From 6efe62a3b2069405f85b083edb59ed1020aecb51 Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?St=C3=A9phane=20Adjemian=20=28Charybdis=29?=
<stephane.adjemian@univ-lemans.fr>
Date: Tue, 17 Dec 2013 14:14:51 +0100
Subject: [PATCH] Transposed the definition of the innovations in (stochastic)
extended path routine, so that, for a given state of the random number
generator, stochastic simulations obtained with extended_path and stoch_simul
commands consider the same innovations (when the number of shocks is greater
than one). Otherwise the stochastic simulations cannot be compared.
---
matlab/ep/extended_path.m | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
diff --git a/matlab/ep/extended_path.m b/matlab/ep/extended_path.m
index 0efdfeb126..bc98ed25af 100644
--- a/matlab/ep/extended_path.m
+++ b/matlab/ep/extended_path.m
@@ -115,7 +115,7 @@ bytecode_flag = options_.ep.use_bytecode;
% Simulate shocks.
switch options_.ep.innovation_distribution
case 'gaussian'
- oo_.ep.shocks = randn(sample_size,effective_number_of_shocks)*covariance_matrix_upper_cholesky;
+ oo_.ep.shocks = transpose(transpose(covariance_matrix_upper_cholesky)*randn(effective_number_of_shocks,sample_size));
otherwise
error(['extended_path:: ' options_.ep.innovation_distribution ' distribution for the structural innovations is not (yet) implemented!'])
end
--
GitLab