From 36853cb7615de41ca61ed92decf8bbe81ab40cba Mon Sep 17 00:00:00 2001
From: Marco Ratto <marco.ratto@jrc.ec.europa.eu>
Date: Thu, 2 Aug 2012 14:50:52 +0200
Subject: [PATCH] bug fix: the anlytic hessian was wrong with estimated stderr.
---
matlab/dsge_likelihood.m | 14 +++++++-------
1 file changed, 7 insertions(+), 7 deletions(-)
diff --git a/matlab/dsge_likelihood.m b/matlab/dsge_likelihood.m
index 21de390873..72ac141efc 100644
--- a/matlab/dsge_likelihood.m
+++ b/matlab/dsge_likelihood.m
@@ -586,16 +586,16 @@ if analytic_derivation,
if full_Hess
DTj = DT(:,:,j+offset);
DPj = dum;
- for i=1:j,
- DTi = DT(:,:,i+offset);
- DPi = DP(:,:,i+offset);
- D2Tij = D2T(:,:,i,j);
- D2Omij = D2Om(:,:,i,j);
+ for i=1:j+offset,
+ DTi = DT(:,:,i);
+ DPi = DP(:,:,i);
+ D2Tij = D2T(:,:,i,j+offset);
+ D2Omij = D2Om(:,:,i,j+offset);
tmp = D2Tij*Pstar*T' + T*Pstar*D2Tij' + DTi*DPj*T' + DTj*DPi*T' + T*DPj*DTi' + T*DPi*DTj' + DTi*Pstar*DTj' + DTj*Pstar*DTi' + D2Omij;
dum = lyapunov_symm(T,tmp,DynareOptions.qz_criterium,DynareOptions.lyapunov_complex_threshold);
dum(abs(dum)<1.e-12) = 0;
- D2P(:,:,i+offset,j+offset) = dum;
- D2P(:,:,j+offset,i+offset) = dum;
+ D2P(:,:,i,j+offset) = dum;
+ D2P(:,:,j+offset,i) = dum;
end
end
end
--
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