From cec1b7921c9e31f646f305a2700c442eef834a11 Mon Sep 17 00:00:00 2001
From: sebastien <sebastien@ac1d8469-bf42-47a9-8791-bf33cf982152>
Date: Mon, 27 Oct 2008 14:46:42 +0000
Subject: [PATCH] 4.0: merged r2122,2137,2141,2149 changesets (fixed bug in
filter and smoother in the presence of unobserved stochastic trends)
git-svn-id: https://www.dynare.org/svn/dynare/branches/4.0@2211 ac1d8469-bf42-47a9-8791-bf33cf982152
---
matlab/DsgeLikelihood.m | 10 ++++++----
matlab/DsgeSmoother.m | 17 +++++++++--------
2 files changed, 15 insertions(+), 12 deletions(-)
diff --git a/matlab/DsgeLikelihood.m b/matlab/DsgeLikelihood.m
index bc35a43bfd..5c2940d23a 100644
--- a/matlab/DsgeLikelihood.m
+++ b/matlab/DsgeLikelihood.m
@@ -241,15 +241,17 @@ function [fval,cost_flag,ys,trend_coeff,info] = DsgeLikelihood(xparam1,gend,data
Z = QT(mf,:);
R1 = QT'*R;
- [u,s,v]=svd(Z*ST(:,1:nk),0);
- k = find(abs(diag(s)) < 1e-8);
+% [u,s,v]=svd(Z*ST(:,1:nk),0);
+ [QQ,RR,EE] = qr(Z*ST(:,1:nk),0);
+ k = find(abs(diag(RR)) < 1e-8);
if length(k) > 0
- [junk,k1] = max(abs(v(:,k)));
+ k1 = EE(:,k);
+% [junk,k1] = max(abs(v(:,k)));
dd =ones(nk,1);
dd(k1) = zeros(length(k1),1);
Pinf(1:nk,1:nk) = diag(dd);
end
-
+
end
%------------------------------------------------------------------------------
% 4. Likelihood evaluation
diff --git a/matlab/DsgeSmoother.m b/matlab/DsgeSmoother.m
index 7a07d715f5..cc8b050ff7 100644
--- a/matlab/DsgeSmoother.m
+++ b/matlab/DsgeSmoother.m
@@ -175,14 +175,15 @@ 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
+% $$$ [u,s,v]=svd(Z*ST(:,1:nk),0);
+% $$$ 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);
end
% -----------------------------------------------------------------------------
% 4. Kalman smoother
--
GitLab