R/kalman.states.wrapper.R

In JannesRed/rStar: Natural Rate of Interest

#------------------------------------------------------------------------------#
# File:        kalman.states.wrapper.R
#
# Description: This is a wrapper function for kalman.states.R that specifies
#              inputs based on the estimation stage.
#------------------------------------------------------------------------------#
kalman.states.wrapper <- function(parameters, y.data, x.data, stage = NA,
                                  lambda.g=NA, lambda.z=NA, xi.00=NA, P.00=NA){
    if (stage == 1) {
        out <- unpack.parameters.stage1(parameters, y.data, x.data,
                                        xi.00, P.00)
    } else if (stage == 2) {
        out <- unpack.parameters.stage2(parameters, y.data, x.data,
                                        lambda.g, xi.00, P.00)
    } else if (stage == 3) {
        out <- unpack.parameters.stage3(parameters, y.data, x.data,
                                        lambda.g, lambda.z, xi.00, P.00)
    } else {
        stop('You need to enter a stage number in kalman.states.wrapper.')
    }

  for (n in names(out)) {
      eval(parse(text=paste0(n, "<-out$", n)))
  }
  T <- dim(y.data)[1]
  states <- kalman.states(xi.00, P.00, F_matrix, Q, A, H, R, y.data, x.data)
  if (stage == 1) {
      states$filtered$xi.tt <- states$filtered$xi.tt + cbind(1:T,0:(T-1),-1:(T-2)) * parameters[5]
      states$smoothed$xi.tT <- states$smoothed$xi.tT + cbind(1:T,0:(T-1),-1:(T-2)) * parameters[5]
  }
  return(states)
}