869 lines
34 KiB
Matlab
869 lines
34 KiB
Matlab
function [fval,info,exit_flag,DLIK,Hess,SteadyState,trend_coeff,Model,DynareOptions,BayesInfo,DynareResults] = dsge_likelihood(xparam1,DynareDataset,DatasetInfo,DynareOptions,Model,EstimatedParameters,BayesInfo,BoundsInfo,DynareResults,derivatives_info)
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% Evaluates the posterior kernel of a dsge model using the specified
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% kalman_algo; the resulting posterior includes the 2*pi constant of the
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% likelihood function
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%@info:
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%! @deftypefn {Function File} {[@var{fval},@var{exit_flag},@var{ys},@var{trend_coeff},@var{info},@var{Model},@var{DynareOptions},@var{BayesInfo},@var{DynareResults},@var{DLIK},@var{AHess}] =} dsge_likelihood (@var{xparam1},@var{DynareDataset},@var{DynareOptions},@var{Model},@var{EstimatedParameters},@var{BayesInfo},@var{DynareResults},@var{derivatives_flag})
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%! @anchor{dsge_likelihood}
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%! @sp 1
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%! Evaluates the posterior kernel of a dsge model.
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%! @sp 2
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%! @strong{Inputs}
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%! @sp 1
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%! @table @ @var
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%! @item xparam1
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%! Vector of doubles, current values for the estimated parameters.
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%! @item DynareDataset
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%! Matlab's structure describing the dataset (initialized by dynare, see @ref{dataset_}).
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%! @item DynareOptions
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%! Matlab's structure describing the options (initialized by dynare, see @ref{options_}).
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%! @item Model
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%! Matlab's structure describing the Model (initialized by dynare, see @ref{M_}).
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%! @item EstimatedParamemeters
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%! Matlab's structure describing the estimated_parameters (initialized by dynare, see @ref{estim_params_}).
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%! @item BayesInfo
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%! Matlab's structure describing the priors (initialized by dynare, see @ref{bayesopt_}).
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%! @item DynareResults
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%! Matlab's structure gathering the results (initialized by dynare, see @ref{oo_}).
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%! @item derivates_flag
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%! Integer scalar, flag for analytical derivatives of the likelihood.
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%! @end table
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%! @sp 2
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%! @strong{Outputs}
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%! @sp 1
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%! @table @ @var
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%! @item fval
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%! Double scalar, value of (minus) the likelihood.
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%! @item info
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%! Double vector, second entry stores penalty, first entry the error code.
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%! @table @ @code
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%! @item info==0
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%! No error.
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%! @item info==1
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%! The model doesn't determine the current variables uniquely.
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%! @item info==2
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%! MJDGGES returned an error code.
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%! @item info==3
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%! Blanchard & Kahn conditions are not satisfied: no stable equilibrium.
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%! @item info==4
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%! Blanchard & Kahn conditions are not satisfied: indeterminacy.
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%! @item info==5
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%! Blanchard & Kahn conditions are not satisfied: indeterminacy due to rank failure.
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%! @item info==6
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%! The jacobian evaluated at the deterministic steady state is complex.
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%! @item info==19
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%! The steadystate routine has thrown an exception (inconsistent deep parameters).
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%! @item info==20
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%! Cannot find the steady state, info(4) contains the sum of square residuals (of the static equations).
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%! @item info==21
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%! The steady state is complex, info(4) contains the sum of square of imaginary parts of the steady state.
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%! @item info==22
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%! The steady has NaNs.
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%! @item info==23
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%! M_.params has been updated in the steadystate routine and has complex valued scalars.
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%! @item info==24
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%! M_.params has been updated in the steadystate routine and has some NaNs.
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%! @item info==26
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%! M_.params has been updated in the steadystate routine and has negative/0 values in loglinear model.
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%! @item info==30
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%! Ergodic variance can't be computed.
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%! @item info==41
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%! At least one parameter is violating a lower bound condition.
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%! @item info==42
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%! At least one parameter is violating an upper bound condition.
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%! @item info==43
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%! The covariance matrix of the structural innovations is not positive definite.
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%! @item info==44
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%! The covariance matrix of the measurement errors is not positive definite.
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%! @item info==45
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%! Likelihood is not a number (NaN).
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%! @item info==46
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%! Likelihood is a complex valued number.
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%! @item info==47
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%! Posterior kernel is not a number (logged prior density is NaN)
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%! @item info==48
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%! Posterior kernel is a complex valued number (logged prior density is complex).
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%! @end table
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%! @item exit_flag
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%! Integer scalar, equal to zero if the routine return with a penalty (one otherwise).
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%! @item DLIK
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%! Vector of doubles, score of the likelihood.
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%! @item AHess
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%! Matrix of doubles, asymptotic hessian matrix.
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%! @item SteadyState
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%! Vector of doubles, steady state level for the endogenous variables.
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%! @item trend_coeff
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%! Matrix of doubles, coefficients of the deterministic trend in the measurement equation.
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%! @item Model
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%! Matlab's structure describing the model (initialized by dynare, see @ref{M_}).
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%! @item DynareOptions
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%! Matlab's structure describing the options (initialized by dynare, see @ref{options_}).
