diff --git a/matlab/DiffuseLikelihood3.m b/matlab/DiffuseLikelihood3.m index 7b5da3a95440b469587105ba89daa3c52cda5090..9843a7477a826de6998f1f04a479c839c04ea79e 100644 --- a/matlab/DiffuseLikelihood3.m +++ b/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. diff --git a/matlab/DiffuseLikelihood3_Z.m b/matlab/DiffuseLikelihood3_Z.m index c570adf0f8a1a28c5c1761da9d51918c7c66dc6f..39447e21998bd5a0ca2ab91a9d33dcac871b93dc 100644 --- a/matlab/DiffuseLikelihood3_Z.m +++ b/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. diff --git a/matlab/DiffuseLikelihoodH3.m b/matlab/DiffuseLikelihoodH3.m index 090ccc30313f51b39fba342a06671a78ef7a8f53..fb9d395e4461e9ae7ef059b43c666daa4e6ba3e9 100644 --- a/matlab/DiffuseLikelihoodH3.m +++ b/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. diff --git a/matlab/DiffuseLikelihoodH3_Z.m b/matlab/DiffuseLikelihoodH3_Z.m index 9f642941448733fa044c8709e0c5936087609821..f995557e1bffa7d9084937a5320e2e35612a92f3 100644 --- a/matlab/DiffuseLikelihoodH3_Z.m +++ b/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. diff --git a/matlab/DiffuseLikelihoodH3corr.m b/matlab/DiffuseLikelihoodH3corr.m index e9cf2104750de753a5510416ae74c275d7b8118c..96f9ae32524426f55831dee0e25dccdfc100b7bf 100644 --- a/matlab/DiffuseLikelihoodH3corr.m +++ b/matlab/DiffuseLikelihoodH3corr.m @@ -1,4 +1,4 @@ -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. diff --git a/matlab/DsgeLikelihood_hh.m b/matlab/DsgeLikelihood_hh.m index e4c0984616d9d1609846c71a23141db730316cdb..ad28eb8773577384009996e171845c062c2066c0 100644 --- a/matlab/DsgeLikelihood_hh.m +++ b/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