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<title>Description of DsgeSmoother</title>
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<div><a href="../index.html">Home</a> &gt; <a href="index.html">.</a> &gt; DsgeSmoother.m</div>
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<h1>DsgeSmoother
</h1>
<h2><a name="_name"></a>PURPOSE <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
<div class="box"><strong>stephane.adjemian@cepremap.cnrs.fr [09-07-2004]</strong></div>
<h2><a name="_synopsis"></a>SYNOPSIS <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
<div class="box"><strong>function [alphahat,etahat,epsilonhat,ahat,SteadyState,trend_coeff,aK] = DsgeSmoother(xparam1,gend,Y) </strong></div>
<h2><a name="_description"></a>DESCRIPTION <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
<div class="fragment"><pre class="comment"> stephane.adjemian@cepremap.cnrs.fr [09-07-2004]
Adapted from mj_optmumlik.m</pre></div>
<!-- crossreference -->
<h2><a name="_cross"></a>CROSS-REFERENCE INFORMATION <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
This function calls:
<ul style="list-style-image:url(../matlabicon.gif)">
<li><a href="DiffuseKalmanSmoother1.html" class="code" title="function [alphahat,etahat,a, aK] = DiffuseKalmanSmoother1(T,R,Q,Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf)">DiffuseKalmanSmoother1</a> modified by M. Ratto:</li><li><a href="DiffuseKalmanSmoother3.html" class="code" title="function [alphahat,etahat,a1, aK] = DiffuseKalmanSmoother3(T,R,Q,Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf)">DiffuseKalmanSmoother3</a> function [a,etahat,a1, aK] = DiffuseKalmanSmoother3(T,R,Q,Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf)</li><li><a href="DiffuseKalmanSmootherH1.html" class="code" title="function [alphahat,epsilonhat,etahat,a, aK] = DiffuseKalmanSmootherH1(T,R,Q,H,Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf)">DiffuseKalmanSmootherH1</a> modified by M. Ratto:</li><li><a href="DiffuseKalmanSmootherH3.html" class="code" title="function [alphahat,epsilonhat,etahat,a1, aK] = DiffuseKalmanSmootherH3(T,R,Q,H,Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf)">DiffuseKalmanSmootherH3</a> Modified by M. Ratto</li><li><a href="dynare_resolve.html" class="code" title="function [A,B,ys,info] = dynare_resolve()">dynare_resolve</a> </li><li><a href="lyapunov_symm.html" class="code" title="function [x,ns_var]=lyapunov_symm(a,b)">lyapunov_symm</a> solves x-a*x*a'=b for b (and then x) symmetrical</li><li><a href="set_all_parameters.html" class="code" title="function set_all_parameters(xparam1)">set_all_parameters</a> </li></ul>
This function is called by:
<ul style="list-style-image:url(../matlabicon.gif)">
<li><a href="PosteriorSmoother.html" class="code" title="function PosteriorSmoother(Y,gend, type)">PosteriorSmoother</a> stephane.adjemian@ens.fr [09-25-2005]</li><li><a href="dynare_MC.html" class="code" title="function dynare_MC(var_list_)">dynare_MC</a> </li><li><a href="dynare_estimation.html" class="code" title="function dynare_estimation(var_list_)">dynare_estimation</a> </li><li><a href="filt_mc_.html" class="code" title="function [rmse_MC, ixx] = filt_mc_(vvarvecm, loadSA, pfilt, alpha, alpha2, OutDir, istart, alphaPC)">filt_mc_</a> copyright Marco Ratto 2006</li></ul>
<!-- crossreference -->
<h2><a name="_source"></a>SOURCE CODE <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
