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Commit 222d8d18 authored by MichelJuillard's avatar MichelJuillard
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More fixing related to objective_function_penalty_base

parent dc3c01f2
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matlab/TaRB_optimizer_wrapper.m
View file @ 222d8d18
function [fval,DLIK,Hess,exit_flag] = TaRB_optimizer_wrapper(optpar,par_vector,parameterindices,TargetFun,varargin)
function [fval,info,exit_flag,DLIK,Hess,SteadyState,trend_coeff] = TaRB_optimizer_wrapper(optpar,par_vector,parameterindices,TargetFun,varargin)
% function [fval,DLIK,Hess,exit_flag] = TaRB_optimizer_wrapper(optpar,par_vector,parameterindices,TargetFun,varargin)
% Wrapper function for target function used in TaRB algorithm; reassembles
% full parameter vector before calling target function
......@@ -36,5 +36,5 @@ function [fval,DLIK,Hess,exit_flag] = TaRB_optimizer_wrapper(optpar,par_vector,p
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
par_vector(parameterindices,:)=optpar; %reassemble parameter
[fval,DLIK,Hess,exit_flag] = feval(TargetFun,par_vector,varargin{:}); %call target function
[fval,info,exit_flag,DLIK,Hess,SteadyState,trend_coeff] = feval(TargetFun,par_vector,varargin{:}); %call target function
matlab/dsge_likelihood.m
View file @ 222d8d18
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matlab/dsge_likelihood_1.m 0 → 100644
View file @ 222d8d18
This diff is collapsed.
matlab/dsge_var_likelihood.m
View file @ 222d8d18
function [fval,grad,hess,exit_flag,SteadyState,trend_coeff,info,PHI,SIGMAu,iXX,prior] = dsge_var_likelihood(xparam1,DynareDataset,DynareInfo,DynareOptions,Model,EstimatedParameters,BayesInfo,BoundsInfo,DynareResults)
% Evaluates the posterior kernel of the bvar-dsge model.
function [fval,grad,hess,exit_flag,info,PHI,SIGMAu,iXX,prior] = dsge_var_likelihood(xparam1,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults)
% Evaluates the posterior kernel of the bvar-dsge model. Deprecated interface.
%
% INPUTS
% o xparam1 [double] Vector of model's parameters.
......@@ -8,10 +8,6 @@ function [fval,grad,hess,exit_flag,SteadyState,trend_coeff,info,PHI,SIGMAu,iXX,p
% OUTPUTS
% o fval [double] Value of the posterior kernel at xparam1.
% o cost_flag [integer] Zero if the function returns a penalty, one otherwise.
% o SteadyState [double] Steady state vector possibly recomputed
% by call to dynare_results()
% o trend_coeff [double] place holder for trend coefficients,
% currently not supported by dsge_var
% o info [integer] Vector of informations about the penalty.
% o PHI [double] Stacked BVAR-DSGE autoregressive matrices (at the mode associated to xparam1).
% o SIGMAu [double] Covariance matrix of the BVAR-DSGE (at the mode associated to xparam1).
......@@ -38,275 +34,6 @@ function [fval,grad,hess,exit_flag,SteadyState,trend_coeff,info,PHI,SIGMAu,iXX,p
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
persistent dsge_prior_weight_idx
grad=[];
hess=[];
exit_flag = [];
info = 0;
PHI = [];
SIGMAu = [];
iXX = [];
prior = [];
SteadyState = [];
trend_coeff = [];
% Initialization of of the index for parameter dsge_prior_weight in Model.params.
if isempty(dsge_prior_weight_idx)
dsge_prior_weight_idx = strmatch('dsge_prior_weight',Model.param_names);
end
% Get the number of estimated (dsge) parameters.
nx = EstimatedParameters.nvx + EstimatedParameters.np;
% Get the number of observed variables in the VAR model.
