get_variance_of_endogenous_variables.m

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10 years ago

Computation of the loss function in the presence of unit root variables was incorrect · e7a6cc15

Johannes Pfeifer authored 10 years ago

Some elements were simply left out. This commit now mimics the computations as in th_autocovariances.m and makes sure the loss function coincides with the one that is obtained by reading out the covariance from oo_.var
(cherry picked from commit cb5d3df6)

e7a6cc15

History

Computation of the loss function in the presence of unit root variables was incorrect

Johannes Pfeifer authored 10 years ago

Some elements were simply left out. This commit now mimics the computations as in th_autocovariances.m and makes sure the loss function coincides with the one that is obtained by reading out the covariance from oo_.var
(cherry picked from commit cb5d3df6)