<div class="fragment"><pre>0001 <a name="_sub0" href="#_subfunctions" class="code">function [alphahat,etahat,epsilonhat,ahat,SteadyState,trend_coeff,aK] = DsgeSmoother(xparam1,gend,Y)</a>
0002 <span class="comment">% stephane.adjemian@cepremap.cnrs.fr [09-07-2004]</span>
0003 <span class="comment">%</span>
0004 <span class="comment">% Adapted from mj_optmumlik.m</span>
0005 <span class="keyword">global</span> bayestopt_ M_ oo_ estim_params_ options_
0006
0007 alphahat = [];
0008 epsilonhat = [];
0009 etahat = [];
0010 nobs = size(options_.varobs,1);
0011 smpl = size(Y,2);
0012
0013 <a href="set_all_parameters.html" class="code" title="function set_all_parameters(xparam1)">set_all_parameters</a>(xparam1);
0014
0015 <span class="comment">%------------------------------------------------------------------------------</span>
0016 <span class="comment">% 2. call model setup &amp; reduction program</span>
0017 <span class="comment">%------------------------------------------------------------------------------</span>
0018 [T,R,SteadyState] = <a href="dynare_resolve.html" class="code" title="function [A,B,ys,info] = dynare_resolve()">dynare_resolve</a>;
0019 bayestopt_.mf = bayestopt_.mf2;
0020 <span class="keyword">if</span> options_.loglinear == 1
0021 constant = log(SteadyState(bayestopt_.mfys));
0022 <span class="keyword">else</span>
0023 constant = SteadyState(bayestopt_.mfys);
0024 <span class="keyword">end</span>
0025 trend_coeff = zeros(nobs,1);
0026 <span class="keyword">if</span> bayestopt_.with_trend == 1
0027 trend_coeff = zeros(nobs,1);
0028 nx1 = estim_params_.nvx+estim_params_.nvn+estim_params_.ncx+estim_params_.ncn;
0029 <span class="keyword">for</span> i=1:nobs
0030 trend_coeff(i) = evalin(<span class="string">'base'</span>,bayestopt_.trend_coeff{i});
0031 <span class="keyword">end</span>
0032 trend = constant*ones(1,gend)+trend_coeff*(1:gend);
0033 <span class="keyword">else</span>
0034 trend = constant*ones(1,gend);
0035 <span class="keyword">end</span>
0036 start = options_.presample+1;
0037 np = size(T,1);
0038 mf = bayestopt_.mf;
0039 <span class="comment">% ------------------------------------------------------------------------------</span>
0040 <span class="comment">% 3. Initial condition of the Kalman filter</span>
0041 <span class="comment">% ------------------------------------------------------------------------------</span>
0042 <span class="comment">%</span>
0043 <span class="comment">% C'est ici qu'il faut dterminer Pinf et Pstar. Si le modle est stationnaire,</span>
0044 <span class="comment">% alors il suffit de poser Pstar comme la solution de l'uation de Lyapounov et</span>
0045 <span class="comment">% Pinf=[].</span>
0046 <span class="comment">%</span>
0047 Q = M_.Sigma_e;
0048 H = M_.H;
0049
0050 <span class="keyword">if</span> options_.lik_init == 1 <span class="comment">% Kalman filter</span>
0051 Pstar = <a href="lyapunov_symm.html" class="code" title="function [x,ns_var]=lyapunov_symm(a,b)">lyapunov_symm</a>(T,R*Q*transpose(R));
0052 Pinf = [];
0053 <span class="keyword">elseif</span> options_.lik_init == 2 <span class="comment">% Old Diffuse Kalman filter</span>
0054 Pstar = 10*eye(np);
0055 Pinf = [];
0056 <span class="keyword">elseif</span> options_.lik_init == 3 <span class="comment">% Diffuse Kalman filter</span>
0057 Pstar = zeros(np,np);
0058 ivs = bayestopt_.i_T_var_stable;
