From 29df32c41d1bff78e8b6557ef05cb71009f3db5f Mon Sep 17 00:00:00 2001
From: michel <michel@ac1d8469-bf42-47a9-8791-bf33cf982152>
Date: Mon, 27 Oct 2008 19:43:19 +0000
Subject: [PATCH] v4.0: corrected DsgeSmoother for unobserved trend
git-svn-id: https://www.dynare.org/svn/dynare/branches/4.0@2218 ac1d8469-bf42-47a9-8791-bf33cf982152
---
matlab/DsgeSmoother.m | 17 ++++++++---------
1 file changed, 8 insertions(+), 9 deletions(-)
diff --git a/matlab/DsgeSmoother.m b/matlab/DsgeSmoother.m
index 86ffbd175d..f538993823 100644
--- a/matlab/DsgeSmoother.m
+++ b/matlab/DsgeSmoother.m
@@ -181,15 +181,14 @@ function [alphahat,etahat,epsilonhat,ahat,SteadyState,trend_coeff,aK,T,R,P,PK,d,
Z = QT(mf,:);
R1 = QT'*R;
-% $$$ [u,s,v]=svd(Z*ST(:,1:nk),0);
-% $$$ k = find(abs(diag(s)) < 1e-8);
-% $$$ if length(k) > 0
-% $$$ [junk,k1] = max(abs(v(:,k)));
-% $$$ dd =ones(nk,1);
-% $$$ dd(k1) = zeros(length(k1),1);
-% $$$ Pinf(1:nk,1:nk) = diag(dd);
-% $$$ end
- Pinf(1:nk,1:nk) = eye(nk);
+ [QQ,RR,EE] = qr(Z*ST(:,1:nk),0);
+ k = find(abs(diag(RR)) < 1e-8);
+ if length(k) > 0
+ k1 = EE(:,k);
+ dd =ones(nk,1);
+ dd(k1) = zeros(length(k1),1);
+ Pinf(1:nk,1:nk) = diag(dd);
+ end
end
% -----------------------------------------------------------------------------
% 4. Kalman smoother
--
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