From 5a3ae27b135bf67bdba58a5f54096228fe80560d Mon Sep 17 00:00:00 2001
From: Johannes Pfeifer <jpfeifer@gmx.de>
Date: Sat, 7 Oct 2023 14:21:20 +0200
Subject: [PATCH] set_all_parameters.m: only operate on covariance matrices if
necessary
---
matlab/set_all_parameters.m | 34 ++++++++++++++++++----------------
1 file changed, 18 insertions(+), 16 deletions(-)
diff --git a/matlab/set_all_parameters.m b/matlab/set_all_parameters.m
index df515e31fd..a69e95d53d 100644
--- a/matlab/set_all_parameters.m
+++ b/matlab/set_all_parameters.m
@@ -55,8 +55,10 @@ ncx = estim_params.ncx;
nvn = estim_params.nvn;
ncn = estim_params.ncn;
np = estim_params.np;
-Sigma_e = M.Sigma_e;
-Correlation_matrix = M.Correlation_matrix;
+if nvx || ncx
+ Sigma_e = M.Sigma_e;
+ Correlation_matrix = M.Correlation_matrix;
+end
H = M.H;
Correlation_matrix_ME = M.Correlation_matrix_ME;
% setting shocks variance on the diagonal of Covariance matrix; used later
@@ -93,13 +95,6 @@ if ncx
Correlation_matrix(k2,k1) = Correlation_matrix(k1,k2);
end
end
-%build covariance matrix from correlation matrix and variances already on
-%diagonal
-Sigma_e = diag(sqrt(diag(Sigma_e)))*Correlation_matrix*diag(sqrt(diag(Sigma_e)));
-%if calibrated covariances, set them now to their stored value
-if isfield(estim_params,'calibrated_covariances')
- Sigma_e(estim_params.calibrated_covariances.position)=estim_params.calibrated_covariances.cov_value;
-end
% update offset
offset = nvx+nvn+ncx;
@@ -113,13 +108,6 @@ if ncn
Correlation_matrix_ME(k2,k1) = Correlation_matrix_ME(k1,k2);
end
end
-%build covariance matrix from correlation matrix and variances already on
-%diagonal
-H = diag(sqrt(diag(H)))*Correlation_matrix_ME*diag(sqrt(diag(H)));
-%if calibrated covariances, set them now to their stored value
-if isfield(estim_params,'calibrated_covariances_ME')
- H(estim_params.calibrated_covariances_ME.position)=estim_params.calibrated_covariances_ME.cov_value;
-end
% update offset
offset = nvx+ncx+nvn+ncn;
@@ -131,10 +119,24 @@ end
% updating matrices in M
if nvx || ncx
+ %build covariance matrix from correlation matrix and variances already on
+ %diagonal
+ Sigma_e = diag(sqrt(diag(Sigma_e)))*Correlation_matrix*diag(sqrt(diag(Sigma_e)));
+ %if calibrated covariances, set them now to their stored value
+ if isfield(estim_params,'calibrated_covariances')
+ Sigma_e(estim_params.calibrated_covariances.position)=estim_params.calibrated_covariances.cov_value;
+ end
M.Sigma_e = Sigma_e;
M.Correlation_matrix=Correlation_matrix;
end
if nvn || ncn
+ %build covariance matrix from correlation matrix and variances already on
+ %diagonal
+ H = diag(sqrt(diag(H)))*Correlation_matrix_ME*diag(sqrt(diag(H)));
+ %if calibrated covariances, set them now to their stored value
+ if isfield(estim_params,'calibrated_covariances_ME')
+ H(estim_params.calibrated_covariances_ME.position)=estim_params.calibrated_covariances_ME.cov_value;
+ end
M.H = H;
M.Correlation_matrix_ME=Correlation_matrix_ME;
end
\ No newline at end of file
--
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