From 7c9aa522e68febde96f57061fd126cd938f72a50 Mon Sep 17 00:00:00 2001
From: Marco Ratto <marco.ratto@ec.europa.eu>
Date: Wed, 19 Jul 2023 08:51:52 +0200
Subject: [PATCH] bug fix: indexing must also contain smpl+1 (needed for 1 step
ahead forecast in last period when filtering).
---
matlab/dynare_estimation_init.m | 8 ++++----
matlab/kalman/get_Qvec_heteroskedastic_filter.m | 2 +-
2 files changed, 5 insertions(+), 5 deletions(-)
diff --git a/matlab/dynare_estimation_init.m b/matlab/dynare_estimation_init.m
index 4932e30426..01db632a8a 100644
--- a/matlab/dynare_estimation_init.m
+++ b/matlab/dynare_estimation_init.m
@@ -500,18 +500,18 @@ if options_.heteroskedastic_filter
'for heteroskedastic_filter'])
end
- M_.heteroskedastic_shocks.Qvalue = NaN(M_.exo_nbr,options_.nobs);
- M_.heteroskedastic_shocks.Qscale = NaN(M_.exo_nbr,options_.nobs);
+ M_.heteroskedastic_shocks.Qvalue = NaN(M_.exo_nbr,options_.nobs+1);
+ M_.heteroskedastic_shocks.Qscale = NaN(M_.exo_nbr,options_.nobs+1);
for k=1:length(M_.heteroskedastic_shocks.Qvalue_orig)
v = M_.heteroskedastic_shocks.Qvalue_orig(k);
- temp_periods=v.periods(v.periods<options_.nobs+options_.first_obs);
+ temp_periods=v.periods(v.periods<options_.nobs+options_.first_obs+1);
temp_periods=temp_periods(temp_periods>=options_.first_obs);
M_.heteroskedastic_shocks.Qvalue(v.exo_id, temp_periods-(options_.first_obs-1)) = v.value^2;
end
for k=1:length(M_.heteroskedastic_shocks.Qscale_orig)
v = M_.heteroskedastic_shocks.Qscale_orig(k);
- temp_periods=v.periods(v.periods<options_.nobs+options_.first_obs);
+ temp_periods=v.periods(v.periods<options_.nobs+options_.first_obs+1);
temp_periods=temp_periods(temp_periods>=options_.first_obs);
M_.heteroskedastic_shocks.Qscale(v.exo_id, temp_periods-(options_.first_obs-1)) = v.scale^2;
end
diff --git a/matlab/kalman/get_Qvec_heteroskedastic_filter.m b/matlab/kalman/get_Qvec_heteroskedastic_filter.m
index 7946b48d51..ae4e688689 100644
--- a/matlab/kalman/get_Qvec_heteroskedastic_filter.m
+++ b/matlab/kalman/get_Qvec_heteroskedastic_filter.m
@@ -27,7 +27,7 @@ function Qvec=get_Qvec_heteroskedastic_filter(Q,smpl,M_)
isqdiag = all(all(abs(Q-diag(diag(Q)))<1e-14)); % ie, the covariance matrix is diagonal...
Qvec=repmat(Q,[1 1 smpl+1]);
-for k=1:smpl
+for k=1:smpl+1
inx = ~isnan(M_.heteroskedastic_shocks.Qvalue(:,k));
if any(inx)
if isqdiag
--
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