43 lines
2.0 KiB
C++
43 lines
2.0 KiB
C++
%%get mode
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estimation(diffuse_filter,kalman_algo=3,silent_optimizer,mode_compute=4,order=1,datafile=@{data_file_name},smoother,filter_decomposition,forecast = 8,filtered_vars,filter_step_ahead=[1,3],irf=20) m P c e W R k d y gy_obs;
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fval_algo_0=oo_.likelihood_at_initial_parameters;
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%%Diffuse Multivariate Kalman Filter
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options_.lik_init=1;
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estimation(kalman_algo=3,diffuse_filter,mode_file=@{mode_file_name},mode_compute=0,order=1,datafile=@{data_file_name},smoother,filter_decomposition,forecast = 8,filtered_vars,filter_step_ahead=[1,3],irf=20) m P c e W R k d y gy_obs;
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fval_algo_2=oo_.likelihood_at_initial_parameters;
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SmoothedMeasurementErrors(:,:,1)=cell2mat(struct2cell(oo_.SmoothedMeasurementErrors));
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SmoothedShocks(:,:,1)=cell2mat(struct2cell(oo_.SmoothedShocks));
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SmoothedVariables(:,:,1)=cell2mat(struct2cell(oo_.SmoothedVariables));
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%%Diffuse univariate Kalman Filter
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options_.lik_init=1;
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estimation(kalman_algo=4,diffuse_filter,mode_file=@{mode_file_name},mode_compute=0,order=1,datafile=@{data_file_name},smoother,filter_decomposition,forecast = 8,filtered_vars,filter_step_ahead=[1,3],irf=20) m P c e W R k d y gy_obs;
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fval_algo_4=oo_.likelihood_at_initial_parameters;
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SmoothedMeasurementErrors(:,:,2)=cell2mat(struct2cell(oo_.SmoothedMeasurementErrors));
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SmoothedShocks(:,:,2)=cell2mat(struct2cell(oo_.SmoothedShocks));
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SmoothedVariables(:,:,2)=cell2mat(struct2cell(oo_.SmoothedVariables));
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if max(max(abs(SmoothedMeasurementErrors-repmat(SmoothedMeasurementErrors(:,:,1),[1,1,2]))))>1e-8
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error('SmoothedMeasurementErrors do not match')
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end
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if max(max(abs(SmoothedShocks-repmat(SmoothedShocks(:,:,1),[1,1,2]))))>1e-8
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error('SmoothedShocks do not match')
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end
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if isoctave
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tol_crit=5e-6;
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else
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tol_crit=1e-8;
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end
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if max(max(abs(SmoothedVariables-repmat(SmoothedVariables(:,:,1),[1,1,2]))))>tol_crit
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error('SmoothedVariables do not match')
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end
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if max(abs(fval_algo_2-fval_algo_4))>1e-6
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fprintf('\nLikelihood difference: %4.3f\n',max(abs(fval_algo_2-fval_algo_4)))
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error('Likelihoods do not match')
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end
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