SHA1

Message

Date

Michel Juillard

919c2f8fb4

correcting bug with presample and diffuse filter + simplified logic

for computation of likelihood with presample

2012-01-22 22:40:46 +01:00

Michel Juillard

e4c803d0db

fixed issues with estimation of non-stationary models. Option lik_init=2

is contradictory with diffuse_filter or unit_root_variables
declaration. Models with non-stationary variables, but only stationary
observed variables need diffuse_filter option and make a useless call
to kalman_filter_d (this seems better than trying to distinguish these
rare cases)

2011-11-21 12:39:02 +01:00

Stéphane Adjemian (Scylla)

f2ca6d0ad9

Changed kalman filter routines to allow for arbitrary initial conditions (needed for the introduction of breaks on the estimated

parameters and also for the estimation of the initial states).

Added specialized routines for steady state  kalman filter.

Completed header of DsgeLikelihood (missing refs to the routines called by DsgeLikelihood).

2011-09-19 17:01:24 +02:00

3 Commits (119a8eee3bbc3220ee4f5dbf58f338983a3a11bb)