Commit e55f3fd2 authored by Frédéric Karamé's avatar Frédéric Karamé
Browse files

Adds a modification to work with order 1 too.

parent bf9e0490
......@@ -134,7 +134,8 @@ trend_coeff = [];
exit_flag = 1;
% Set the number of observed variables
nvobs = DynareDataset.info.nvobs;
%nvobs = DynareDataset.info.nvobs;
nvobs = size(DynareDataset.data,1) ;
%------------------------------------------------------------------------------
% 1. Get the structural parameters & define penalties
......@@ -240,15 +241,13 @@ Model.H = H;
% Linearize the model around the deterministic sdteadystate and extract the matrices of the state equation (T and R).
[T,R,SteadyState,info,Model,DynareOptions,DynareResults] = dynare_resolve(Model,DynareOptions,DynareResults,'restrict');
%if info(1) == 1 || info(1) == 2 || info(1) == 5
% fval = objective_function_penalty_base+1;
% exit_flag = 0;
% return
%elseif info(1) == 3 || info(1) == 4 || info(1)==6 ||info(1) == 19 || info(1) == 20 || info(1) == 21
% fval = objective_function_penalty_base+info(2);
% exit_flag = 0;
% return
%end
%disp(info)
if info(1) ~= 0
ReducedForm = 0 ;
exit_flag = 55;
return
end
% Define a vector of indices for the observed variables. Is this really usefull?...
BayesInfo.mf = BayesInfo.mf1;
......@@ -265,24 +264,24 @@ else
end
% Define the deterministic linear trend of the measurement equation.
if BayesInfo.with_trend
trend_coeff = zeros(DynareDataset.info.nvobs,1);
t = DynareOptions.trend_coeffs;
for i=1:length(t)
if ~isempty(t{i})
trend_coeff(i) = evalin('base',t{i});
end
end
trend = repmat(constant,1,DynareDataset.info.ntobs)+trend_coeff*[1:DynareDataset.info.ntobs];
else
trend = repmat(constant,1,DynareDataset.info.ntobs);
end
%if BayesInfo.with_trend
% trend_coeff = zeros(DynareDataset.info.nvobs,1);
% t = DynareOptions.trend_coeffs;
% for i=1:length(t)
% if ~isempty(t{i})
% trend_coeff(i) = evalin('base',t{i});
% end
% end
% trend = repmat(constant,1,DynareDataset.info.ntobs)+trend_coeff*[1:DynareDataset.info.ntobs];
%else
% trend = repmat(constant,1,DynareDataset.info.ntobs);
%end
% Get needed informations for kalman filter routines.
start = DynareOptions.presample+1;
np = size(T,1);
mf = BayesInfo.mf;
Y = transpose(DynareDataset.rawdata);
Y = transpose(DynareDataset.data);
%------------------------------------------------------------------------------
% 3. Initial condition of the Kalman filter
......@@ -307,11 +306,18 @@ end
ReducedForm.ghx = dr.ghx(restrict_variables_idx,:);
ReducedForm.ghu = dr.ghu(restrict_variables_idx,:);
ReducedForm.ghxx = dr.ghxx(restrict_variables_idx,:);
ReducedForm.ghuu = dr.ghuu(restrict_variables_idx,:);
ReducedForm.ghxu = dr.ghxu(restrict_variables_idx,:);
ReducedForm.steadystate = dr.ys(dr.order_var(restrict_variables_idx));
ReducedForm.constant = ReducedForm.steadystate + .5*dr.ghs2(restrict_variables_idx);
if DynareOptions.order>1
ReducedForm.ghxx = dr.ghxx(restrict_variables_idx,:);
ReducedForm.ghuu = dr.ghuu(restrict_variables_idx,:);
ReducedForm.ghxu = dr.ghxu(restrict_variables_idx,:);
ReducedForm.constant = ReducedForm.steadystate + .5*dr.ghs2(restrict_variables_idx);
else
ReducedForm.ghxx = zeros(size(restrict_variables_idx,1),size(dr.kstate,2));
ReducedForm.ghuu = zeros(size(restrict_variables_idx,1),size(dr.ghu,2));
ReducedForm.ghxu = zeros(size(restrict_variables_idx,1),size(dr.ghx,2));
ReducedForm.constant = ReducedForm.steadystate ;
end
ReducedForm.state_variables_steady_state = dr.ys(dr.order_var(state_variables_idx));
ReducedForm.Q = Q;
ReducedForm.H = H;
......@@ -323,7 +329,7 @@ if observation_number==1
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(ReducedForm.ghx(mf0,:),ReducedForm.ghu(mf0,:)*ReducedForm.Q*ReducedForm.ghu(mf0,:)',1e-12,1e-12,[],[],DynareOptions.debug);
StateVectorVariance = lyapunov_symm(ReducedForm.ghx(mf0,:),ReducedForm.ghu(mf0,:)*ReducedForm.Q*ReducedForm.ghu(mf0,:)',1e-12,1e-12);
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;
......
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