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%! @item BayesInfo
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%! Matlab's structure describing the priors (initialized by dynare, see @ref{bayesopt_}).
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%! @item DynareResults
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%! Matlab's structure gathering the results (initialized by dynare, see @ref{oo_}).
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%! @end table
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%! @sp 2
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%! @strong{This function is called by:}
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%! @sp 1
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%! @ref{dynare_estimation_1}, @ref{mode_check}
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%! @sp 2
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%! @strong{This function calls:}
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%! @sp 1
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%! @ref{dynare_resolve}, @ref{lyapunov_symm}, @ref{lyapunov_solver}, @ref{compute_Pinf_Pstar}, @ref{kalman_filter_d}, @ref{missing_observations_kalman_filter_d}, @ref{univariate_kalman_filter_d}, @ref{kalman_steady_state}, @ref{get_perturbation_params_deriv}, @ref{kalman_filter}, @ref{score}, @ref{AHessian}, @ref{missing_observations_kalman_filter}, @ref{univariate_kalman_filter}, @ref{priordens}
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%! @end deftypefn
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%@eod:
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% Copyright (C) 2004-2021 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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% AUTHOR(S) stephane DOT adjemian AT univ DASH lemans DOT FR
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% Initialization of the returned variables and others...
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fval = [];
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SteadyState = [];
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trend_coeff = [];
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exit_flag = 1;
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info = zeros(4,1);
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if DynareOptions.analytic_derivation
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DLIK = NaN(1,length(xparam1));
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else
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DLIK = [];
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end
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Hess = [];
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% Ensure that xparam1 is a column vector.
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% (Don't do the transformation if xparam1 is empty, otherwise it would become a
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% 0×1 matrix, which create issues with older MATLABs when comparing with [] in
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% check_bounds_and_definiteness_estimation)
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if ~isempty(xparam1)
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xparam1 = xparam1(:);
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end
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% Set flag related to analytical derivatives.
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analytic_derivation = DynareOptions.analytic_derivation;
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if analytic_derivation && DynareOptions.loglinear
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error('The analytic_derivation and loglinear options are not compatible')
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end
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if nargout==1
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analytic_derivation=0;
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end
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if analytic_derivation
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kron_flag=DynareOptions.analytic_derivation_mode;
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end
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%------------------------------------------------------------------------------
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% 1. Get the structural parameters & define penalties
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%------------------------------------------------------------------------------
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Model = set_all_parameters(xparam1,EstimatedParameters,Model);
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[fval,info,exit_flag,Q,H]=check_bounds_and_definiteness_estimation(xparam1, Model, EstimatedParameters, BoundsInfo);
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if info(1)
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return
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end
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%------------------------------------------------------------------------------
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% 2. call model setup & reduction program
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%------------------------------------------------------------------------------
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% Linearize the model around the deterministic steady state and extract the matrices of the state equation (T and R).
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[T,R,SteadyState,info,Model,DynareOptions,DynareResults] = dynare_resolve(Model,DynareOptions,DynareResults,'restrict');
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% Return, with endogenous penalty when possible, if dynare_resolve issues an error code (defined in resol).
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if info(1)
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if info(1) == 3 || info(1) == 4 || info(1) == 5 || info(1)==6 ||info(1) == 19 ||...
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info(1) == 20 || info(1) == 21 || info(1) == 23 || info(1) == 26 || ...
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info(1) == 81 || info(1) == 84 || info(1) == 85 || info(1) == 86
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%meaningful second entry of output that can be used
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fval = Inf;
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info(4) = info(2);
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exit_flag = 0;
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if analytic_derivation
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DLIK=ones(length(xparam1),1);
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end
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return
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else
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fval = Inf;
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info(4) = 0.1;
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exit_flag = 0;
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if analytic_derivation
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DLIK=ones(length(xparam1),1);
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end
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return
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end
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end
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% check endogenous prior restrictions
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info=endogenous_prior_restrictions(T,R,Model,DynareOptions,DynareResults);
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if info(1)
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fval = Inf;
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info(4)=info(2);
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exit_flag = 0;
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if analytic_derivation
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DLIK=ones(length(xparam1),1);
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end
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return
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end
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% Define a vector of indices for the observed variables. Is this really usefull?...
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BayesInfo.mf = BayesInfo.mf1;
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% Define the constant vector of the measurement equation.
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if DynareOptions.noconstant
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constant = zeros(DynareDataset.vobs,1);
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else
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if DynareOptions.loglinear
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constant = log(SteadyState(BayesInfo.mfys));
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else
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constant = SteadyState(BayesInfo.mfys);
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end
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end
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% Define the deterministic linear trend of the measurement equation.
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if BayesInfo.with_trend
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[trend_addition, trend_coeff]=compute_trend_coefficients(Model,DynareOptions,DynareDataset.vobs,DynareDataset.nobs);
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trend = repmat(constant,1,DynareDataset.nobs)+trend_addition;
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else
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trend_coeff = zeros(DynareDataset.vobs,1);
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trend = repmat(constant,1,DynareDataset.nobs);
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end
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% Get needed informations for kalman filter routines.
