1. 21 Mar, 2013 4 commits
    • Johannes Pfeifer 's avatar
    • Johannes Pfeifer 's avatar
      Add unit test for correlated measurement error · 0311c4ad
      Johannes Pfeifer authored
      Tests both ML and Bayesian estimation and test calibrated correlation of
      those shocks
      0311c4ad
    • Johannes Pfeifer 's avatar
      Fix several bugs related to estimated measurement errors · 7518072e
      Johannes Pfeifer authored
      1. The first call to set_prior overwrote the first column of
      estim_params_.var_endo storing the position of the variable with
      measurement error in M_.endo_names with the position in
      options_.var_obs. All subsequent calls to set_prior then lead to
      crashes.
      2. At the same time, for correlations of ME, the first column of
      estim_params_.corrn still stored the position of the variable with
      measurement error in M_.endo_names. But subsequent calls to it were done
      as if it stored the position in options_.var_obs
      
      I introduced two new variables in estim_params_ storing the respective
      positions in var_obs so as to not necessitate changes in the
      preprocessors.
      
      3. For cases of calibrated measurement error correlations, the
      covariance matrix was not updated.
      
      4. Fixing a lot of smaller bugs related to measurement errors, including
      some copy and paste errors
      -
      7518072e
    • Johannes Pfeifer 's avatar
      Add comment why use of old correlation matrix from previous draw is correct and revert change · ebc7d6f6
      Johannes Pfeifer authored
      Due to only using the diagonal of Sigma_e and the correlation matrix having ones on the diagonal, the diagonal entries of the covariance matrix are correctly built from recent draw. Later, when using the new draw for the correlations, only the correctly updated diagonal entries of Sigma_e are used.
      ebc7d6f6
  2. 19 Mar, 2013 13 commits
  3. 18 Mar, 2013 12 commits
  4. 17 Mar, 2013 6 commits
  5. 16 Mar, 2013 4 commits
  6. 15 Mar, 2013 1 commit