Commit ecac8714 authored by Stéphane Adjemian's avatar Stéphane Adjemian
Browse files

Changed the name of DsgeLikelihood (-> dsge_likelihood).

parent 45d85f19
function [fval,exit_flag,ys,trend_coeff,info,Model,DynareOptions,BayesInfo,DynareResults,DLIK,AHess] = DsgeLikelihood(xparam1,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults,derivatives_info) function [fval,exit_flag,ys,trend_coeff,info,Model,DynareOptions,BayesInfo,DynareResults,DLIK,AHess] = dsge_likelihood(xparam1,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults,derivatives_info)
% Evaluates the posterior kernel of a dsge model. % Evaluates the posterior kernel of a dsge model.
%@info: %@info:
%! @deftypefn {Function File} {[@var{fval},@var{exit_flag},@var{ys},@var{trend_coeff},@var{info},@var{Model},@var{DynareOptions},@var{BayesInfo},@var{DynareResults},@var{DLIK},@var{AHess}] =} DsgeLikelihood (@var{xparam1},@var{DynareDataset},@var{DynareOptions},@var{Model},@var{EstimatedParameters},@var{BayesInfo},@var{DynareResults},@var{derivatives_flag}) %! @deftypefn {Function File} {[@var{fval},@var{exit_flag},@var{ys},@var{trend_coeff},@var{info},@var{Model},@var{DynareOptions},@var{BayesInfo},@var{DynareResults},@var{DLIK},@var{AHess}] =} DsgeLikelihood (@var{xparam1},@var{DynareDataset},@var{DynareOptions},@var{Model},@var{EstimatedParameters},@var{BayesInfo},@var{DynareResults},@var{derivatives_flag})
%! @anchor{DsgeLikelihood} %! @anchor{dsge_likelihood}
%! @sp 1 %! @sp 1
%! Evaluates the posterior kernel of a dsge model. %! Evaluates the posterior kernel of a dsge model.
%! @sp 2 %! @sp 2
...@@ -428,13 +428,13 @@ switch DynareOptions.lik_init ...@@ -428,13 +428,13 @@ switch DynareOptions.lik_init
[err,Pstar] = kalman_steady_state(transpose(T),R*Q*transpose(R),transpose(build_selection_matrix(Z,np,length(Z))),H); [err,Pstar] = kalman_steady_state(transpose(T),R*Q*transpose(R),transpose(build_selection_matrix(Z,np,length(Z))),H);
end end
if err if err
disp(['DsgeLikelihood:: I am not able to solve the Riccati equation, so I switch to lik_init=1!']); disp(['dsge_likelihood:: I am not able to solve the Riccati equation, so I switch to lik_init=1!']);
DynareOptions.lik_init = 1; DynareOptions.lik_init = 1;
Pstar = lyapunov_symm(T,R*Q*R',DynareOptions.qz_criterium,DynareOptions.lyapunov_complex_threshold); Pstar = lyapunov_symm(T,R*Q*R',DynareOptions.qz_criterium,DynareOptions.lyapunov_complex_threshold);
end end
Pinf = []; Pinf = [];
otherwise otherwise
error('DsgeLikelihood:: Unknown initialization approach for the Kalman filter!') error('dsge_likelihood:: Unknown initialization approach for the Kalman filter!')
end end
if analytic_derivation if analytic_derivation
......
...@@ -32,7 +32,7 @@ function dynare_estimation_1(var_list_,dname) ...@@ -32,7 +32,7 @@ function dynare_estimation_1(var_list_,dname)
global M_ options_ oo_ estim_params_ bayestopt_ dataset_ global M_ options_ oo_ estim_params_ bayestopt_ dataset_
if ~options_.dsge_var if ~options_.dsge_var
objective_function = str2func('DsgeLikelihood'); objective_function = str2func('dsge_likelihood');
else else
objective_function = str2func('DsgeVarLikelihood'); objective_function = str2func('DsgeVarLikelihood');
end end
...@@ -248,7 +248,7 @@ if ~isequal(options_.mode_compute,0) && ~options_.mh_posterior_mode_estimation ...@@ -248,7 +248,7 @@ if ~isequal(options_.mode_compute,0) && ~options_.mh_posterior_mode_estimation
fval = feval(objective_function,xparam1,dataset_,options_,M_,estim_params_,bayestopt_,oo_); fval = feval(objective_function,xparam1,dataset_,options_,M_,estim_params_,bayestopt_,oo_);
options_.mh_jscale = Scale; options_.mh_jscale = Scale;
mouvement = max(max(abs(PostVar-OldPostVar))); mouvement = max(max(abs(PostVar-OldPostVar)));
fval = DsgeLikelihood(xparam1,dataset_,options_,M_,estim_params_,bayestopt_,oo_); fval = dsge_likelihood(xparam1,dataset_,options_,M_,estim_params_,bayestopt_,oo_);
disp(['Change in the covariance matrix = ' num2str(mouvement) '.']) disp(['Change in the covariance matrix = ' num2str(mouvement) '.'])
disp(['Mode improvement = ' num2str(abs(OldMode-fval))]) disp(['Mode improvement = ' num2str(abs(OldMode-fval))])
OldMode = fval; OldMode = fval;
......