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start = DynareOptions.presample+1;
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Z = BayesInfo.mf; %selector for observed variables
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no_missing_data_flag = ~DatasetInfo.missing.state;
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mm = length(T); %number of states
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pp = DynareDataset.vobs; %number of observables
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rr = length(Q); %number of shocks
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kalman_tol = DynareOptions.kalman_tol;
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diffuse_kalman_tol = DynareOptions.diffuse_kalman_tol;
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riccati_tol = DynareOptions.riccati_tol;
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Y = transpose(DynareDataset.data)-trend;
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%------------------------------------------------------------------------------
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% 3. Initial condition of the Kalman filter
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%------------------------------------------------------------------------------
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kalman_algo = DynareOptions.kalman_algo;
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diffuse_periods = 0;
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expanded_state_vector_for_univariate_filter=0;
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singular_diffuse_filter = 0;
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switch DynareOptions.lik_init
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case 1% Standard initialization with the steady state of the state equation.
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if kalman_algo~=2
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% Use standard kalman filter except if the univariate filter is explicitely choosen.
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kalman_algo = 1;
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end
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Pstar=lyapunov_solver(T,R,Q,DynareOptions);
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Pinf = [];
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a = zeros(mm,1);
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a=set_Kalman_starting_values(a,Model,DynareResults,DynareOptions,BayesInfo);
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a_0_given_tm1=T*a; %set state prediction for first Kalman step;
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Zflag = 0;
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case 2% Initialization with large numbers on the diagonal of the covariance matrix if the states (for non stationary models).
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if kalman_algo ~= 2
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% Use standard kalman filter except if the univariate filter is explicitely choosen.
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kalman_algo = 1;
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end
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Pstar = DynareOptions.Harvey_scale_factor*eye(mm);
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Pinf = [];
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a = zeros(mm,1);
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a = set_Kalman_starting_values(a,Model,DynareResults,DynareOptions,BayesInfo);
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a_0_given_tm1 = T*a; %set state prediction for first Kalman step;
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Zflag = 0;
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case 3% Diffuse Kalman filter (Durbin and Koopman)
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% Use standard kalman filter except if the univariate filter is explicitely choosen.
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if kalman_algo == 0
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kalman_algo = 3;
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elseif ~((kalman_algo == 3) || (kalman_algo == 4))
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error(['The model requires Diffuse filter, but you specified a different Kalman filter. You must set options_.kalman_algo ' ...
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'to 0 (default), 3 or 4'])
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end
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[Pstar,Pinf] = compute_Pinf_Pstar(Z,T,R,Q,DynareOptions.qz_criterium);
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Z =zeros(length(BayesInfo.mf),size(T,1));
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for i = 1:length(BayesInfo.mf)
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Z(i,BayesInfo.mf(i))=1;
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end
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Zflag = 1;
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% Run diffuse kalman filter on first periods.
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if (kalman_algo==3)
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% Multivariate Diffuse Kalman Filter
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a = zeros(mm,1);
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a = set_Kalman_starting_values(a,Model,DynareResults,DynareOptions,BayesInfo);
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a_0_given_tm1 = T*a; %set state prediction for first Kalman step;
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Pstar0 = Pstar; % store Pstar
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if no_missing_data_flag
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[dLIK,dlik,a_0_given_tm1,Pstar] = kalman_filter_d(Y, 1, size(Y,2), ...
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a_0_given_tm1, Pinf, Pstar, ...
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kalman_tol, diffuse_kalman_tol, riccati_tol, DynareOptions.presample, ...
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T,R,Q,H,Z,mm,pp,rr);
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else
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[dLIK,dlik,a_0_given_tm1,Pstar] = missing_observations_kalman_filter_d(DatasetInfo.missing.aindex,DatasetInfo.missing.number_of_observations,DatasetInfo.missing.no_more_missing_observations, ...
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Y, 1, size(Y,2), ...
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a_0_given_tm1, Pinf, Pstar, ...
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kalman_tol, diffuse_kalman_tol, riccati_tol, DynareOptions.presample, ...
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T,R,Q,H,Z,mm,pp,rr);
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end
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diffuse_periods = length(dlik);
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if isinf(dLIK)
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% Go to univariate diffuse filter if singularity problem.
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singular_diffuse_filter = 1;
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Pstar = Pstar0;
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end
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end
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if singular_diffuse_filter || (kalman_algo==4)
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% Univariate Diffuse Kalman Filter
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if isequal(H,0)
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H1 = zeros(pp,1);
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mmm = mm;
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else
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if all(all(abs(H-diag(diag(H)))<1e-14))% ie, the covariance matrix is diagonal...
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H1 = diag(H);
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mmm = mm;
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else
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%Augment state vector (follows Section 6.4.3 of DK (2012))
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expanded_state_vector_for_univariate_filter=1;
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if Zflag
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Z1=Z;
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else
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Z1=zeros(pp,size(T,2));
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for jz=1:length(Z)
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Z1(jz,Z(jz))=1;
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end
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end
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Z = [Z1, eye(pp)];
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Zflag=1;
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T = blkdiag(T,zeros(pp));
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Q = blkdiag(Q,H);
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R = blkdiag(R,eye(pp));
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Pstar = blkdiag(Pstar,H);
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Pinf = blkdiag(Pinf,zeros(pp));
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H1 = zeros(pp,1);
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mmm = mm+pp;
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end
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end
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a = zeros(mmm,1);
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a = set_Kalman_starting_values(a,Model,DynareResults,DynareOptions,BayesInfo);
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a_0_given_tm1 = T*a;
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[dLIK,dlik,a_0_given_tm1,Pstar] = univariate_kalman_filter_d(DatasetInfo.missing.aindex,...
