I am having problem in replicating Dynare estimation results in MATLAB.
I have the same solution matrices both in Dynare and MATLAB as well as observation equations and related var-covar matrices.
In dynare estimation, I use mode_compute=4 and lik_init=1 and everything works well. However, in MATLAB, Kalman filter produces very different log-likelihood with same parameter values and csminwel in MATLAB produces very different posterior modes.
I couldn’t find any argument why Kalman filter should produce different results using the same arguments. Maybe someone can help me?