From 1cc29d765b9eb4ba1569e17af12578eb542354b0 Mon Sep 17 00:00:00 2001 From: Johannes Pfeifer Date: Wed, 15 Jul 2020 11:00:48 +0200 Subject: [PATCH] DsgeSmoother: add warning if there is stochastic singularity --- matlab/DsgeSmoother.m | 2 ++ 1 file changed, 2 insertions(+) diff --git a/matlab/DsgeSmoother.m b/matlab/DsgeSmoother.m index ee1546af5..149618000 100644 --- a/matlab/DsgeSmoother.m +++ b/matlab/DsgeSmoother.m @@ -233,8 +233,10 @@ if kalman_algo == 1 || kalman_algo == 3 options_.nk,kalman_tol,diffuse_kalman_tol,options_.filter_decomposition,options_.smoothed_state_uncertainty); if isinf(alphahat) if kalman_algo == 1 + fprintf('\nDsgeSmoother: Switching to univariate filter. This may be a sign of stochastic singularity.\n') kalman_algo = 2; elseif kalman_algo == 3 + fprintf('\nDsgeSmoother: Switching to univariate filter. This may be a sign of stochastic singularity.\n') kalman_algo = 4; else error('This case shouldn''t happen')