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Dóra Kocsis
dynare
Commits
13f1e62d
Commit
13f1e62d
authored
Mar 03, 2012
by
Stéphane Adjemian
Browse files
Deleted trailing white spaces.
parent
859335b3
Changes
2
Hide whitespace changes
Inline
Side-by-side
matlab/non_linear_dsge_likelihood.m
View file @
13f1e62d
...
...
@@ -101,7 +101,7 @@ function [fval,exit_flag,ys,trend_coeff,info,Model,DynareOptions,BayesInfo,Dynar
%!
@end
deftypefn
%
@eod
:
%
Copyright
(
C
)
2010
-
2011
Dynare
Team
%
Copyright
(
C
)
2010
,
2011
,
2012
Dynare
Team
%
%
This
file
is
part
of
Dynare
.
%
...
...
@@ -197,8 +197,8 @@ if EstimatedParameters_.ncx
end
%
Try
to
compute
the
cholesky
decomposition
of
Q
(
possible
iff
Q
is
positive
definite
)
[
CholQ
,
testQ
]
=
chol
(
Q
);
if
testQ
%
The
variance
-
covariance
matrix
of
the
structural
innovations
is
not
definite
positive
.
We
have
to
compute
the
eigenvalues
of
this
matrix
in
order
to
build
the
endogenous
penalty
.
if
testQ
%
The
variance
-
covariance
matrix
of
the
structural
innovations
is
not
definite
positive
.
We
have
to
compute
the
eigenvalues
of
this
matrix
in
order
to
build
the
endogenous
penalty
.
a
=
diag
(
eig
(
Q
));
k
=
find
(
a
<
0
);
if
k
>
0
...
...
@@ -212,7 +212,7 @@ if EstimatedParameters_.ncx
end
%
Get
the
off
-
diagonal
elements
of
the
covariance
matrix
for
the
measurement
errors
.
Test
if
H
is
positive
definite
.
if
EstimatedParameters_
.
ncn
if
EstimatedParameters_
.
ncn
for
i
=
1
:
EstimatedParameters_
.
ncn
k1
=
DynareOptions
.
lgyidx2varobs
(
EstimatedParameters_
.
corrn
(
i
,
1
));
k2
=
DynareOptions
.
lgyidx2varobs
(
EstimatedParameters_
.
corrn
(
i
,
2
));
...
...
@@ -266,8 +266,8 @@ BayesInfo.mf = BayesInfo.mf1;
%
Define
the
deterministic
linear
trend
of
the
measurement
equation
.
if
DynareOptions
.
noconstant
constant
=
zeros
(
nvobs
,
1
);
else
constant
=
zeros
(
nvobs
,
1
);
else
if
DynareOptions
.
loglinear
constant
=
log
(
SteadyState
(
BayesInfo
.
mfys
));
else
...
...
@@ -332,7 +332,7 @@ ReducedForm.mf1 = mf1;
%
Set
initial
condition
.
switch
DynareOptions
.
particle
.
initialization
case
1
%
Initial
state
vector
covariance
is
the
ergodic
variance
associated
to
the
first
order
Taylor
-
approximation
of
the
model
.
case
1
%
Initial
state
vector
covariance
is
the
ergodic
variance
associated
to
the
first
order
Taylor
-
approximation
of
the
model
.
StateVectorMean
=
ReducedForm
.
constant
(
mf0
);
StateVectorVariance
=
lyapunov_symm
(
ReducedForm
.
ghx
(
mf0
,:),
ReducedForm
.
ghu
(
mf0
,
:
)
*
ReducedForm
.
Q
*
ReducedForm
.
ghu
(
mf0
,
:
)
'
,
1e-12
,
1e-12
);
case
2
%
Initial
state
vector
covariance
is
a
monte
-
carlo
based
estimate
of
the
ergodic
variance
(
consistent
with
a
k
-
order
Taylor
-
approximation
of
the
model
).
...
...
matlab/particle/sequential_importance_particle_filter.m
View file @
13f1e62d
...
...
@@ -5,7 +5,7 @@ function [LIK,lik] = sequential_importance_particle_filter(ReducedForm,Y,start,D
%!
@deftypefn
{
Function
File
}
{
@var
{
y
},
@var
{
y_
}
=
}
sequential_importance_particle_filter
(
@var
{
ReducedForm
},
@var
{
Y
},
@var
{
start
},
@var
{
DynareOptions
})
%!
@anchor
{
particle
/
sequential_importance_particle_filter
}
%!
