From a089e59f3c70aa612235d809cb77d73be574f7f4 Mon Sep 17 00:00:00 2001
From: stepan <stepan@ac1d8469-bf42-47a9-8791-bf33cf982152>
Date: Thu, 9 Jul 2009 15:41:11 +0000
Subject: [PATCH] dynare/trunk:: + Added a new option for likinit=2 used to
define the numbers on the initial diagonal Pstar matrix.
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2828 ac1d8469-bf42-47a9-8791-bf33cf982152
---
matlab/DsgeLikelihood.m | 2 +-
matlab/DsgeLikelihood_hh.m | 2 +-
matlab/DsgeSmoother.m | 2 +-
matlab/global_initialization.m | 1 +
4 files changed, 4 insertions(+), 3 deletions(-)
diff --git a/matlab/DsgeLikelihood.m b/matlab/DsgeLikelihood.m
index 94603e870f..d0a20c99bc 100644
--- a/matlab/DsgeLikelihood.m
+++ b/matlab/DsgeLikelihood.m
@@ -176,7 +176,7 @@ function [fval,cost_flag,ys,trend_coeff,info] = DsgeLikelihood(xparam1,gend,data
if kalman_algo ~= 2
kalman_algo = 1;
end
- Pstar = 10*eye(np);
+ Pstar = options_.Harvey_scale_factor*eye(np);
Pinf = [];
elseif options_.lik_init == 3 % Diffuse Kalman filter
if kalman_algo ~= 4
diff --git a/matlab/DsgeLikelihood_hh.m b/matlab/DsgeLikelihood_hh.m
index ad28eb8773..11938eb645 100644
--- a/matlab/DsgeLikelihood_hh.m
+++ b/matlab/DsgeLikelihood_hh.m
@@ -177,7 +177,7 @@ function [fval,llik,cost_flag,ys,trend_coeff,info] = DsgeLikelihood_hh(xparam1,g
if kalman_algo ~= 2
kalman_algo = 1;
end
- Pstar = 10*eye(np);
+ Pstar = options_.Harvey_scale_factor*eye(np);
Pinf = [];
elseif options_.lik_init == 3 % Diffuse Kalman filter
if kalman_algo ~= 4
diff --git a/matlab/DsgeSmoother.m b/matlab/DsgeSmoother.m
index 7facaef00e..8a4ba7e65b 100644
--- a/matlab/DsgeSmoother.m
+++ b/matlab/DsgeSmoother.m
@@ -119,7 +119,7 @@ function [alphahat,etahat,epsilonhat,ahat,SteadyState,trend_coeff,aK,T,R,P,PK,d,
if kalman_algo ~= 2
kalman_algo = 1;
end
- Pstar = 10*eye(np);
+ Pstar = options_.Harvey_scale_factor*eye(np);
Pinf = [];
elseif options_.lik_init == 3 % Diffuse Kalman filter
if kalman_algo ~= 4
diff --git a/matlab/global_initialization.m b/matlab/global_initialization.m
index 6f06b19f78..80107e87ab 100644
--- a/matlab/global_initialization.m
+++ b/matlab/global_initialization.m
@@ -132,6 +132,7 @@ function global_initialization()
options_.timeless = 0;
% estimation
+ options_.Harvey_scale_factor = 10;
options_.MaxNumberOfBytes = 1e6;
options_.MaximumNumberOfMegaBytes = 111;
options_.PosteriorSampleSize = 1000;
--
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