NumberOfObservedVariables = DynareDataset.vobs;
% Get the number of observations.
NumberOfObservations = DynareDataset.nobs;
% Get the number of lags in the VAR model.
NumberOfLags = DynareOptions.dsge_varlag;
% Get the number of parameters in the VAR model.
NumberOfParameters = NumberOfObservedVariables*NumberOfLags ;
if ~DynareOptions.noconstant
NumberOfParameters = NumberOfParameters + 1;
end
% Get empirical second order moments for the observed variables.
mYY = evalin('base', 'mYY');
mYX = evalin('base', 'mYX');
mXY = evalin('base', 'mXY');
mXX = evalin('base', 'mXX');
% Initialize some of the output arguments.
fval = [];
exit_flag = 1;
% Return, with endogenous penalty, if some dsge-parameters are smaller than the lower bound of the prior domain.
if DynareOptions.mode_compute ~= 1 && any(xparam1 < BoundsInfo.lb)
fval = Inf;
exit_flag = 0;
info(1) = 41;
k = find(xparam1 < BoundsInfo.lb);
info(2) = sum((BoundsInfo.lb(k)-xparam1(k)).^2);
return;
end
% Return, with endogenous penalty, if some dsge-parameters are greater than the upper bound of the prior domain.
if DynareOptions.mode_compute ~= 1 && any(xparam1 > BoundsInfo.ub)
fval = Inf;
exit_flag = 0;
info(1) = 42;
k = find(xparam1 > BoundsInfo.ub);
info(2) = sum((xparam1(k)-BoundsInfo.ub(k)).^2);
return;
end
% Get the variance of each structural innovation.
Q = Model.Sigma_e;
for i=1:EstimatedParameters.nvx
k = EstimatedParameters.var_exo(i,1);
Q(k,k) = xparam1(i)*xparam1(i);
end
offset = EstimatedParameters.nvx;
% Update Model.params and Model.Sigma_e.
Model.params(EstimatedParameters.param_vals(:,1)) = xparam1(offset+1:end);
Model.Sigma_e = Q;
% Get the weight of the dsge prior.
dsge_prior_weight = Model.params(dsge_prior_weight_idx);
% Is the dsge prior proper?
if dsge_prior_weight<(NumberOfParameters+NumberOfObservedVariables)/ ...
NumberOfObservations;
fval = Inf;
exit_flag = 0;
info(1) = 51;
info(2) = abs(NumberOfObservations*dsge_prior_weight-(NumberOfParameters+NumberOfObservedVariables));
% info(2)=dsge_prior_weight;
% info(3)=(NumberOfParameters+NumberOfObservedVariables)/DynareDataset.nobs;
return
end
%------------------------------------------------------------------------------
% 2. call model setup & reduction program
%------------------------------------------------------------------------------
% Solve the Dsge model and get the matrices of the reduced form solution. T and R are the matrices of the
% state equation
[T,R,SteadyState,info,Model,DynareOptions,DynareResults] = dynare_resolve(Model,DynareOptions,DynareResults,'restrict');
% Return, with endogenous penalty when possible, if dynare_resolve issues an error code (defined in resol).
if info(1) == 1 || info(1) == 2 || info(1) == 5 || info(1) == 7 || info(1) == 8 || ...
info(1) == 22 || info(1) == 24 || info(1) == 25 || info(1) == 10
fval = Inf;
info(2) = 0.1;
exit_flag = 0;
return
elseif info(1) == 3 || info(1) == 4 || info(1) == 19 || info(1) == 20 || info(1) == 21
fval = Inf;
info(2) = 0.1;
exit_flag = 0;
return
end
% Define the mean/steady state vector.
