% Monetary Economics. Econ221A. Fall 2006. Homework 2. Anton Cheremukhin clear all; close all; clc; addpath(genpath('C:/Matlab7/toolbox/KalmanAll')) % get data [y] = textread('MA2.txt','%f'); y=y'; %s=1; m=2; q1=0.6; q2=0.3; %err=s*randn(1,1000); %y(1)=m+err(1); %y(2)=m+err(2)+q1*err(1); %for i=3:1000 % y(i)=m+err(i)+q1*err(i-1)+q2*err(i-2); %end %m1=mean(y); %y=y-mean(y); %q1 q2 m sigma q0=[0.6, 0.2, 0, 1]; H0=0.0001*eye(4); crit=0.000001; nit=1000; % find likelihood maximizer with csminwel [fh,x,gh,H1,itct,fcount,retcodeh] = csminwel(@makelike2, q0, H0, [], crit, nit, y) q1=x(1); q2=x(2); m=x(3); sig=x(4); F = [0 0 0; 1 0 0; 0 1 0]; H = [1 q1 q2]; Q = diag([sig 0 0]); R = 0; initx = [y(1)-m;0;0]; initV = 0.00000001*eye(3); [xfilt, Vfilt, VVfilt, loglik] = kalman_filter(y-m, F, H, Q, R, initx, initV); L=-loglik;