From bcd9fe4006febdde1bdacbdeebb5844120459bf8 Mon Sep 17 00:00:00 2001
From: Marco Ratto <marco.ratto@ec.europa.eu>
Date: Mon, 9 Oct 2017 17:53:19 +0200
Subject: [PATCH] bug fix in optimizer 5 [newrat] for dsge_var_likelihood
objective function. Fixes #1494
(cherry picked from commit da063b2e1862ee2e8f9e01482931214ff165f001)
---
matlab/dynare_estimation_1.m | 2 +-
matlab/optimization/newrat.m | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
diff --git a/matlab/dynare_estimation_1.m b/matlab/dynare_estimation_1.m
index 1a674c32bf..f4f6a9b9fe 100644
--- a/matlab/dynare_estimation_1.m
+++ b/matlab/dynare_estimation_1.m
@@ -235,7 +235,7 @@ if ~isequal(options_.mode_compute,0) && ~options_.mh_posterior_mode_estimation
[junk1, junk2,junk3, junk4, hh] = feval(objective_function,xparam1, ...
dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,bounds,oo_);
options_.analytic_derivation = ana_deriv_old;
- elseif ~isnumeric(options_.mode_compute) || ~(isequal(options_.mode_compute,5) && newratflag~=1)
+ elseif ~isnumeric(options_.mode_compute) || ~(isequal(options_.mode_compute,5) && newratflag~=1 && strcmp(func2str(objective_function),'dsge_likelihood'))
% with flag==0, we force to use the hessian from outer product gradient of optimizer 5
if options_.hessian.use_penalized_objective
penalized_objective_function = str2func('penalty_objective_function');
diff --git a/matlab/optimization/newrat.m b/matlab/optimization/newrat.m
index c554a22dc1..ef6d19d019 100644
--- a/matlab/optimization/newrat.m
+++ b/matlab/optimization/newrat.m
@@ -154,7 +154,7 @@ while norm(gg)>gtol && check==0 && jit<nit
if length(find(ig))<nx
ggx=ggx*0;
ggx(find(ig))=gg(find(ig));
- if analytic_derivation
+ if analytic_derivation || ~outer_product_gradient,
hhx=hh;
else
hhx = reshape(dum,nx,nx);
--
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