From 8ac3f4b22bbe57f4d7096e572d1faa13cdf368d6 Mon Sep 17 00:00:00 2001
From: Marco Ratto <marco.ratto@ec.europa.eu>
Date: Thu, 6 Jan 2022 14:59:33 +0100
Subject: [PATCH] fixed bugs in initialization of heteroskedastic shocks and
first_obs>1 and nobs< full dimension of dataset
---
matlab/dynare_estimation_init.m | 6 ++++--
1 file changed, 4 insertions(+), 2 deletions(-)
diff --git a/matlab/dynare_estimation_init.m b/matlab/dynare_estimation_init.m
index 3cdd4c097e..5f0af2dbdf 100644
--- a/matlab/dynare_estimation_init.m
+++ b/matlab/dynare_estimation_init.m
@@ -671,12 +671,14 @@ if options_.heteroskedastic_filter
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);
+ 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);
+ 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
--
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