if ~DynareOptions.noconstant
if DynareOptions.loglinear
constant = transpose(log(SteadyState(BayesInfo.mfys)));
else
constant = transpose(SteadyState(BayesInfo.mfys));
end
else
constant = zeros(1,NumberOfObservedVariables);
end
%------------------------------------------------------------------------------
% 3. theoretical moments (second order)
%------------------------------------------------------------------------------
% Compute the theoretical second order moments
tmp0 = lyapunov_symm(T,R*Q*R',DynareOptions.lyapunov_fixed_point_tol,DynareOptions.qz_criterium,DynareOptions.lyapunov_complex_threshold, [], [], DynareOptions.debug);
mf = BayesInfo.mf1;
% Get the non centered second order moments
TheoreticalAutoCovarianceOfTheObservedVariables = zeros(NumberOfObservedVariables,NumberOfObservedVariables,NumberOfLags+1);
TheoreticalAutoCovarianceOfTheObservedVariables(:,:,1) = tmp0(mf,mf)+constant'*constant;
for lag = 1:NumberOfLags
tmp0 = T*tmp0;
TheoreticalAutoCovarianceOfTheObservedVariables(:,:,lag+1) = tmp0(mf,mf) + constant'*constant;
end
% Build the theoretical "covariance" between Y and X
GYX = zeros(NumberOfObservedVariables,NumberOfParameters);
for i=1:NumberOfLags
GYX(:,(i-1)*NumberOfObservedVariables+1:i*NumberOfObservedVariables) = TheoreticalAutoCovarianceOfTheObservedVariables(:,:,i+1);
end
if ~DynareOptions.noconstant
GYX(:,end) = constant';
end
% Build the theoretical "covariance" between X and X
GXX = kron(eye(NumberOfLags), TheoreticalAutoCovarianceOfTheObservedVariables(:,:,1));
for i = 1:NumberOfLags-1
tmp1 = diag(ones(NumberOfLags-i,1),i);
tmp2 = diag(ones(NumberOfLags-i,1),-i);
GXX = GXX + kron(tmp1,TheoreticalAutoCovarianceOfTheObservedVariables(:,:,i+1));
GXX = GXX + kron(tmp2,TheoreticalAutoCovarianceOfTheObservedVariables(:,:,i+1)');
end
if ~DynareOptions.noconstant
% Add one row and one column to GXX
GXX = [GXX , kron(ones(NumberOfLags,1),constant') ; [ kron(ones(1,NumberOfLags),constant) , 1] ];
end
GYY = TheoreticalAutoCovarianceOfTheObservedVariables(:,:,1);
assignin('base','GYY',GYY);
assignin('base','GXX',GXX);
assignin('base','GYX',GYX);
if ~isinf(dsge_prior_weight)% Evaluation of the likelihood of the dsge-var model when the dsge prior weight is finite.
tmp0 = dsge_prior_weight*NumberOfObservations*TheoreticalAutoCovarianceOfTheObservedVariables(:,:,1) + mYY ;
tmp1 = dsge_prior_weight*NumberOfObservations*GYX + mYX;
tmp2 = inv(dsge_prior_weight*NumberOfObservations*GXX+mXX);
SIGMAu = tmp0 - tmp1*tmp2*tmp1'; clear('tmp0');
[SIGMAu_is_positive_definite, penalty] = ispd(SIGMAu);
if ~SIGMAu_is_positive_definite
fval = Inf;
info(1) = 52;
info(2) = penalty;
exit_flag = 0;
return;
end
SIGMAu = SIGMAu / (NumberOfObservations*(1+dsge_prior_weight));
PHI = tmp2*tmp1'; clear('tmp1');
prodlng1 = sum(gammaln(.5*((1+dsge_prior_weight)*NumberOfObservations- ...
NumberOfObservedVariables*NumberOfLags ...
+1-(1:NumberOfObservedVariables)')));
prodlng2 = sum(gammaln(.5*(dsge_prior_weight*NumberOfObservations- ...
NumberOfObservedVariables*NumberOfLags ...
+1-(1:NumberOfObservedVariables)')));
lik = .5*NumberOfObservedVariables*log(det(dsge_prior_weight*NumberOfObservations*GXX+mXX)) ...
