68 lines
2.9 KiB
C++
68 lines
2.9 KiB
C++
/*
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* Copyright (C) 2009-2010 Dynare Team
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*
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* This file is part of Dynare.
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*
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* Dynare is free software: you can redistribute it and/or modify
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* it under the terms of the GNU General Public License as published by
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* the Free Software Foundation, either version 3 of the License, or
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* (at your option) any later version.
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*
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* Dynare is distributed in the hope that it will be useful,
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* but WITHOUT ANY WARRANTY; without even the implied warranty of
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* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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* GNU General Public License for more details.
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*
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* You should have received a copy of the GNU General Public License
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* along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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*/
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///////////////////////////////////////////////////////////
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// LogLikelihoodMain.cpp
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// Implementation of the Class LogLikelihoodMain
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// Created on: 02-Feb-2010 12:57:09
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///////////////////////////////////////////////////////////
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#include "LogLikelihoodMain.hh"
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LogLikelihoodMain::LogLikelihoodMain( //const Matrix &data_arg, Vector &deepParams_arg,
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const std::string &dynamicDllFile, EstimatedParametersDescription &estiParDesc, size_t n_endo, size_t n_exo,
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const std::vector<size_t> &zeta_fwrd_arg, const std::vector<size_t> &zeta_back_arg,
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const std::vector<size_t> &zeta_mixed_arg, const std::vector<size_t> &zeta_static_arg, const double qz_criterium,
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const std::vector<size_t> &varobs, double riccati_tol, double lyapunov_tol, int &info_arg)
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: estSubsamples(estiParDesc.estSubsamples),
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logLikelihoodSubSample(dynamicDllFile, estiParDesc, n_endo, n_exo, zeta_fwrd_arg, zeta_back_arg, zeta_mixed_arg, zeta_static_arg, qz_criterium,
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varobs, riccati_tol, lyapunov_tol, info_arg),
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vll(estiParDesc.getNumberOfPeriods()), // time dimension size of data
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detrendedData(varobs.size(), estiParDesc.getNumberOfPeriods())
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{
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}
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LogLikelihoodMain::~LogLikelihoodMain()
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{
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}
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double
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LogLikelihoodMain::compute(Matrix &steadyState, const Vector &estParams, Vector &deepParams, const MatrixConstView &data, Matrix &Q, Matrix &H, size_t start, int &info)
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{
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double logLikelihood = 0;
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for (size_t i = 0; i < estSubsamples.size(); ++i)
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{
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VectorView vSteadyState = mat::get_col(steadyState, i);
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MatrixConstView dataView(data, 0, estSubsamples[i].startPeriod,
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data.getRows(), estSubsamples[i].endPeriod-estSubsamples[i].startPeriod+1);
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MatrixView detrendedDataView(detrendedData, 0, estSubsamples[i].startPeriod,
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data.getRows(), estSubsamples[i].endPeriod-estSubsamples[i].startPeriod+1);
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VectorView vllView(vll, estSubsamples[i].startPeriod, estSubsamples[i].endPeriod-estSubsamples[i].startPeriod+1);
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logLikelihood += logLikelihoodSubSample.compute(vSteadyState, dataView, estParams, deepParams,
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Q, H, vllView, detrendedDataView, info, start, i);
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}
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return logLikelihood;
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};
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