diff --git a/matlab/initial_estimation_checks.m b/matlab/initial_estimation_checks.m
index 45189b0b18aac5da90e219d662bcd1fb4fc965f4..73637948c9ddb68e9e3019ccfce31317b2842cdf 100644
--- a/matlab/initial_estimation_checks.m
+++ b/matlab/initial_estimation_checks.m
@@ -75,7 +75,12 @@ test_for_deep_parameters_calibration(Model);
% Evaluate the likelihood.
ana_deriv = DynareOptions.analytic_derivation;
DynareOptions.analytic_derivation=0;
-[fval,junk1,junk2,a,b,c,d] = feval(objective_function,xparam1,DynareDataset,DatasetInfo,DynareOptions,Model,EstimatedParameters,BayesInfo,BoundsInfo,DynareResults);
+if ~isequal(DynareOptions.mode_compute,11)
+ [fval,junk1,junk2,a,b,c,d] = feval(objective_function,xparam1,DynareDataset,DatasetInfo,DynareOptions,Model,EstimatedParameters,BayesInfo,BoundsInfo,DynareResults);
+else
+ b=0;
+ fval = 0;
+end
DynareOptions.analytic_derivation=ana_deriv;
if DynareOptions.dsge_var || strcmp(func2str(objective_function),'non_linear_dsge_likelihood')
@@ -106,4 +111,6 @@ if any(abs(DynareResults.steady_state(BayesInfo.mfys))>1e-9) && (DynareOptions.p
error('You should change something in your mod file...')
end
-disp(['Initial value of the log posterior (or likelihood): ' num2str(-fval)]);
+if ~isequal(DynareOptions.mode_compute,11)
+ disp(['Initial value of the log posterior (or likelihood): ' num2str(-fval)]);
+end
diff --git a/matlab/particle/online_auxiliary_filter.m b/matlab/particle/online_auxiliary_filter.m
index 4a8243a2df7391658b5f8630c6ca22369c194df1..1edcb66b9f7750a1745a2bba40493d95cce6e2ab 100644
--- a/matlab/particle/online_auxiliary_filter.m
+++ b/matlab/particle/online_auxiliary_filter.m
@@ -85,8 +85,8 @@ small_a = sqrt(1-h_square) ;
% Initialization of parameter particles
xparam = zeros(number_of_parameters,number_of_particles) ;
-stderr = sqrt(bsxfun(@power,bounds(:,2)+bounds(:,1),2)/12)/100 ;
-stderr = sqrt(bsxfun(@power,bounds(:,2)+bounds(:,1),2)/12)/50 ;
+%stderr = sqrt(bsxfun(@power,bounds(:,2)+bounds(:,1),2)/12)/100 ;
+stderr = sqrt(bsxfun(@power,bounds(:,2)+bounds(:,1),2)/12)/10 ;
i = 1 ;
while i<=number_of_particles
%candidate = start_param + .001*liu_west_chol_sigma_bar*randn(number_of_parameters,1) ;
@@ -110,7 +110,10 @@ std_xparam = zeros(number_of_parameters,sample_size) ;
lb95_xparam = zeros(number_of_parameters,sample_size) ;
ub95_xparam = zeros(number_of_parameters,sample_size) ;
-%% The Online filter
+disp(0)
+disp(start_param)
+
+ %% The Online filter
for t=1:sample_size
disp(t)
% Moments of parameters particles distribution
diff --git a/matlab/particle/solve_model_for_online_filter.m b/matlab/particle/solve_model_for_online_filter.m
index a9cefe4074195ebd81372bae489b1ab6d31ee9fa..31fb7f7e69960c27c4a2cb5173a0290385ac9349 100644
--- a/matlab/particle/solve_model_for_online_filter.m
+++ b/matlab/particle/solve_model_for_online_filter.m
@@ -307,11 +307,18 @@ end
ReducedForm.ghx = dr.ghx(restrict_variables_idx,:);
ReducedForm.ghu = dr.ghu(restrict_variables_idx,:);
-ReducedForm.ghxx = dr.ghxx(restrict_variables_idx,:);
-ReducedForm.ghuu = dr.ghuu(restrict_variables_idx,:);
-ReducedForm.ghxu = dr.ghxu(restrict_variables_idx,:);
ReducedForm.steadystate = dr.ys(dr.order_var(restrict_variables_idx));
-ReducedForm.constant = ReducedForm.steadystate + .5*dr.ghs2(restrict_variables_idx);
+if DynareOptions.order>1
+ ReducedForm.ghxx = dr.ghxx(restrict_variables_idx,:);
+ ReducedForm.ghuu = dr.ghuu(restrict_variables_idx,:);
+ ReducedForm.ghxu = dr.ghxu(restrict_variables_idx,:);
+ ReducedForm.constant = ReducedForm.steadystate + .5*dr.ghs2(restrict_variables_idx);
+else
+ ReducedForm.ghxx = zeros(size(restrict_variables_idx,1),size(dr.kstate,2));