+ .5*((dsge_prior_weight+1)*NumberOfObservations-NumberOfParameters)*log(det((dsge_prior_weight+1)*NumberOfObservations*SIGMAu)) ...
- .5*NumberOfObservedVariables*log(det(dsge_prior_weight*NumberOfObservations*GXX)) ...
- .5*(dsge_prior_weight*NumberOfObservations-NumberOfParameters)*log(det(dsge_prior_weight*NumberOfObservations*(GYY-GYX*inv(GXX)*GYX'))) ...
+ .5*NumberOfObservedVariables*NumberOfObservations*log(2*pi) ...
- .5*log(2)*NumberOfObservedVariables*((dsge_prior_weight+1)*NumberOfObservations-NumberOfParameters) ...
+ .5*log(2)*NumberOfObservedVariables*(dsge_prior_weight*NumberOfObservations-NumberOfParameters) ...
- prodlng1 + prodlng2;
else% Evaluation of the likelihood of the dsge-var model when the dsge prior weight is infinite.
iGXX = inv(GXX);
SIGMAu = GYY - GYX*iGXX*transpose(GYX);
PHI = iGXX*transpose(GYX);
lik = NumberOfObservations * ( log(det(SIGMAu)) + NumberOfObservedVariables*log(2*pi) + ...
trace(inv(SIGMAu)*(mYY - transpose(mYX*PHI) - mYX*PHI + transpose(PHI)*mXX*PHI)/NumberOfObservations));
lik = .5*lik;% Minus likelihood
end
if isnan(lik)
info(1) = 45;
info(2) = 0.1;
fval = Inf;
exit_flag = 0;
return
end
if imag(lik)~=0
info(1) = 46;
info(2) = 0.1;
fval = Inf;
exit_flag = 0;
return
end
% Add the (logged) prior density for the dsge-parameters.
lnprior = priordens(xparam1,BayesInfo.pshape,BayesInfo.p6,BayesInfo.p7,BayesInfo.p3,BayesInfo.p4);
fval = (lik-lnprior);
if isnan(fval)
info(1) = 47;
info(2) = 0.1;
fval = Inf;
exit_flag = 0;
return
end
if imag(fval)~=0
info(1) = 48;
info(2) = 0.1;
fval = Inf;
exit_flag = 0;
return
end
if (nargout == 10)
if isinf(dsge_prior_weight)
iXX = iGXX;
else
iXX = tmp2;
end
end
if (nargout==11)
if isinf(dsge_prior_weight)
iXX = iGXX;
else
iXX = tmp2;
end
iGXX = inv(GXX);
prior.SIGMAstar = GYY - GYX*iGXX*GYX';
prior.PHIstar = iGXX*transpose(GYX);
prior.ArtificialSampleSize = fix(dsge_prior_weight*NumberOfObservations);
prior.DF = prior.ArtificialSampleSize - NumberOfParameters - NumberOfObservedVariables;
prior.iGXX = iGXX;
end
if fval == Inf
pause
end
\ No newline at end of file
[fval,info,exit_flag,grad,hess,SteadyState,trend_coeff,PHI,SIGMAu,iXX,prior] = ...
dsge_var_likelihood_1(xparam1,DynareDataset,DynareInfo,DynareOptions,Model,...
EstimatedParameters,BayesInfo,BoundsInfo,DynareResults);
\ No newline at end of file
matlab/dsge_var_likelihood_1.m 0 → 100644
View file @ 222d8d18
function [fval,info,exit_flag,grad,hess,SteadyState,trend_coeff,PHI,SIGMAu,iXX,prior] = dsge_var_likelihood_1(xparam1,DynareDataset,DynareInfo,DynareOptions,Model,EstimatedParameters,BayesInfo,BoundsInfo,DynareResults)
% Evaluates the posterior kernel of the bvar-dsge model.
