134 lines
4.0 KiB
C++
134 lines
4.0 KiB
C++
/*
|
|
* Copyright (C) 2010-2013 Dynare Team
|
|
*
|
|
* This file is part of Dynare.
|
|
*
|
|
* Dynare is free software: you can redistribute it and/or modify
|
|
* it under the terms of the GNU General Public License as published by
|
|
* the Free Software Foundation, either version 3 of the License, or
|
|
* (at your option) any later version.
|
|
*
|
|
* Dynare is distributed in the hope that it will be useful,
|
|
* but WITHOUT ANY WARRANTY; without even the implied warranty of
|
|
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
|
|
* GNU General Public License for more details.
|
|
*
|
|
* You should have received a copy of the GNU General Public License
|
|
* along with Dynare. If not, see <http://www.gnu.org/licenses/>.
|
|
*/
|
|
|
|
#include "KalmanFilter.hh"
|
|
|
|
int
|
|
main(int argc, char **argv)
|
|
{
|
|
if (argc < 2)
|
|
{
|
|
std::cerr << argv[0] << ": please provide as argument the name of the dynamic DLL generated from fs2000k2e.mod (typically fs2000k2e_dynamic.mex*)" << std::endl;
|
|
exit(EXIT_FAILURE);
|
|
}
|
|
|
|
std::string modName = argv[1];
|
|
const int npar = 7; //(int)mxGetM(mxFldp);
|
|
const size_t n_endo = 15, n_exo = 2;
|
|
std::vector<size_t> zeta_fwrd_arg;
|
|
std::vector<size_t> zeta_back_arg;
|
|
std::vector<size_t> zeta_mixed_arg;
|
|
std::vector<size_t> zeta_static_arg;
|
|
//std::vector<size_t>
|
|
double qz_criterium = 1.000001; //1.0+1.0e-9;
|
|
Vector steadyState(n_endo), deepParams(npar);
|
|
|
|
double dYSparams [] = {
|
|
1.000199998312523,
|
|
0.993250551764778,
|
|
1.006996670195112,
|
|
1,
|
|
2.718562165733039,
|
|
1.007250753636589,
|
|
18.982191739915155,
|
|
0.860847884886309,
|
|
0.316729149714572,
|
|
0.861047883198832,
|
|
1.00853622757204,
|
|
0.991734328394345,
|
|
1.355876776121869,
|
|
1.00853622757204,
|
|
0.992853374047708
|
|
};
|
|
|
|
double vcov[] = {
|
|
0.001256631601, 0.0,
|
|
0.0, 0.000078535044
|
|
};
|
|
|
|
double dparams[] = {
|
|
0.3560,
|
|
0.9930,
|
|
0.0085,
|
|
1.0002,
|
|
0.1290,
|
|
0.6500,
|
|
0.0100
|
|
};
|
|
|
|
VectorView modParamsVW(dparams, npar, 1);
|
|
deepParams = modParamsVW;
|
|
VectorView steadyStateVW(dYSparams, n_endo, 1);
|
|
steadyState = steadyStateVW;
|
|
std::cout << "Vector deepParams: " << std::endl << deepParams << std::endl;
|
|
std::cout << "Vector steadyState: " << std::endl << steadyState << std::endl;
|
|
|
|
// Set zeta vectors [0:(n-1)] from Matlab indices [1:n] so that:
|
|
// order_var = [ stat_var(:); pred_var(:); both_var(:); fwrd_var(:)];
|
|
size_t statc[] = { 4, 5, 6, 8, 9, 10, 11, 12, 14};
|
|
size_t back[] = {1, 7, 13};
|
|
size_t both[] = {2};
|
|
size_t fwd[] = { 3, 15};
|
|
for (int i = 0; i < 9; ++i)
|
|
zeta_static_arg.push_back(statc[i]-1);
|
|
for (int i = 0; i < 3; ++i)
|
|
zeta_back_arg.push_back(back[i]-1);
|
|
for (int i = 0; i < 1; ++i)
|
|
zeta_mixed_arg.push_back(both[i]-1);
|
|
for (int i = 0; i < 2; ++i)
|
|
zeta_fwrd_arg.push_back(fwd[i]-1);
|
|
|
|
size_t nobs = 2;
|
|
size_t varobs[] = {12, 11};
|
|
std::vector<size_t> varobs_arg;
|
|
for (size_t i = 0; i < nobs; ++i)
|
|
varobs_arg.push_back(varobs[i]-1);
|
|
|
|
Matrix Q(n_exo), H(nobs);
|
|
H.setAll(0.0);
|
|
|
|
MatrixView vCovVW(vcov, n_exo, n_exo, n_exo);
|
|
Q = vCovVW;
|
|
std::cout << "Matrix Q: " << std::endl << Q << std::endl;
|
|
|
|
double lyapunov_tol = 1e-16;
|
|
double riccati_tol = 1e-16;
|
|
int info = 0;
|
|
Matrix yView(nobs, 192); // dummy
|
|
yView.setAll(0.2);
|
|
const MatrixConstView dataView(yView, 0, 0, nobs, yView.getCols()); // dummy
|
|
Matrix yDetrendView(nobs, yView.getCols()); // dummy
|
|
MatrixView dataDetrendView(yDetrendView, 0, 0, nobs, yDetrendView.getCols()); // dummy
|
|
Vector vll(yView.getCols());
|
|
VectorView vwll(vll, 0, vll.getSize());
|
|
|
|
double penalty = 1e8;
|
|
|
|
KalmanFilter kalman(modName, n_endo, n_exo,
|
|
zeta_fwrd_arg, zeta_back_arg, zeta_mixed_arg, zeta_static_arg, qz_criterium,
|
|
varobs_arg, riccati_tol, lyapunov_tol, info);
|
|
|
|
size_t start = 0, period = 0;
|
|
double ll = kalman.compute(dataView, steadyStateVW, Q, H, deepParams,
|
|
vwll, dataDetrendView, start, period, penalty, info);
|
|
|
|
std::cout << "ll: " << std::endl << ll << std::endl;
|
|
}
|
|
|