Fix behavior of smoother2histval
smootherwill only store the
M_.orig_endo_nbrvariables for Bayesian estimation. So calling
smoother2histvalwill "forget" about the auxiliary variables we introduce. Thus, by convention they will be initialized at their steady state - which differs from the description in the manual that it
will use these values to construct initial conditions (as if they had been manually entered through histval).
In case of
histval, the non-mentioned variables would be set to 0.
In contrast, for ML it will work.
M_.endo_histval = repmat(oo_.steady_state, 1, M_.maximum_lag);
but later we have
k = M_.orig_maximum_endo_lag - M_.maximum_endo_lag + 1: M_.orig_maximum_lag; v = s((period-M_.orig_maximum_endo_lag+1):period);% + steady_state(j); M_.endo_histval(j, :) = v(k);
which relies on
orig_maximum_endo_lagand may have more than one lag. Using grep, it seems most other files expect
M_.endo_histvalto be a vector not a matrix.
Depending on whether output is to a file or
M_.endo_histval, non-requested variables will be set to 0 or the steady state. We must be consistent.