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function M = set_all_parameters(xparam1,estim_params,M)
%@info:
%! @deftypefn {Function File} {@var{M} =} dseries (@var{xparams1},@var{estim_params},@var{M})
%! @anchor{set_all_parameters}
%! @sp 1
%! Update parameter values (deep parameters and covariance matrices).
%! @sp 2
%! @strong{Inputs}
%! @sp 1
%! @table @ @var
%! @item xparam1
%! N*1 vector of doubles, the values of the N estimated parameters.
%! @item estim_params
%! Dynare structure describing the estimated parameters.
%! @item M
%! Dynare structure describing the model.
%! @end table
%! @sp 1
%! @strong{Outputs}
%! @sp 1
%! @table @ @var
%! @item M
%! Dynare structure describing the model, with updated parameters and covariances matrices.
%! @end table
%! @sp 2
%! @strong{This function is called by:}
%! @sp 1
%! @ref{DsgeSmoother}, @ref{dynare_estimation_1}, @ref{@@gsa/filt_mc_}, @ref{identification_analysis}, @ref{PosteriorFilterSmootherAndForecast}, @ref{prior_posterior_statistics_core}, @ref{prior_sampler}
%! @sp 2
%! @strong{This function calls:}
%! @sp 2
%! @end deftypefn
%@eod:
% Copyright (C) 2003-2017 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
nvx = estim_params.nvx;
ncx = estim_params.ncx;
nvn = estim_params.nvn;
ncn = estim_params.ncn;
np = estim_params.np;
Sigma_e = M.Sigma_e;
Correlation_matrix = M.Correlation_matrix;
H = M.H;
Correlation_matrix_ME = M.Correlation_matrix_ME;
% setting shocks variance on the diagonal of Covariance matrix; used later
% for updating covariances
if nvx
var_exo = estim_params.var_exo;
for i=1:nvx
k =var_exo(i,1);
Sigma_e(k,k) = xparam1(i)^2;
end
end
% update offset
offset = nvx;
% setting measument error variance; on the diagonal of Covariance matrix; used later
% for updating covariances
if nvn
for i=1:nvn
k = estim_params.nvn_observable_correspondence(i,1);
H(k,k) = xparam1(i+offset)^2;
end
end
% update offset
offset = nvx+nvn;
% setting shocks covariances
if ncx
corrx = estim_params.corrx;
for i=1:ncx
k1 = corrx(i,1);
k2 = corrx(i,2);
Correlation_matrix(k1,k2) = xparam1(i+offset);
Correlation_matrix(k2,k1) = Correlation_matrix(k1,k2);
end
end
%build covariance matrix from correlation matrix and variances already on
%diagonal
Sigma_e = diag(sqrt(diag(Sigma_e)))*Correlation_matrix*diag(sqrt(diag(Sigma_e)));
%if calibrated covariances, set them now to their stored value
if isfield(estim_params,'calibrated_covariances')
Sigma_e(estim_params.calibrated_covariances.position)=estim_params.calibrated_covariances.cov_value;
end
% update offset
offset = nvx+nvn+ncx;
% setting measurement error covariances
if ncn
corrn_observable_correspondence = estim_params.corrn_observable_correspondence;
for i=1:ncn
k1 = corrn_observable_correspondence(i,1);
k2 = corrn_observable_correspondence(i,2);
Correlation_matrix_ME(k1,k2) = xparam1(i+offset);
Correlation_matrix_ME(k2,k1) = Correlation_matrix_ME(k1,k2);
end
end
%build covariance matrix from correlation matrix and variances already on
%diagonal
H = diag(sqrt(diag(H)))*Correlation_matrix_ME*diag(sqrt(diag(H)));
%if calibrated covariances, set them now to their stored value
if isfield(estim_params,'calibrated_covariances_ME')
H(estim_params.calibrated_covariances_ME.position)=estim_params.calibrated_covariances_ME.cov_value;
end
% update offset
offset = nvx+ncx+nvn+ncn;
% setting structural parameters
%
if np
M.params(estim_params.param_vals(:,1)) = xparam1(offset+1:end);
end
% updating matrices in M
if nvx || ncx
M.Sigma_e = Sigma_e;
M.Correlation_matrix=Correlation_matrix;
end
if nvn || ncn
M.H = H;
M.Correlation_matrix_ME=Correlation_matrix_ME;
end
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