%
% INPUTS
% o xparam1 [double] Vector of model's parameters.
% o gend [integer] Number of observations (without conditionning observations for the lags).
%
% OUTPUTS
% o fval [double] Value of the posterior kernel at xparam1.
% o cost_flag [integer] Zero if the function returns a penalty, one otherwise.
% o SteadyState [double] Steady state vector possibly recomputed
% by call to dynare_results()
% o trend_coeff [double] place holder for trend coefficients,
% currently not supported by dsge_var
% o info [integer] Vector of informations about the penalty.
% o PHI [double] Stacked BVAR-DSGE autoregressive matrices (at the mode associated to xparam1).
% o SIGMAu [double] Covariance matrix of the BVAR-DSGE (at the mode associated to xparam1).
% o iXX [double] inv(X'X).
% o prior [double] a matlab structure describing the dsge-var prior.
%
% SPECIAL REQUIREMENTS
% None.
% Copyright (C) 2006-2012 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
persistent dsge_prior_weight_idx
grad=[];
hess=[];
exit_flag = [];
info = 0;
PHI = [];
SIGMAu = [];
iXX = [];
prior = [];
SteadyState = [];
trend_coeff = [];
% Initialization of of the index for parameter dsge_prior_weight in Model.params.
if isempty(dsge_prior_weight_idx)
dsge_prior_weight_idx = strmatch('dsge_prior_weight',Model.param_names);
end
% Get the number of estimated (dsge) parameters.
nx = EstimatedParameters.nvx + EstimatedParameters.np;
% Get the number of observed variables in the VAR model.
NumberOfObservedVariables = DynareDataset.vobs;
% Get the number of observations.
NumberOfObservations = DynareDataset.nobs;
% Get the number of lags in the VAR model.
NumberOfLags = DynareOptions.dsge_varlag;
% Get the number of parameters in the VAR model.
NumberOfParameters = NumberOfObservedVariables*NumberOfLags ;
if ~DynareOptions.noconstant
NumberOfParameters = NumberOfParameters + 1;
end
% Get empirical second order moments for the observed variables.
mYY = evalin('base', 'mYY');
mYX = evalin('base', 'mYX');
mXY = evalin('base', 'mXY');
mXX = evalin('base', 'mXX');
% Initialize some of the output arguments.
fval = [];
exit_flag = 1;
% Return, with endogenous penalty, if some dsge-parameters are smaller than the lower bound of the prior domain.
if DynareOptions.mode_compute ~= 1 && any(xparam1 < BoundsInfo.lb)
fval = Inf;
exit_flag = 0;
info(1) = 41;
k = find(xparam1 < BoundsInfo.lb);
info(2) = sum((BoundsInfo.lb(k)-xparam1(k)).^2);
return;
end
% Return, with endogenous penalty, if some dsge-parameters are greater than the upper bound of the prior domain.
if DynareOptions.mode_compute ~= 1 && any(xparam1 > BoundsInfo.ub)
fval = Inf;
exit_flag = 0;
info(1) = 42;
k = find(xparam1 > BoundsInfo.ub);
info(2) = sum((xparam1(k)-BoundsInfo.ub(k)).^2);
return;
end
% Get the variance of each structural innovation.
Q = Model.Sigma_e;
for i=1:EstimatedParameters.nvx
k = EstimatedParameters.var_exo(i,1);
Q(k,k) = xparam1(i)*xparam1(i);
end
offset = EstimatedParameters.nvx;
% Update Model.params and Model.Sigma_e.
Model.params(EstimatedParameters.param_vals(:,1)) = xparam1(offset+1:end);
Model.Sigma_e = Q;
% Get the weight of the dsge prior.
dsge_prior_weight = Model.params(dsge_prior_weight_idx);
% Is the dsge prior proper?
if dsge_prior_weight<(NumberOfParameters+NumberOfObservedVariables)/ ...
