Hi
I would like to start implementing period-dependent likelihood calculation within the new C++ DsgeLikelihood but that will add a bit of time.
1) I suggest that parameters description is defined by Start (or StartPeriod) and End (or EndPeriod) instead of a.. Period1 (beginning of sub-period) a.. Period2 (end of sub-period) respectively because we may have more than 2 periods and using terms Period1 and 2 as delimiters for other periods can bee a bit confusing in the context (as it did confuse me for a start) .
2) What is data_filtering (for period 1) step as opposed to Kalman filter - is it Kalman smoother? We have no working C++ implementation for smoother as yet.
3) Would it be right to say that the new period divided likelihood estimation requires overlapping variables Y(-/+n) for n>0 among the sub-period blocks?
4) What is parameters update? Is it param likelihood, hill climbing optimisation (or MCMC step) for each sub-period block separately (conditional on the previous period block?)? We do not have working optimiser in C++ yet.
4) Would the interim period-blocks' Kalman inputs be a(t|t-1) and P(t|t-1) as well as overlapping variables Y(-/+n) for n>0 from previous block Kalman output?
Best regards
George