From b907e82e7bbfc975d3e961ff4d41c91b12529608 Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?St=C3=A9phane=20Adjemian=20=28Charybdis=29?=
<stephane.adjemian@univ-lemans.fr>
Date: Thu, 14 Jun 2012 14:39:47 +0200
Subject: [PATCH] Removed NaNs in M_.Correlation_matrix if they are the
consequence of variances (of structural innovations) calibrated to zero.
---
matlab/dynare_estimation_1.m | 8 ++++++++
1 file changed, 8 insertions(+)
diff --git a/matlab/dynare_estimation_1.m b/matlab/dynare_estimation_1.m
index 5fdec1d78..bd7af8380 100644
--- a/matlab/dynare_estimation_1.m
+++ b/matlab/dynare_estimation_1.m
@@ -67,6 +67,14 @@ end
% Set the correlation matrix if necessary.
if ~isequal(estim_params_.ncx,nnz(tril(M_.Sigma_e,-1)))
M_.Correlation_matrix = diag(1./sqrt(diag(M_.Sigma_e)))*M_.Sigma_e*diag(1./sqrt(diag(M_.Sigma_e)));
+ % Remove NaNs appearing because of variances calibrated to zero.
+ if any(isnan(M_.Correlation_matrix))
+ zero_variance_idx = find(~diag(M_.Sigma_e));
+ for i=1:length(zero_variance_idx)
+ M_.Correlation_matrix(zero_variance_idx(i),:) = 0;
+ M_.Correlation_matrix(:,zero_variance_idx(i)) = 0;
+ end
+ end
end
data = dataset_.data;
--
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