Looking at the code, I have a doubt concerning the choice that we made
to return lik as a scalar and LIK as a vector, in the absence of
analytical derivatives, and as cell arrays when we use analytical
derivatives. I think it would be better if the Kalman filter functions
returned additional arguments, set to empty when not using the derivatives.
This would eliminate the code used to convert cell arrays to
scalar/vector in dsge_likelihood.m
What do you think?
Best,
Michel