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DatasetInfo.missing.number_of_observations,...
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DatasetInfo.missing.no_more_missing_observations, ...
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Y, 1, size(Y,2), ...
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a_0_given_tm1, Pinf, Pstar, ...
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kalman_tol, diffuse_kalman_tol, riccati_tol, DynareOptions.presample, ...
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T,R,Q,H1,Z,mmm,pp,rr);
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diffuse_periods = size(dlik,1);
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end
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if isnan(dLIK)
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fval = Inf;
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info(1) = 45;
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info(4) = 0.1;
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exit_flag = 0;
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return
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end
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case 4% Start from the solution of the Riccati equation.
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if kalman_algo ~= 2
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kalman_algo = 1;
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end
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try
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if isequal(H,0)
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Pstar = kalman_steady_state(transpose(T),R*Q*transpose(R),transpose(build_selection_matrix(Z,mm,length(Z))));
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else
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Pstar = kalman_steady_state(transpose(T),R*Q*transpose(R),transpose(build_selection_matrix(Z,mm,length(Z))),H);
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end
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catch ME
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disp(ME.message)
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disp(['dsge_likelihood:: I am not able to solve the Riccati equation, so I switch to lik_init=1!']);
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DynareOptions.lik_init = 1;
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Pstar=lyapunov_solver(T,R,Q,DynareOptions);
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end
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Pinf = [];
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a = zeros(mm,1);
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a = set_Kalman_starting_values(a,Model,DynareResults,DynareOptions,BayesInfo);
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a_0_given_tm1 = T*a;
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Zflag = 0;
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case 5 % Old diffuse Kalman filter only for the non stationary variables
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[eigenvect, eigenv] = eig(T);
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eigenv = diag(eigenv);
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nstable = length(find(abs(abs(eigenv)-1) > 1e-7));
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unstable = find(abs(abs(eigenv)-1) < 1e-7);
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V = eigenvect(:,unstable);
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indx_unstable = find(sum(abs(V),2)>1e-5);
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stable = find(sum(abs(V),2)<1e-5);
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nunit = length(eigenv) - nstable;
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Pstar = DynareOptions.Harvey_scale_factor*eye(nunit);
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if kalman_algo ~= 2
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kalman_algo = 1;
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end
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R_tmp = R(stable, :);
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T_tmp = T(stable,stable);