0059 Pstar(ivs,ivs) = <a href="lyapunov_symm.html" class="code" title="function [x,ns_var]=lyapunov_symm(a,b)">lyapunov_symm</a>(T(ivs,ivs),R(ivs,:)*Q* <span class="keyword">...</span>
0060 transpose(R(ivs,:)));
0061 Pinf = bayestopt_.Pinf;
0062 <span class="comment">% by M. Ratto</span>
0063 RR=T(:,find(~ismember([1:np],ivs)));
0064 i=find(abs(RR)&gt;1.e-10);
0065 R0=zeros(size(RR));
0066 R0(i)=sign(RR(i));
0067 Pinf=R0*R0';
0068 <span class="comment">% by M. Ratto</span>
0069 <span class="keyword">end</span>
0070 <span class="comment">% -----------------------------------------------------------------------------</span>
0071 <span class="comment">% 4. Kalman smoother</span>
0072 <span class="comment">% -----------------------------------------------------------------------------</span>
0073 <span class="keyword">if</span> estim_params_.nvn
0074 <span class="keyword">if</span> options_.kalman_algo == 1
0075 [alphahat,epsilonhat,etahat,ahat,aK] = <a href="DiffuseKalmanSmootherH1.html" class="code" title="function [alphahat,epsilonhat,etahat,a, aK] = DiffuseKalmanSmootherH1(T,R,Q,H,Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf)">DiffuseKalmanSmootherH1</a>(T,R,Q,H,Pinf,Pstar,Y,trend,nobs,np,smpl,mf);
0076 <span class="keyword">if</span> all(alphahat(:)==0)
0077 [alphahat,epsilonhat,etahat,ahat,aK] = <a href="DiffuseKalmanSmootherH3.html" class="code" title="function [alphahat,epsilonhat,etahat,a1, aK] = DiffuseKalmanSmootherH3(T,R,Q,H,Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf)">DiffuseKalmanSmootherH3</a>(T,R,Q,H,Pinf,Pstar,Y,trend,nobs,np,smpl,mf);
0078 <span class="keyword">end</span>
0079 <span class="keyword">elseif</span> options_.kalman_algo == 3
0080 [alphahat,epsilonhat,etahat,ahat,aK] = <a href="DiffuseKalmanSmootherH3.html" class="code" title="function [alphahat,epsilonhat,etahat,a1, aK] = DiffuseKalmanSmootherH3(T,R,Q,H,Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf)">DiffuseKalmanSmootherH3</a>(T,R,Q,H,Pinf,Pstar,Y,trend,nobs,np,smpl,mf);
0081 <span class="keyword">end</span>
0082 <span class="keyword">else</span>
0083 <span class="keyword">if</span> options_.kalman_algo == 1
0084 [alphahat,etahat,ahat,aK] = <a href="DiffuseKalmanSmoother1.html" class="code" title="function [alphahat,etahat,a, aK] = DiffuseKalmanSmoother1(T,R,Q,Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf)">DiffuseKalmanSmoother1</a>(T,R,Q,Pinf,Pstar,Y,trend,nobs,np,smpl,mf);
0085 <span class="keyword">if</span> all(alphahat(:)==0)
0086 [alphahat,etahat,ahat,aK] = <a href="DiffuseKalmanSmoother3.html" class="code" title="function [alphahat,etahat,a1, aK] = DiffuseKalmanSmoother3(T,R,Q,Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf)">DiffuseKalmanSmoother3</a>(T,R,Q,Pinf,Pstar,Y,trend,nobs,np,smpl,mf);
0087 <span class="keyword">end</span>
0088 <span class="keyword">elseif</span> options_.kalman_algo == 3
0089 [alphahat,etahat,ahat,aK] = <a href="DiffuseKalmanSmoother3.html" class="code" title="function [alphahat,etahat,a1, aK] = DiffuseKalmanSmoother3(T,R,Q,Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf)">DiffuseKalmanSmoother3</a>(T,R,Q,Pinf,Pstar,Y,trend,nobs,np,smpl,mf);
0090 <span class="keyword">end</span>
0091 <span class="keyword">end</span></pre></div>
<hr><address>Generated on Fri 16-Jun-2006 09:09:06 by <strong><a href="http://www.artefact.tk/software/matlab/m2html/">m2html</a></strong> &copy; 2003</address>
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