DynareTeam/dynare — pull request #399 by JohannesPfeifer (2013-05-17 21:58:40+00:00)
Title: Bugfix for dsge_likelihood with univariate_kalman_filter

Lines 399-418 set the measurement covariance matrix and save it to H1.
If it is diagonal, it is not recomputed again as
correlated_errors_have_been_checked is 0. In that case, lines 654-675
are not entered and univariate_kalman_filter tries to use the old H, but
it was named H1 before, leading to a crash. Changing the name of the
matrix H in lines 654-682 to H1 assures that univariate_kalman_filter
uses the correctly updated matrix of the
~correlated_errors_have_been_checked case and the previously computed H1 in
the other cases.