+ ReducedForm.ghuu = zeros(size(restrict_variables_idx,1),size(dr.ghu,2));
+ ReducedForm.ghxu = zeros(size(restrict_variables_idx,1),size(dr.ghx,2));
+ ReducedForm.constant = ReducedForm.steadystate ;
+end
ReducedForm.state_variables_steady_state = dr.ys(dr.order_var(state_variables_idx));
ReducedForm.Q = Q;
ReducedForm.H = H;
diff --git a/tests/particle/dsge_base2.mod b/tests/particle/dsge_base2.mod
index 9ebb71fef310c6edb064dd3c0463f34b46a451e2..448072aa385fc5016c0a90535a0fabf680df9744 100644
--- a/tests/particle/dsge_base2.mod
+++ b/tests/particle/dsge_base2.mod
@@ -35,26 +35,39 @@ steady;
//disp(oo_.mean) ;
estimated_params;
-alp, uniform_pdf,,, 0.0001, 0.5;
+alp, uniform_pdf,,, 0.0001, 0.99;
bet, uniform_pdf,,, 0.0001, 0.99;
tet, uniform_pdf,,, 0.0001, 1;
tau, uniform_pdf,,, 0.0001, 100;
delt, uniform_pdf,,, 0.0001, 0.05;
-rho, uniform_pdf,,, 0.8, 0.99;
+rho, uniform_pdf,,, 0.0001, 0.99;
stderr e_a, uniform_pdf,,, 0.00001, 0.1;
stderr y, uniform_pdf,,, 0.00001, 0.1;
stderr l, uniform_pdf,,, 0.00001, 0.1;
stderr i, uniform_pdf,,, 0.00001, 0.1;
end;
+//estimated_params_init;
+//alp, 0.4;
+//bet, 0.99;
+//tet, 0.357 ;
+//tau, 50;
+//delt, 0.02;
+//rho, 0.95 ;
+//stderr e_a, .035;
+//stderr y, .0175;//.00158;
+//stderr l, .00312;//.0011;
+//stderr i, .00465;//.000866;
+//end;
+
estimated_params_init;
alp, 0.4;
-bet, 0.97;
-tet, 0.357 ;
-tau, 50;
-delt, 0.02;
-rho, 0.9 ;
-stderr e_a, .035;
+bet, 0.98;
+tet, 0.3;
+tau, 30;
+delt, 0.01;
+rho, 0.85;
+stderr e_a, .03;
stderr y, .0175;//.00158;
stderr l, .00312;//.0011;
stderr i, .00465;//.000866;
@@ -68,20 +81,20 @@ varobs y l i ;
options_.particle.status = 1;
options_.particle.initialization = 1;
options_.particle.pruning = 0;
-options_.particle.number_of_particles = 1000 ;
+options_.particle.number_of_particles = 5000 ;
options_.particle.resampling.status = 'systematic';
-//options_.particle.resampling.method1 = 'traditional' ;
+options_.particle.resampling.method1 = 'traditional' ;
//options_.particle.resampling.method1 = 'residual' ;
-options_.particle.resampling.method1 = 'smooth' ;
+//options_.particle.resampling.method1 = 'smooth' ;
-options_.particle.reampling.method2 = 'kitagawa' ;
-//options_.particle.resampling.method2 = 'stratified' ;
+options_.particle.reampling.method2 = 'kitagawa' ;//'stratified' ;
-options_.particle.resampling.number_of_partitions = 1;
options_.particle.resampling.neff_threshold = .5;
+options_.mode_check.neighbourhood_size = .2 ;
+options_.mode_check.number_of_points = 250;
-set_dynare_threads('local_state_space_iteration_2',3);
+//set_dynare_threads('local_state_space_iteration_2',3);
options_.particle.algorithm = 'sequential_importance_particle_filter';
//options_.particle.algorithm = 'auxiliary_particle_filter';
@@ -94,14 +107,14 @@ options_.particle.IS_approximation_method = 'cubature' ;
//options_.particle.IS_approximation_method = 'unscented' ;
//options_.particle.approximation_method = 'quadrature' ;
-options_.particle.approximation_method = 'cubature' ;
+//options_.particle.approximation_method = 'cubature' ;
//options_.particle.approximation_method = 'unscented' ;
//options_.particle.approximation_method = 'MonteCarlo' ;
-//options_.mh_posterior_mode_estimation=1 ;
+options_.mh_posterior_mode_estimation=0 ;
// online
-options_.particle.liu_west_delta = 0.9 ;
+options_.particle.liu_west_delta = 0.99 ;
options_.mode_check_node_number = 250 ;
-estimation(datafile=data_risky_perturb2,nograph,order=2,nobs=100,mh_replic=0,mode_compute=7,mode_check);
+estimation(datafile=data_risky_perturb3,order=1,nograph,nobs=100,mh_replic=0,mode_compute=11);