|
||
Pstar_tmp=lyapunov_solver(T_tmp,R_tmp,Q,DynareOptions);
|
||
Pstar(stable, stable) = Pstar_tmp;
|
||
Pinf = [];
|
||
a = zeros(mm,1);
|
||
a = set_Kalman_starting_values(a,Model,DynareResults,DynareOptions,BayesInfo);
|
||
a_0_given_tm1 = T*a;
|
||
Zflag = 0;
|
||
otherwise
|
||
error('dsge_likelihood:: Unknown initialization approach for the Kalman filter!')
|
||
end
|
||
|
||
if analytic_derivation
|
||
offset = EstimatedParameters.nvx;
|
||
offset = offset+EstimatedParameters.nvn;
|
||
offset = offset+EstimatedParameters.ncx;
|
||
offset = offset+EstimatedParameters.ncn;
|
||
no_DLIK = 0;
|
||
full_Hess = analytic_derivation==2;
|
||
asy_Hess = analytic_derivation==-2;
|
||
outer_product_gradient = analytic_derivation==-1;
|
||
if asy_Hess
|
||
analytic_derivation=1;
|
||
end
|
||
if outer_product_gradient
|
||
analytic_derivation=1;
|
||
end
|
||
DLIK = [];
|
||
AHess = [];
|
||
iv = DynareResults.dr.restrict_var_list;
|
||
if nargin<10 || isempty(derivatives_info)
|
||
[A,B,nou,nou,Model,DynareOptions,DynareResults] = dynare_resolve(Model,DynareOptions,DynareResults);
|
||
if ~isempty(EstimatedParameters.var_exo)
|
||
indexo=EstimatedParameters.var_exo(:,1);
|
||
else
|
||
indexo=[];
|
||
end
|
||
if ~isempty(EstimatedParameters.param_vals)
|
||
indparam=EstimatedParameters.param_vals(:,1);
|
||
else
|
||
indparam=[];
|
||
end
|
||
old_order = DynareOptions.order;
|
||
if DynareOptions.order > 1%not sure whether this check is necessary
|
||
DynareOptions.order = 1; fprintf('Reset order to 1 for analytical parameter derivatives.\n');
|
||
end
|
||
old_analytic_derivation_mode = DynareOptions.analytic_derivation_mode;
|
||
DynareOptions.analytic_derivation_mode = kron_flag;
|
||
if full_Hess
|
||
DERIVS = get_perturbation_params_derivs(Model, DynareOptions, EstimatedParameters, DynareResults, indparam, indexo, [], true);
|
||
indD2T = reshape(1:Model.endo_nbr^2, Model.endo_nbr, Model.endo_nbr);
|
||
indD2Om = dyn_unvech(1:Model.endo_nbr*(Model.endo_nbr+1)/2);
|
||
D2T = DERIVS.d2KalmanA(indD2T(iv,iv),:);
|
||
D2Om = DERIVS.d2Om(dyn_vech(indD2Om(iv,iv)),:);
|
||
D2Yss = DERIVS.d2Yss(iv,:,:);
|
||
else
|
||
DERIVS = get_perturbation_params_derivs(Model, DynareOptions, EstimatedParameters, DynareResults, indparam, indexo, [], false);
|
||
end
|
||
DT = zeros(Model.endo_nbr, Model.endo_nbr, size(DERIVS.dghx,3));
|
||
DT(:,Model.nstatic+(1:Model.nspred),:) = DERIVS.dghx;
|
||
DT = DT(iv,iv,:);
|
||
DOm = DERIVS.dOm(iv,iv,:);
|
||
DYss = DERIVS.dYss(iv,:);
|
||
DynareOptions.order = old_order; %make sure order is reset (not sure if necessary)
|
||
DynareOptions.analytic_derivation_mode = old_analytic_derivation_mode;%make sure analytic_derivation_mode is reset (not sure if necessary)
|
||
else
|
||
DT = derivatives_info.DT(iv,iv,:);
|
||
DOm = derivatives_info.DOm(iv,iv,:);
|
||
DYss = derivatives_info.DYss(iv,:);
|
||
if isfield(derivatives_info,'full_Hess')
|
||
full_Hess = derivatives_info.full_Hess;
|
||
end
|
||
if full_Hess
|
||
D2T = derivatives_info.D2T;
|
||
D2Om = derivatives_info.D2Om;
|
||
D2Yss = derivatives_info.D2Yss;
|
||
end
|
||
if isfield(derivatives_info,'no_DLIK')
|
||
no_DLIK = derivatives_info.no_DLIK;
|
||
end
|
||
clear('derivatives_info');
|
||
end
|
||
DYss = [zeros(size(DYss,1),offset) DYss];
|
||
DH=zeros([length(H),length(H),length(xparam1)]);
|
||
DQ=zeros([size(Q),length(xparam1)]);
|
||
DP=zeros([size(T),length(xparam1)]);
|
||
if full_Hess
|
||
for j=1:size(D2Yss,1)
|
||
tmp(j,:,:) = blkdiag(zeros(offset,offset), squeeze(D2Yss(j,:,:)));
|
||
end
|
||
D2Yss = tmp;
|
||
D2H=sparse(size(D2Om,1),size(D2Om,2)); %zeros([size(H),length(xparam1),length(xparam1)]);
|
||
D2P=sparse(size(D2Om,1),size(D2Om,2)); %zeros([size(T),length(xparam1),length(xparam1)]);
|
||
jcount=0;
|
||
end
|
||
if DynareOptions.lik_init==1
|
||
for i=1:EstimatedParameters.nvx
|
||
k =EstimatedParameters.var_exo(i,1);
|
||
DQ(k,k,i) = 2*sqrt(Q(k,k));
|
||
dum = lyapunov_symm(T,DOm(:,:,i),DynareOptions.lyapunov_fixed_point_tol,DynareOptions.qz_criterium,DynareOptions.lyapunov_complex_threshold,[],DynareOptions.debug);
|
||
% kk = find(abs(dum) < 1e-12);
|
||
% dum(kk) = 0;
|
||
DP(:,:,i)=dum;
|
||
if full_Hess
|
||