@sp
1
%!
Evaluates
the
likelihood
of
a
nonlinear
model
with
a
particle
filter
(
optionally
with
resampling
).
%!
Evaluates
the
likelihood
of
a
nonlinear
model
with
a
particle
filter
(
optionally
with
resampling
).
%!
%!
@sp
2
%!
@strong
{
Inputs
}
...
...
@@ -14,7 +14,7 @@ function [LIK,lik] = sequential_importance_particle_filter(ReducedForm,Y,start,D
%!
@item
ReducedForm
%!
Structure
describing
the
state
space
model
(
built
in
@ref
{
non_linear_dsge_likelihood
}).
%!
@item
Y
%!
p
*
smpl
matrix
of
doubles
(
p
is
the
number
of
observed
variables
),
the
(
detrended
)
data
.
%!
p
*
smpl
matrix
of
doubles
(
p
is
the
number
of
observed
variables
),
the
(
detrended
)
data
.
%!
@item
start
%!
Integer
scalar
,
likelihood
evaluation
starts
at
observation
'
start
'
.
%!
@item
DynareOptions
...
...
@@ -38,7 +38,7 @@ function [LIK,lik] = sequential_importance_particle_filter(ReducedForm,Y,start,D
%!
@end
deftypefn
%
@eod
:
%
Copyright
(
C
)
2011
Dynare
Team
%
Copyright
(
C
)
2011
,
2012
Dynare
Team
%
%
This
file
is
part
of
Dynare
.
%
...
...
@@ -56,10 +56,10 @@ function [LIK,lik] = sequential_importance_particle_filter(ReducedForm,Y,start,D
%
along
with
Dynare
.
If
not
,
see
<
http
:
//www.gnu.org/licenses/>.
%
AUTHOR
(
S
)
frederic
DOT
karame
AT
univ
DASH
evry
DOT
fr
%
stephane
DOT
adjemian
AT
univ
DASH
lemans
DOT
fr
%
stephane
DOT
adjemian
AT
univ
DASH
lemans
DOT
fr
persistent
init_flag
persistent
mf0
mf1
persistent
init_flag
persistent
mf0
mf1
persistent
number_of_particles
persistent
sample_size
number_of_observed_variables
number_of_structural_innovations
...
...
@@ -73,13 +73,13 @@ steadystate = ReducedForm.steadystate;
constant
=
ReducedForm
.
constant
;
state_variables_steady_state
=
ReducedForm
.
state_variables_steady_state
;
%
Set
persistent
variables
.
%
Set
persistent
variables
(
if
needed
)
.
if
isempty
(
init_flag
)
mf0
=
ReducedForm
.
mf0
;
mf1
=
ReducedForm
.
mf1
;
sample_size
=
size
(
Y
,
2
);
number_of_observed_variables
=
length
(
mf1
);
number_of_structural_innovations
=
length
(
ReducedForm
.
Q
);
number_of_structural_innovations
=
length
(
ReducedForm
.
Q
);
number_of_particles
=
DynareOptions
.
particle
.
number_of_particles
;
init_flag
=
1
;
end
...
...
@@ -93,7 +93,7 @@ ghxx = ReducedForm.ghxx;
ghuu
=
ReducedForm
.
ghuu
;
ghxu
=
ReducedForm
.
ghxu
;
%
Get
covariance
matrices
%
Get
covariance
matrices
.
Q
=
ReducedForm
.
Q
;
H
=
ReducedForm
.
H
;
if
isempty
(
H
)
...
...
@@ -111,7 +111,7 @@ stream=RandStream('mt19937ar','Seed',1);
RandStream
.
setDefaultStream
(
stream
);
%
Initialization
of
the
likelihood
.
const_lik
=
log
(
2
*
pi
)
*
number_of_observed_variables
;
const_lik
=
log
(
2
*
pi
)
*
number_of_observed_variables
;
lik
=
NaN
(
sample_size
,
1
);
%
Initialization
of
the
weights
across
particles
.
...
...
@@ -138,7 +138,7 @@ for t=1:sample_size
weights
=
ones
(
1
,
number_of_particles
)
;
elseif
~
isempty
(
strmatch
(
DynareOptions
.
particle_filter
.
resampling
,
'
none
','
exact
'
))
StateVectors
=
tmp
(
mf0
,
:
);
weights
=
number_of_particles
*
weights
;
weights
=
number_of_particles
*
weights
;
end
end
...
...
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