NumberOfObservations;
fval = Inf;
exit_flag = 0;
info(1) = 51;
info(2) = abs(NumberOfObservations*dsge_prior_weight-(NumberOfParameters+NumberOfObservedVariables));
% info(2)=dsge_prior_weight;
% info(3)=(NumberOfParameters+NumberOfObservedVariables)/DynareDataset.nobs;
return
end
%------------------------------------------------------------------------------
% 2. call model setup & reduction program
%------------------------------------------------------------------------------
% Solve the Dsge model and get the matrices of the reduced form solution. T and R are the matrices of the
% state equation
[T,R,SteadyState,info,Model,DynareOptions,DynareResults] = dynare_resolve(Model,DynareOptions,DynareResults,'restrict');
% Return, with endogenous penalty when possible, if dynare_resolve issues an error code (defined in resol).
if info(1) == 1 || info(1) == 2 || info(1) == 5 || info(1) == 7 || info(1) == 8 || ...
info(1) == 22 || info(1) == 24 || info(1) == 25 || info(1) == 10
fval = Inf;
info(2) = 0.1;
exit_flag = 0;
return
elseif info(1) == 3 || info(1) == 4 || info(1) == 19 || info(1) == 20 || info(1) == 21
fval = Inf;
info(2) = 0.1;
exit_flag = 0;
return
end
% Define the mean/steady state vector.
if ~DynareOptions.noconstant
if DynareOptions.loglinear
constant = transpose(log(SteadyState(BayesInfo.mfys)));
else
constant = transpose(SteadyState(BayesInfo.mfys));
end
else
constant = zeros(1,NumberOfObservedVariables);
end
%------------------------------------------------------------------------------
% 3. theoretical moments (second order)
%------------------------------------------------------------------------------
% Compute the theoretical second order moments
tmp0 = lyapunov_symm(T,R*Q*R',DynareOptions.lyapunov_fixed_point_tol,DynareOptions.qz_criterium,DynareOptions.lyapunov_complex_threshold, [], [], DynareOptions.debug);
mf = BayesInfo.mf1;
% Get the non centered second order moments
TheoreticalAutoCovarianceOfTheObservedVariables = zeros(NumberOfObservedVariables,NumberOfObservedVariables,NumberOfLags+1);
TheoreticalAutoCovarianceOfTheObservedVariables(:,:,1) = tmp0(mf,mf)+constant'*constant;
for lag = 1:NumberOfLags
tmp0 = T*tmp0;
TheoreticalAutoCovarianceOfTheObservedVariables(:,:,lag+1) = tmp0(mf,mf) + constant'*constant;
end
% Build the theoretical "covariance" between Y and X
GYX = zeros(NumberOfObservedVariables,NumberOfParameters);
for i=1:NumberOfLags
GYX(:,(i-1)*NumberOfObservedVariables+1:i*NumberOfObservedVariables) = TheoreticalAutoCovarianceOfTheObservedVariables(:,:,i+1);
end
if ~DynareOptions.noconstant
GYX(:,end) = constant';
end
% Build the theoretical "covariance" between X and X
GXX = kron(eye(NumberOfLags), TheoreticalAutoCovarianceOfTheObservedVariables(:,:,1));
for i = 1:NumberOfLags-1
tmp1 = diag(ones(NumberOfLags-i,1),i);
tmp2 = diag(ones(NumberOfLags-i,1),-i);
GXX = GXX + kron(tmp1,TheoreticalAutoCovarianceOfTheObservedVariables(:,:,i+1));
GXX = GXX + kron(tmp2,TheoreticalAutoCovarianceOfTheObservedVariables(:,:,i+1)');
end
if ~DynareOptions.noconstant
% Add one row and one column to GXX
GXX = [GXX , kron(ones(NumberOfLags,1),constant') ; [ kron(ones(1,NumberOfLags),constant) , 1] ];
end
GYY = TheoreticalAutoCovarianceOfTheObservedVariables(:,:,1);
assignin('base','GYY',GYY);
assignin('base','GXX',GXX);
assignin('base','GYX',GYX);
if ~isinf(dsge_prior_weight)% Evaluation of the likelihood of the dsge-var model when the dsge prior weight is finite.