for j=1:i
|
||
jcount=jcount+1;
|
||
dum = lyapunov_symm(T,dyn_unvech(D2Om(:,jcount)),DynareOptions.lyapunov_fixed_point_tol,DynareOptions.qz_criterium,DynareOptions.lyapunov_complex_threshold,[],DynareOptions.debug);
|
||
% kk = (abs(dum) < 1e-12);
|
||
% dum(kk) = 0;
|
||
D2P(:,jcount)=dyn_vech(dum);
|
||
% D2P(:,:,j,i)=dum;
|
||
end
|
||
end
|
||
end
|
||
end
|
||
offset = EstimatedParameters.nvx;
|
||
for i=1:EstimatedParameters.nvn
|
||
k = EstimatedParameters.var_endo(i,1);
|
||
DH(k,k,i+offset) = 2*sqrt(H(k,k));
|
||
if full_Hess
|
||
D2H(k,k,i+offset,i+offset) = 2;
|
||
end
|
||
end
|
||
offset = offset + EstimatedParameters.nvn;
|
||
if DynareOptions.lik_init==1
|
||
for j=1:EstimatedParameters.np
|
||
dum = lyapunov_symm(T,DT(:,:,j+offset)*Pstar*T'+T*Pstar*DT(:,:,j+offset)'+DOm(:,:,j+offset),DynareOptions.lyapunov_fixed_point_tol,DynareOptions.qz_criterium,DynareOptions.lyapunov_complex_threshold,[],DynareOptions.debug);
|
||
% kk = find(abs(dum) < 1e-12);
|
||
% dum(kk) = 0;
|
||
DP(:,:,j+offset)=dum;
|
||
if full_Hess
|
||
DTj = DT(:,:,j+offset);
|
||
DPj = dum;
|
||
for i=1:j+offset
|
||
jcount=jcount+1;
|
||
DTi = DT(:,:,i);
|
||
DPi = DP(:,:,i);
|
||
D2Tij = reshape(D2T(:,jcount),size(T));
|
||
D2Omij = dyn_unvech(D2Om(:,jcount));
|
||
tmp = D2Tij*Pstar*T' + T*Pstar*D2Tij' + DTi*DPj*T' + DTj*DPi*T' + T*DPj*DTi' + T*DPi*DTj' + DTi*Pstar*DTj' + DTj*Pstar*DTi' + D2Omij;
|
||
dum = lyapunov_symm(T,tmp,DynareOptions.lyapunov_fixed_point_tol,DynareOptions.qz_criterium,DynareOptions.lyapunov_complex_threshold,[],DynareOptions.debug);
|
||
% dum(abs(dum)<1.e-12) = 0;
|
||
D2P(:,jcount) = dyn_vech(dum);
|
||
% D2P(:,:,j+offset,i) = dum;
|
||
end
|
||
end
|
||
end
|
||
end
|
||
if analytic_derivation==1
|
||
analytic_deriv_info={analytic_derivation,DT,DYss,DOm,DH,DP,asy_Hess};
|
||
else
|
||
analytic_deriv_info={analytic_derivation,DT,DYss,DOm,DH,DP,D2T,D2Yss,D2Om,D2H,D2P};
|
||
clear DT DYss DOm DP D2T D2Yss D2Om D2H D2P
|
||
end
|
||
else
|
||
analytic_deriv_info={0};
|
||
end
|
||
|
||
%------------------------------------------------------------------------------
|
||
% 4. Likelihood evaluation
|
||
%------------------------------------------------------------------------------
|
||
|
||
singularity_has_been_detected = false;
|
||
% First test multivariate filter if specified; potentially abort and use univariate filter instead
|
||
if ((kalman_algo==1) || (kalman_algo==3))% Multivariate Kalman Filter
|
||
if no_missing_data_flag
|
||
if DynareOptions.block
|
||
LIK = block_kalman_filter(T,R,Q,H,Pstar,Y,start,Z,kalman_tol,riccati_tol, Model.nz_state_var, Model.n_diag, Model.nobs_non_statevar);
|
||
elseif DynareOptions.fast_kalman_filter
|
||
if diffuse_periods
|
||
%kalman_algo==3 requires no diffuse periods (stationary
|
||
%observables) as otherwise FE matrix will not be positive
|
||
%definite
|
||
fval = Inf;
|
||
info(1) = 55;
|
||
info(4) = 0.1;
|
||
exit_flag = 0;
|
||
return
|
||
end
|
||
[LIK,lik] = kalman_filter_fast(Y,diffuse_periods+1,size(Y,2), ...
|
||
a_0_given_tm1,Pstar, ...
|
||
kalman_tol, riccati_tol, ...
|
||
DynareOptions.presample, ...
|
||
T,Q,R,H,Z,mm,pp,rr,Zflag,diffuse_periods, ...
|
||
analytic_deriv_info{:});
|
||
else
|
||
[LIK,lik] = kalman_filter(Y,diffuse_periods+1,size(Y,2), ...
|
||
a_0_given_tm1,Pstar, ...
|
||
kalman_tol, riccati_tol, ...
|
||
DynareOptions.rescale_prediction_error_covariance, ...
|
||
DynareOptions.presample, ...
|
||
T,Q,R,H,Z,mm,pp,rr,Zflag,diffuse_periods, ...
|
||
analytic_deriv_info{:});
|
||
end
|
||
else
|
||
if 0 %DynareOptions.block
|
||
[LIK,lik] = block_kalman_filter(DatasetInfo.missing.aindex,DatasetInfo.missing.number_of_observations,DatasetInfo.missing.no_more_missing_observations,...
|
||
T,R,Q,H,Pstar,Y,start,Z,kalman_tol,riccati_tol, Model.nz_state_var, Model.n_diag, Model.nobs_non_statevar);
|
||
else
|
||
[LIK,lik] = missing_observations_kalman_filter(DatasetInfo.missing.aindex,DatasetInfo.missing.number_of_observations,DatasetInfo.missing.no_more_missing_observations,Y,diffuse_periods+1,size(Y,2), ...
|
||
a_0_given_tm1, Pstar, ...
|
||
kalman_tol, DynareOptions.riccati_tol, ...
|
||
DynareOptions.rescale_prediction_error_covariance, ...
|
||
DynareOptions.presample, ...
