Fixed bug reported by Johannes...

Fixed bug reported by Johannes (http://www.dynare.org/pipermail/dev/2012-May/002015.html), see also trac#257.

matlab/dynare_estimation_1.m

@@ -58,12 +58,17 @@ end
 
 [dataset_,xparam1, M_, options_, oo_, estim_params_,bayestopt_] = dynare_estimation_init(var_list_, dname, [], M_, options_, oo_, estim_params_, bayestopt_);
 
-% Set sigma_e_is_diagonal flag (needed if the shocks block is not declared in the mod file)
+% Set sigma_e_is_diagonal flag (needed if the shocks block is not declared in the mod file).
 M_.sigma_e_is_diagonal = 1;
-if estim_params_.ncx
+if estim_params_.ncx || ~isequal(nnz(M_.Sigma_e),length(M_.Sigma_e))
     M_.sigma_e_is_diagonal = 0;
 end
 
+% Set the correlation matrix if necessary.
+if ~isequal(estim_params_.ncx,nnz(tril(M_.Sigma_e,-1)))
+    M_.Correlation_matrix = diag(1./sqrt(diag(M_.Sigma_e)))*M_.Sigma_e*diag(1./sqrt(diag(M_.Sigma_e)));
+end
+
 data = dataset_.data;
 rawdata = dataset_.rawdata;
 data_index = dataset_.missing.aindex;

matlab/global_initialization.m

@@ -392,6 +392,7 @@ oo_.exo_det_simul = [];
 
 M_.params = [];
 M_.endo_histval = [];
+M_.Correlation_matrix = [];
 
 % homotopy
 options_.homotopy_mode = 0;

matlab/set_all_parameters.m

@@ -63,11 +63,16 @@ end
 offset = nvx+nvn;
 
 % setting shocks covariances
+if ~isempty(M_.Correlation_matrix)
+    Sigma_e = diag(sqrt(diag(Sigma_e)))*M_.Correlation_matrix*diag(sqrt(diag(Sigma_e)));
+end
 if ncx
     corrx = estim_params_.corrx;
     for i=1:ncx
         k1 = corrx(i,1);
         k2 = corrx(i,2);
+        M_.Correlation_matrix(k1,k2) = xparam1(i+offset);
+        M_.Correlation_matrix(k2,k1) = M_.Correlation_matrix(k1,k2);
         Sigma_e(k1,k2) = xparam1(i+offset)*sqrt(Sigma_e(k1,k1)*Sigma_e(k2,k2));
         Sigma_e(k2,k1) = Sigma_e(k1,k2);
     end