From 1ae80da497ef94f4953bbe57cd095eec98c4e882 Mon Sep 17 00:00:00 2001
From: Johannes Pfeifer <jpfeifer@gmx,de>
Date: Sun, 9 Mar 2014 17:05:59 +0100
Subject: [PATCH] Fix bug in imcforecast.m where covariance matrix was
 decomposed element-wise instead of via Cholesky.

(cherry picked from commit 04554967fc49539b570b7c266b274eb433783e32)
---
 matlab/imcforecast.m | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/matlab/imcforecast.m b/matlab/imcforecast.m
index 2fa56a2ba..ebe8aa1ae 100644
--- a/matlab/imcforecast.m
+++ b/matlab/imcforecast.m
@@ -147,7 +147,7 @@ if isempty(options_.qz_criterium)
 end
 [T,R,ys,info,M_,options_,oo_] = dynare_resolve(M_,options_,oo_);
 
-sQ = sqrt(M_.Sigma_e);
+sQ = chol(M_.Sigma_e,'lower');
 
 NumberOfStates = length(InitState);
 FORCS1 = zeros(NumberOfStates,options_cond_fcst.periods+1,options_cond_fcst.replic);
-- 
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