From be388664871251548dbff37975548f588bbfe182 Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?S=C3=A9bastien=20Villemot?= <sebastien@dynare.org>
Date: Tue, 15 Jun 2021 12:54:54 +0200
Subject: [PATCH] Fix handling of heteroskedastic_shocks block with several
declared periods
Closes: #1791
---
matlab/dynare_estimation_init.m | 35 ++++++++++++++++-----------------
preprocessor | 2 +-
2 files changed, 18 insertions(+), 19 deletions(-)
diff --git a/matlab/dynare_estimation_init.m b/matlab/dynare_estimation_init.m
index 3704774ce2..2958c74edf 100644
--- a/matlab/dynare_estimation_init.m
+++ b/matlab/dynare_estimation_init.m
@@ -32,7 +32,7 @@ function [dataset_, dataset_info, xparam1, hh, M_, options_, oo_, estim_params_,
% SPECIAL REQUIREMENTS
% none
-% Copyright (C) 2003-2020 Dynare Team
+% Copyright (C) 2003-2021 Dynare Team
%
% This file is part of Dynare.
%
@@ -665,24 +665,23 @@ if options_.heteroskedastic_filter
error(['estimation option conflict: analytic_derivation isn''t available ' ...
'for heteroskedastic_filter'])
end
+
M_.heteroskedastic_shocks.Qvalue = NaN(M_.exo_nbr,options_.nobs);
M_.heteroskedastic_shocks.Qscale = NaN(M_.exo_nbr,options_.nobs);
- xname = fieldnames(M_.heteroskedastic_shocks.Qhet);
- for k=1:length(xname)
- inx = strcmp(xname{k},M_.exo_names);
- isqscale=false;
- if isfield(M_.heteroskedastic_shocks.Qhet.(xname{k}),'scale')
- M_.heteroskedastic_shocks.Qscale(inx,M_.heteroskedastic_shocks.Qhet.(xname{k}).time_scale)=M_.heteroskedastic_shocks.Qhet.(xname{k}).scale.^2;
- isqscale=true;
- end
- if isfield(M_.heteroskedastic_shocks.Qhet.(xname{k}),'value')
- if isqscale && ~isempty(intersect(M_.heteroskedastic_shocks.Qhet.(xname{k}).time_value,M_.heteroskedastic_shocks.Qhet.(xname{k}).time_scale))
- fprintf('\ndynare_estimation_init: With the option "heteroskedastic_shocks" you cannot define\n')
- fprintf('dynare_estimation_init: the scale and the value for the same shock \n')
- fprintf('dynare_estimation_init: in the same period!\n')
- error('Scale and value defined for the same shock in the same period with "heteroskedastic_shocks".')
- end
- M_.heteroskedastic_shocks.Qvalue(inx,M_.heteroskedastic_shocks.Qhet.(xname{k}).time_value)=M_.heteroskedastic_shocks.Qhet.(xname{k}).value.^2;
- end
+
+ for k=1:length(M_.heteroskedastic_shocks.Qvalue_orig)
+ v = M_.heteroskedastic_shocks.Qvalue_orig(k);
+ M_.heteroskedastic_shocks.Qvalue(v.exo_id, v.periods) = v.value^2;
+ end
+ for k=1:length(M_.heteroskedastic_shocks.Qscale_orig)
+ v = M_.heteroskedastic_shocks.Qscale_orig(k);
+ M_.heteroskedastic_shocks.Qscale(v.exo_id, v.periods) = v.scale^2;
+ end
+
+ if any(any(~isnan(M_.heteroskedastic_shocks.Qvalue) & ~isnan(M_.heteroskedastic_shocks.Qscale)))
+ fprintf('\ndynare_estimation_init: With the option "heteroskedastic_shocks" you cannot define\n')
+ fprintf('dynare_estimation_init: the scale and the value for the same shock \n')
+ fprintf('dynare_estimation_init: in the same period!\n')
+ error('Scale and value defined for the same shock in the same period with "heteroskedastic_shocks".')
end
end
diff --git a/preprocessor b/preprocessor
index a5d653a5f1..824433aa3f 160000
--- a/preprocessor
+++ b/preprocessor
@@ -1 +1 @@
-Subproject commit a5d653a5f1046d75c1c3dcd1581e7c9d99f54bb6
+Subproject commit 824433aa3f1bd9b5e4f7c395231111242b3c308a
--
GitLab