DsgeLikelihood_hh.m lik calculation compatibility and consistency changes

git-svn-id: https://www.dynare.org/svn/dynare/trunk@2825 ac1d8469-bf42-47a9-8791-bf33cf982152

matlab/DiffuseLikelihood3.m

@@ -61,8 +61,7 @@ smpl   = size(Y,2);
 a      = zeros(mm,1);
 QQ     = R*Q*transpose(R);
 t      = 0;
-lik	   = zeros(smpl+1,1);	
-lik(smpl+1) = smpl*pp*log(2*pi);		%% the constant of minus two times the log-likelihood
+lik	   = zeros(smpl,1);	
 notsteady 	= 1;
 crit      	= options_.kalman_tol;
 crit1      	= 1.e-6;
@@ -190,5 +189,7 @@ while t < smpl
   a = T*a;
 end
 
-LIK = .5*(sum(lik(start:end))-(start-1)*lik(smpl+1)/smpl);
+% adding log-likelihhod constants
+lik = (lik + pp*log(2*pi))/2;
 
+LIK = sum(lik(start:end)); % Minus the log-likelihood.

matlab/DiffuseLikelihood3_Z.m

@@ -60,8 +60,7 @@ smpl   = size(Y,2);
 a      = zeros(mm,1);
 QQ     = R*Q*R';
 t      = 0;
-lik	   = zeros(smpl+1,1);	
-lik(smpl+1) = smpl*pp*log(2*pi);		%% the constant of minus two times the log-likelihood
+lik	   = zeros(smpl,1);	
 notsteady 	= 1;
 crit      	= options_.kalman_tol;
 crit1      	= 1.e-6;
@@ -175,6 +174,7 @@ while t < smpl
   end	
   a = T*a;
 end
+% adding log-likelihhod constants
+lik = (lik + pp*log(2*pi))/2;
 
-LIK = .5*(sum(lik(start:end))-(start-1)*lik(smpl+1)/smpl);
-
+LIK = sum(lik(start:end)); % Minus the log-likelihood.

matlab/DiffuseLikelihoodH3.m

@@ -61,8 +61,7 @@ smpl   = size(Y,2);
 a      = zeros(mm,1);
 QQ     = R*Q*transpose(R);
 t      = 0;
-lik    = zeros(smpl+1,1);
-lik(smpl+1) = smpl*pp*log(2*pi); %% the constant of minus two times the log-likelihood 
+lik    = zeros(smpl,1);
 notsteady 	= 1;
 crit      	= options_.kalman_tol;
 crit1      	= 1.e-6;
@@ -173,5 +172,7 @@ while t < smpl
   end	
   a = T*a;
 end
-LIK = .5*(sum(lik(start:end))-(start-1)*lik(smpl+1)/smpl);
+% adding log-likelihhod constants
+lik = (lik + pp*log(2*pi))/2;
 
+LIK = sum(lik(start:end)); % Minus the log-likelihood.

matlab/DiffuseLikelihoodH3_Z.m

@@ -61,8 +61,7 @@ smpl   = size(Y,2);
 a      = zeros(mm,1);
 QQ     = R*Q*R';
 t      = 0;
-lik	   = zeros(smpl+1,1);	
-lik(smpl+1) = smpl*pp*log(2*pi);		%% the constant of minus two times the log-likelihood
+lik	   = zeros(smpl,1);	
 notsteady 	= 1;
 crit      	= options_.kalman_tol;
 crit1      	= 1.e-6;
@@ -176,6 +175,8 @@ while t < smpl
   end	
   a = T*a;
 end
+% adding log-likelihhod constants
+lik = (lik + pp*log(2*pi))/2;
 
-LIK = .5*(sum(lik(start:end))-(start-1)*lik(smpl+1)/smpl);
+LIK = sum(lik(start:end)); % Minus the log-likelihood.
 

matlab/DiffuseLikelihoodH3corr.m

-function LIK = DiffuseLikelihoodH3corr(T,R,Q,H,Pinf,Pstar,Y,trend,start)
+function [LIK lik] = DiffuseLikelihoodH3corr(T,R,Q,H,Pinf,Pstar,Y,trend,start)
 % Same as DiffuseLikelihoodH3 but allows correlation between the measurement
 % errors (this is not a problem with the multivariate approach). 
 
@@ -36,8 +36,7 @@ Pstar  = cat(1,cat(2,Pstar,zeros(mm,pp)),cat(2,zeros(pp,mm),H));
 a      = zeros(mm+pp,1);
 QQ     = R*Q*transpose(R);
 t      = 0;
-lik    = zeros(smpl+1,1);
-lik(smpl+1) = smpl*pp*log(2*pi); %% the constant of minus two times the log-likelihood 
+lik    = zeros(smpl,1);
 notsteady 	= 1;
 crit      	= options_.kalman_tol;
 newRank	  	= rank(Pinf,crit);
@@ -110,4 +109,7 @@ while t < smpl
 	end	
     a = T*a;
 end
-LIK = .5*(sum(lik(start:end))-(start-1)*lik(smpl+1)/smpl);
\ No newline at end of file
+% adding log-likelihhod constants
+lik = (lik + pp*log(2*pi))/2;
+
+LIK = sum(lik(start:end)); % Minus the log-likelihood.

matlab/DsgeLikelihood_hh.m

@@ -317,5 +317,5 @@ function [fval,llik,cost_flag,ys,trend_coeff,info] = DsgeLikelihood_hh(xparam1,g
   lnprior = priordens(xparam1,bayestopt_.pshape,bayestopt_.p6,bayestopt_.p7,bayestopt_.p3,bayestopt_.p4);
   fval    = (likelihood-lnprior);
   options_.kalman_algo = kalman_algo;
-  llik=[-lnprior; .5*lik(start:end)];
+  llik=[-lnprior; lik(start:end)];
   
\ No newline at end of file