tmp0 = dsge_prior_weight*NumberOfObservations*TheoreticalAutoCovarianceOfTheObservedVariables(:,:,1) + mYY ;
tmp1 = dsge_prior_weight*NumberOfObservations*GYX + mYX;
tmp2 = inv(dsge_prior_weight*NumberOfObservations*GXX+mXX);
SIGMAu = tmp0 - tmp1*tmp2*tmp1'; clear('tmp0');
[SIGMAu_is_positive_definite, penalty] = ispd(SIGMAu);
if ~SIGMAu_is_positive_definite
fval = Inf;
info(1) = 52;
info(2) = penalty;
exit_flag = 0;
return;
end
SIGMAu = SIGMAu / (NumberOfObservations*(1+dsge_prior_weight));
PHI = tmp2*tmp1'; clear('tmp1');
prodlng1 = sum(gammaln(.5*((1+dsge_prior_weight)*NumberOfObservations- ...
NumberOfObservedVariables*NumberOfLags ...
+1-(1:NumberOfObservedVariables)')));
prodlng2 = sum(gammaln(.5*(dsge_prior_weight*NumberOfObservations- ...
NumberOfObservedVariables*NumberOfLags ...
+1-(1:NumberOfObservedVariables)')));
lik = .5*NumberOfObservedVariables*log(det(dsge_prior_weight*NumberOfObservations*GXX+mXX)) ...
+ .5*((dsge_prior_weight+1)*NumberOfObservations-NumberOfParameters)*log(det((dsge_prior_weight+1)*NumberOfObservations*SIGMAu)) ...
- .5*NumberOfObservedVariables*log(det(dsge_prior_weight*NumberOfObservations*GXX)) ...
- .5*(dsge_prior_weight*NumberOfObservations-NumberOfParameters)*log(det(dsge_prior_weight*NumberOfObservations*(GYY-GYX*inv(GXX)*GYX'))) ...
+ .5*NumberOfObservedVariables*NumberOfObservations*log(2*pi) ...
- .5*log(2)*NumberOfObservedVariables*((dsge_prior_weight+1)*NumberOfObservations-NumberOfParameters) ...
+ .5*log(2)*NumberOfObservedVariables*(dsge_prior_weight*NumberOfObservations-NumberOfParameters) ...
- prodlng1 + prodlng2;
else% Evaluation of the likelihood of the dsge-var model when the dsge prior weight is infinite.
iGXX = inv(GXX);
SIGMAu = GYY - GYX*iGXX*transpose(GYX);
PHI = iGXX*transpose(GYX);
lik = NumberOfObservations * ( log(det(SIGMAu)) + NumberOfObservedVariables*log(2*pi) + ...
trace(inv(SIGMAu)*(mYY - transpose(mYX*PHI) - mYX*PHI + transpose(PHI)*mXX*PHI)/NumberOfObservations));
lik = .5*lik;% Minus likelihood
end
if isnan(lik)
info(1) = 45;
info(2) = 0.1;
fval = Inf;
exit_flag = 0;
return
end
if imag(lik)~=0
info(1) = 46;
info(2) = 0.1;
fval = Inf;
exit_flag = 0;
return
end
% Add the (logged) prior density for the dsge-parameters.
lnprior = priordens(xparam1,BayesInfo.pshape,BayesInfo.p6,BayesInfo.p7,BayesInfo.p3,BayesInfo.p4);
fval = (lik-lnprior);
if isnan(fval)
info(1) = 47;
info(2) = 0.1;
fval = Inf;
exit_flag = 0;