|
||
T,Q,R,H,Z,mm,pp,rr,Zflag,diffuse_periods);
|
||
end
|
||
end
|
||
if analytic_derivation
|
||
LIK1=LIK;
|
||
LIK=LIK1{1};
|
||
lik1=lik;
|
||
lik=lik1{1};
|
||
end
|
||
if isinf(LIK)
|
||
if DynareOptions.use_univariate_filters_if_singularity_is_detected
|
||
singularity_has_been_detected = true;
|
||
if kalman_algo == 1
|
||
kalman_algo = 2;
|
||
else
|
||
kalman_algo = 4;
|
||
end
|
||
else
|
||
fval = Inf;
|
||
info(1) = 50;
|
||
info(4) = 0.1;
|
||
exit_flag = 0;
|
||
return
|
||
end
|
||
else
|
||
if DynareOptions.lik_init==3
|
||
LIK = LIK + dLIK;
|
||
if analytic_derivation==0 && nargout>3
|
||
if ~singular_diffuse_filter
|
||
lik = [dlik; lik];
|
||
else
|
||
lik = [sum(dlik,2); lik];
|
||
end
|
||
end
|
||
end
|
||
end
|
||
end
|
||
|
||
if (kalman_algo==2) || (kalman_algo==4)
|
||
% Univariate Kalman Filter
|
||
% resetting measurement error covariance matrix when necessary following DK (2012), Section 6.4.3 %
|
||
if isequal(H,0)
|
||
H1 = zeros(pp,1);
|
||
mmm = mm;
|
||
if analytic_derivation
|
||
DH = zeros(pp,length(xparam1));
|
||
end
|
||
else
|
||
if all(all(abs(H-diag(diag(H)))<1e-14))% ie, the covariance matrix is diagonal...
|
||
H1 = diag(H);
|
||
mmm = mm;
|
||
clear('tmp')
|
||
if analytic_derivation
|
||
for j=1:pp
|
||
tmp(j,:)=DH(j,j,:);
|
||
end
|
||
DH=tmp;
|
||
end
|
||
else
|
||
if ~expanded_state_vector_for_univariate_filter
|
||
Z1=zeros(pp,size(T,2));
|
||
for jz=1:length(Z)
|
||
Z1(jz,Z(jz))=1;
|
||
end
|
||
Z = [Z1, eye(pp)];
|
||
Zflag=1;
|
||
T = blkdiag(T,zeros(pp));
|
||
Q = blkdiag(Q,H);
|
||
R = blkdiag(R,eye(pp));
|
||
Pstar = blkdiag(Pstar,H);
|
||
Pinf = blkdiag(Pinf,zeros(pp));
|
||
H1 = zeros(pp,1);
|
||
Zflag=1;
|
||
end
|
||
mmm = mm+pp;
|
||
if singularity_has_been_detected
|
||
a_tmp = zeros(mmm,1);
|
||
a_tmp(1:length(a_0_given_tm1)) = a_0_given_tm1;
|
||
a_0_given_tm1 = a_tmp;
|
||
elseif ~expanded_state_vector_for_univariate_filter
|
||
a_0_given_tm1 = [a_0_given_tm1; zeros(pp,1)];
|
||
end
|
||
end
|
||
end
|
||
if analytic_derivation
|
||
analytic_deriv_info{5}=DH;
|
||
end
|
||
[LIK, lik] = univariate_kalman_filter(DatasetInfo.missing.aindex,DatasetInfo.missing.number_of_observations,DatasetInfo.missing.no_more_missing_observations,Y,diffuse_periods+1,size(Y,2), ...
|
||
a_0_given_tm1,Pstar, ...
|
||
DynareOptions.kalman_tol, ...
|
||
DynareOptions.riccati_tol, ...
|
||
DynareOptions.presample, ...
|
||
T,Q,R,H1,Z,mmm,pp,rr,Zflag,diffuse_periods,analytic_deriv_info{:});
|
||
if analytic_derivation
|
||
LIK1=LIK;
|
||
LIK=LIK1{1};
|
||
lik1=lik;
|
||
lik=lik1{1};
|
||
end
|
||
if DynareOptions.lik_init==3
|
||
LIK = LIK+dLIK;
|
||
if analytic_derivation==0 && nargout>3
|
||
lik = [dlik; lik];
|
||
end
|
||
end
|
||
end
|
||
|
||
if analytic_derivation
|
||
if no_DLIK==0
|
||
DLIK = LIK1{2};
|
||
% [DLIK] = score(T,R,Q,H,Pstar,Y,DT,DYss,DOm,DH,DP,start,Z,kalman_tol,riccati_tol);
|
||
end
|
||
if full_Hess
|
||
Hess = -LIK1{3};
|
||
% [Hess, DLL] = get_Hessian(T,R,Q,H,Pstar,Y,DT,DYss,DOm,DH,DP,D2T,D2Yss,D2Om,D2H,D2P,start,Z,kalman_tol,riccati_tol);
|
||
% Hess0 = getHessian(Y,T,DT,D2T, R*Q*transpose(R),DOm,D2Om,Z,DYss,D2Yss);
|
||
end
|
||
if asy_Hess
|
||
% if ~((kalman_algo==2) || (kalman_algo==4)),
|
||
% [Hess] = AHessian(T,R,Q,H,Pstar,Y,DT,DYss,DOm,DH,DP,start,Z,kalman_tol,riccati_tol);
|
||
% else
|
||
Hess = LIK1{3};
|
||
% end
|
||
end
|
||
end
|
||
|
||
if isnan(LIK)
|
||
fval = Inf;
|
||
info(1) = 45;
|
||
info(4) = 0.1;
|
||
exit_flag = 0;
|
||
return
|
||
end
|
||
|
||
if imag(LIK)~=0
|
||
fval = Inf;
|
||
