Dear Prof. Pfeifer

I have a few questions surrounding the topic of estimation. I’m currently trying to replicate results from Ireland 2004 model from your repository Ireland using my solution and I get different results with higher likelihood than estimation I get from running the Dynare file. I was wondering if I’m handling the shocks wrong, as I’m creating the shock covariance matrix C from filling the diagonal with input variances and multiplying it by shock transition (as in transition for model equation x_{t+1} = F x_t + G_e \varepsilon_t):

G_e C G_e^T

and then using it as Q in equation from your lecture Chapter III - Kalman Filter:

x_{t+1} = F x_t + w_{t+1}, w_{t+1} \stackrel{iid}{\sim} \mathcal{N} (0, Q),

also in the model file shocks are bounded and is there a step that requires them to be mapped to unbounded variables before filtering? My second question is concerning the noise covariance for measurement in distribution \mathcal{N} (0, R), should this be generated from the model or is it just zero matrix in case of this file?

Thank you very much for any help.