From dab5d38068db477493eb5e7213c82d3e3a8b543c Mon Sep 17 00:00:00 2001
From: Johannes Pfeifer <jpfeifer@gmx.de>
Date: Thu, 8 Oct 2020 12:15:26 +0200
Subject: [PATCH] Fix initialization of state variances
- incomplete computation of variances in case 1
- wrong ordering for case 2
---
matlab/non_linear_dsge_likelihood.m | 6 ++++--
1 file changed, 4 insertions(+), 2 deletions(-)
diff --git a/matlab/non_linear_dsge_likelihood.m b/matlab/non_linear_dsge_likelihood.m
index 2af54fac8e..6206ca11e5 100644
--- a/matlab/non_linear_dsge_likelihood.m
+++ b/matlab/non_linear_dsge_likelihood.m
@@ -135,14 +135,16 @@ end
switch DynareOptions.particle.initialization
case 1% Initial state vector covariance is the ergodic variance associated to the first order Taylor-approximation of the model.
StateVectorMean = ReducedForm.constant(mf0);
- StateVectorVariance = lyapunov_symm(dr.ghx(mf0,:), dr.ghu(mf0,:)*Q*dr.ghu(mf0,:)', DynareOptions.lyapunov_fixed_point_tol, ...
+ [A,B] = kalman_transition_matrix(dr,dr.restrict_var_list,dr.restrict_columns,Model.exo_nbr);
+ StateVectorVariance = lyapunov_symm(A, B*Q*B', DynareOptions.lyapunov_fixed_point_tol, ...
DynareOptions.qz_criterium, DynareOptions.lyapunov_complex_threshold, [], DynareOptions.debug);
+ StateVectorVariance = StateVectorVariance(mf0,mf0);
case 2% Initial state vector covariance is a monte-carlo based estimate of the ergodic variance (consistent with a k-order Taylor-approximation of the model).
StateVectorMean = ReducedForm.constant(mf0);
old_DynareOptionsperiods = DynareOptions.periods;
DynareOptions.periods = 5000;
y_ = simult(DynareResults.steady_state, dr,Model,DynareOptions,DynareResults);
- y_ = y_(state_variables_idx,2001:5000);
+ y_ = y_(dr.order_var(state_variables_idx),2001:5000); %state_variables_idx is in dr-order while simult_ is in declaration order
StateVectorVariance = cov(y_');
DynareOptions.periods = old_DynareOptionsperiods;
clear('old_DynareOptionsperiods','y_');
--
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