info(1) = 46;
|
||
info(4) = 0.1;
|
||
exit_flag = 0;
|
||
return
|
||
end
|
||
|
||
if isinf(LIK)~=0
|
||
fval = Inf;
|
||
info(1) = 50;
|
||
info(4) = 0.1;
|
||
exit_flag = 0;
|
||
return
|
||
end
|
||
|
||
likelihood = LIK;
|
||
|
||
% ------------------------------------------------------------------------------
|
||
% 5. Adds prior if necessary
|
||
% ------------------------------------------------------------------------------
|
||
if analytic_derivation
|
||
if full_Hess
|
||
[lnprior, dlnprior, d2lnprior] = priordens(xparam1,BayesInfo.pshape,BayesInfo.p6,BayesInfo.p7,BayesInfo.p3,BayesInfo.p4);
|
||
Hess = Hess - d2lnprior;
|
||
else
|
||
[lnprior, dlnprior] = priordens(xparam1,BayesInfo.pshape,BayesInfo.p6,BayesInfo.p7,BayesInfo.p3,BayesInfo.p4);
|
||
end
|
||
if no_DLIK==0
|
||
DLIK = DLIK - dlnprior';
|
||
end
|
||
if outer_product_gradient
|
||
dlik = lik1{2};
|
||
dlik=[- dlnprior; dlik(start:end,:)];
|
||
Hess = dlik'*dlik;
|
||
end
|
||
else
|
||
lnprior = priordens(xparam1,BayesInfo.pshape,BayesInfo.p6,BayesInfo.p7,BayesInfo.p3,BayesInfo.p4);
|
||
end
|
||
|
||
if DynareOptions.endogenous_prior==1
|
||
if DynareOptions.lik_init==2 || DynareOptions.lik_init==3
|
||
error('Endogenous prior not supported with non-stationary models')
|
||
else
|
||
[lnpriormom] = endogenous_prior(Y,DatasetInfo,Pstar,BayesInfo,H);
|
||
fval = (likelihood-lnprior-lnpriormom);
|
||
end
|
||
else
|
||
fval = (likelihood-lnprior);
|
||
end
|
||
|
||
if DynareOptions.prior_restrictions.status
|
||
tmp = feval(DynareOptions.prior_restrictions.routine, Model, DynareResults, DynareOptions, DynareDataset, DatasetInfo);
|
||
fval = fval - tmp;
|
||
end
|
||
|
||
if isnan(fval)
|
||
fval = Inf;
|
||
info(1) = 47;
|
||
info(4) = 0.1;
|
||
exit_flag = 0;
|
||
return
|
||
end
|
||
|
||
if imag(fval)~=0
|
||
fval = Inf;
|
||
info(1) = 48;
|
||
info(4) = 0.1;
|
||
exit_flag = 0;
|
||
return
|
||
end
|
||
|
||
if ~DynareOptions.kalman.keep_kalman_algo_if_singularity_is_detected
|
||
% Update DynareOptions.kalman_algo.
|
||
DynareOptions.kalman_algo = kalman_algo;
|
||
end
|
||
|
||
if analytic_derivation==0 && nargout>3
|
||
lik=lik(start:end,:);
|
||
DLIK=[-lnprior; lik(:)];
|
||
end
|
||
|
||
function a=set_Kalman_starting_values(a,M_,oo_,options_,bayestopt_)
|
||
% function a=set_Kalman_starting_values(a,M_,oo_,options_,bayestopt_)
|
||
% Sets initial states guess for Kalman filter/smoother based on M_.filter_initial_state
|
||
%
|
||
% INPUTS
|
||
% o a [double] (p*1) vector of states
|
||
% o M_ [structure] decribing the model
|
||
% o oo_ [structure] storing the results
|
||
% o options_ [structure] describing the options
|
||
% o bayestopt_ [structure] describing the priors
|
||
%
|
||
% OUTPUTS
|
||
% o a [double] (p*1) vector of set initial states
|
||
|
||
if isfield(M_,'filter_initial_state') && ~isempty(M_.filter_initial_state)
|
||
state_indices=oo_.dr.order_var(oo_.dr.restrict_var_list(bayestopt_.mf0));
|
||
for ii=1:size(state_indices,1)
|
||
if ~isempty(M_.filter_initial_state{state_indices(ii),1})
|
||
if options_.loglinear && ~options_.logged_steady_state
|
||
a(bayestopt_.mf0(ii)) = log(eval(M_.filter_initial_state{state_indices(ii),2})) - log(oo_.dr.ys(state_indices(ii)));
|
||
elseif ~options_.loglinear && ~options_.logged_steady_state
|
||
a(bayestopt_.mf0(ii)) = eval(M_.filter_initial_state{state_indices(ii),2}) - oo_.dr.ys(state_indices(ii));
|
||
else
|
||
error(['The steady state is logged. This should not happen. Please contact the developers'])
|
||
end
|
||
end
|
||
end
|
||
end
|