...@@ -41,7 +41,7 @@ function [A,B,ys,info,Model,DynareOptions,DynareResults] = dynare_resolve(Model, ...@@ -41,7 +41,7 @@ function [A,B,ys,info,Model,DynareOptions,DynareResults] = dynare_resolve(Model,
%! @sp 2 %! @sp 2
%! @strong{This function is called by:} %! @strong{This function is called by:}
%! @sp 1 %! @sp 1
%! @ref{DsgeLikelihood}, @ref{DsgeLikelihood_hh}, @ref{DsgeVarLikelihood}, @ref{dsge_posterior_kernel}, @ref{DsgeSmoother}, @ref{dynare_sensitivity}, @ref{gsa/thet2tau}, @ref{gsa/stab_map}, @ref{identification_analysis}, @ref{imcforecast}, @ref{thet2tau} %! @ref{dsge_likelihood}, @ref{DsgeLikelihood_hh}, @ref{DsgeVarLikelihood}, @ref{dsge_posterior_kernel}, @ref{DsgeSmoother}, @ref{dynare_sensitivity}, @ref{gsa/thet2tau}, @ref{gsa/stab_map}, @ref{identification_analysis}, @ref{imcforecast}, @ref{thet2tau}
%! @sp 2 %! @sp 2
%! @strong{This function calls:} %! @strong{This function calls:}
%! @sp 1 %! @sp 1
......
...@@ -85,6 +85,6 @@ end ...@@ -85,6 +85,6 @@ end
pshape_original = bayestopt_.pshape; pshape_original = bayestopt_.pshape;
bayestopt_.pshape = Inf(size(bayestopt_.pshape)); bayestopt_.pshape = Inf(size(bayestopt_.pshape));
llik = -DsgeLikelihood(parameters,dataset,options_,M_,estim_params_,bayestopt_,oo_); llik = -dsge_likelihood(parameters,dataset,options_,M_,estim_params_,bayestopt_,oo_);
bayestopt_.pshape = pshape_original; bayestopt_.pshape = pshape_original;
\ No newline at end of file
...@@ -135,7 +135,7 @@ if info(1)==0, ...@@ -135,7 +135,7 @@ if info(1)==0,
data_info.data=oo_.endo_simul(options_.varobs_id,100+1:end); data_info.data=oo_.endo_simul(options_.varobs_id,100+1:end);
% datax=data; % datax=data;
derivatives_info.no_DLIK=1; derivatives_info.no_DLIK=1;
[fval,cost_flag,ys,trend_coeff,info,M_,options_,bayestopt_,oo_,DLIK,AHess] = DsgeLikelihood(params',data_info,options_,M_,estim_params_,bayestopt_,oo_,derivatives_info); [fval,cost_flag,ys,trend_coeff,info,M_,options_,bayestopt_,oo_,DLIK,AHess] = dsge_likelihood(params',data_info,options_,M_,estim_params_,bayestopt_,oo_,derivatives_info);
% fval = DsgeLikelihood(xparam1,data_info,options_,M_,estim_params_,bayestopt_,oo_); % fval = DsgeLikelihood(xparam1,data_info,options_,M_,estim_params_,bayestopt_,oo_);
AHess=-AHess; AHess=-AHess;
ide_hess.AHess= AHess; ide_hess.AHess= AHess;
......
...@@ -41,7 +41,7 @@ end ...@@ -41,7 +41,7 @@ end
if DynareOptions.dsge_var if DynareOptions.dsge_var
[fval,cost_flag,info] = DsgeVarLikelihood(xparam1,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults); [fval,cost_flag,info] = DsgeVarLikelihood(xparam1,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults);
else else
[fval,cost_flag,ys,trend_coeff,info] = DsgeLikelihood(xparam1,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults); [fval,cost_flag,ys,trend_coeff,info] = dsge_likelihood(xparam1,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults);
end end
if info(1) > 0 if info(1) > 0
......
...@@ -2,7 +2,7 @@ function [LIK, likk, a, P] = kalman_filter(Y,start,last,a,P,kalman_tol,riccati_t ...@@ -2,7 +2,7 @@ function [LIK, likk, a, P] = kalman_filter(Y,start,last,a,P,kalman_tol,riccati_t
% Computes the likelihood of a stationnary state space model. % Computes the likelihood of a stationnary state space model.
%@info: %@info:
%! @deftypefn {Function File} {[@var{LIK},@var{likk},@var{a},@var{P} ] =} DsgeLikelihood (@var{Y}, @var{start}, @var{last}, @var{a}, @var{P}, @var{kalman_tol}, @var{riccati_tol},@var{presample},@var{T},@var{Q},@var{R},@var{H},@var{Z},@var{mm},@var{pp},@var{rr},@var{Zflag},@var{diffuse_periods}) %! @deftypefn {Function File} {[@var{LIK},@var{likk},@var{a},@var{P} ] =} kalman_filter (@var{Y}, @var{start}, @var{last}, @var{a}, @var{P}, @var{kalman_tol}, @var{riccati_tol},@var{presample},@var{T},@var{Q},@var{R},@var{H},@var{Z},@var{mm},@var{pp},@var{rr},@var{Zflag},@var{diffuse_periods})
%! @anchor{kalman_filter} %! @anchor{kalman_filter}
%! @sp 1 %! @sp 1
%! Computes the likelihood of a stationary state space model, given initial condition for the states (mean and variance). %! Computes the likelihood of a stationary state space model, given initial condition for the states (mean and variance).
