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  • Johannes Pfeifer's avatar
    Fix bug in dsge_likelihood for univariate_kalman_filter · 115b1623
    Johannes Pfeifer authored
    ÿÿÿ
    
    Lines 399-418 set the measurement covariance matrix and save it to H1.
    If it is diagonal, it is not recomputed again as
    correlated_errors_have_been_checked is 0. In that case, lines 654-675
    are not entered and univariate_kalman_filter tries to use the old H, but
    it was named H1 before, leading to a crash. Changing the name of the
    matrix H in lines 654-682 to H1 assures that univariate_kalman_filter
    uses the correctly updated matrix of the
    ~correlated_errors_have_been_checked and the previously computed H1 in
    the other cases.
    115b1623