...@@ -63,7 +63,7 @@ function [LIK, likk, a, P] = kalman_filter(Y,start,last,a,P,kalman_tol,riccati_t ...@@ -63,7 +63,7 @@ function [LIK, likk, a, P] = kalman_filter(Y,start,last,a,P,kalman_tol,riccati_t
%! @sp 2 %! @sp 2
%! @strong{This function is called by:} %! @strong{This function is called by:}
%! @sp 1 %! @sp 1
%! @ref{DsgeLikelihood} %! @ref{dsge_likelihood}
%! @sp 2 %! @sp 2
%! @strong{This function calls:} %! @strong{This function calls:}
%! @sp 1 %! @sp 1
......
...@@ -2,7 +2,7 @@ function [LIK, likk, a] = kalman_filter_ss(Y,start,last,a,T,K,iF,dF,Z,pp,Zflag) ...@@ -2,7 +2,7 @@ function [LIK, likk, a] = kalman_filter_ss(Y,start,last,a,T,K,iF,dF,Z,pp,Zflag)
% Computes the likelihood of a stationnary state space model (steady state kalman filter). % Computes the likelihood of a stationnary state space model (steady state kalman filter).
%@info: %@info:
%! @deftypefn {Function File} {[@var{LIK},@var{likk},@var{a},@var{P} ] =} DsgeLikelihood (@var{Y}, @var{start}, @var{last}, @var{a}, @var{P}, @var{kalman_tol}, @var{riccati_tol},@var{presample},@var{T},@var{Q},@var{R},@var{H},@var{Z},@var{mm},@var{pp},@var{rr},@var{Zflag},@var{diffuse_periods}) %! @deftypefn {Function File} {[@var{LIK},@var{likk},@var{a},@var{P} ] =} kalman_filter_ss (@var{Y}, @var{start}, @var{last}, @var{a}, @var{P}, @var{kalman_tol}, @var{riccati_tol},@var{presample},@var{T},@var{Q},@var{R},@var{H},@var{Z},@var{mm},@var{pp},@var{rr},@var{Zflag},@var{diffuse_periods})
%! @anchor{kalman_filter} %! @anchor{kalman_filter}
%! @sp 1 %! @sp 1
%! Computes the likelihood of a stationary state space model, given initial condition for the states (mean), the steady state kalman gain and the steady state inveverted covariance matrix of the prediction errors. %! Computes the likelihood of a stationary state space model, given initial condition for the states (mean), the steady state kalman gain and the steady state inveverted covariance matrix of the prediction errors.
......
...@@ -69,7 +69,7 @@ function [LIK, likk,a,P] = univariate_kalman_filter(data_index,number_of_observa ...@@ -69,7 +69,7 @@ function [LIK, likk,a,P] = univariate_kalman_filter(data_index,number_of_observa
%! @sp 2 %! @sp 2
%! @strong{This function is called by:} %! @strong{This function is called by:}
%! @sp 1 %! @sp 1
%! @ref{DsgeLikelihood} %! @ref{dsge_likelihood}
%! @sp 2 %! @sp 2
%! @strong{This function calls:} %! @strong{This function calls:}
%! @sp 1 %! @sp 1
......
...@@ -73,7 +73,7 @@ function [dLIK, dlikk, a, Pstar, llik] = univariate_kalman_filter_d(data_index, ...@@ -73,7 +73,7 @@ function [dLIK, dlikk, a, Pstar, llik] = univariate_kalman_filter_d(data_index,
%! @sp 2 %! @sp 2
%! @strong{This function is called by:} %! @strong{This function is called by:}
%! @sp 1 %! @sp 1
%! @ref{DsgeLikelihood}, @ref{DsgeLikelihood_hh} %! @ref{dsge_likelihood}, @ref{DsgeLikelihood_hh}
%! @sp 2 %! @sp 2
%! @strong{This function calls:} %! @strong{This function calls:}
%! @sp 1 %! @sp 1
......
...@@ -73,7 +73,7 @@ if ~noprint ...@@ -73,7 +73,7 @@ if ~noprint
error('one (many) parameter(s) do(es) not satisfy the upper bound'); error('one (many) parameter(s) do(es) not satisfy the upper bound');
case 43 case 43
error('Covariance matrix of shocks is not positive definite') error('Covariance matrix of shocks is not positive definite')
case 44 %DsgeLikelihood_hh / DsgeLikelihood case 44 %DsgeLikelihood_hh / dsge_likelihood
error(''); error('');
case 51 case 51
error('You are estimating a DSGE-VAR model, but the value of the dsge prior weight is too low!') error('You are estimating a DSGE-VAR model, but the value of the dsge prior weight is too low!')
......
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