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MoM: Changed default qz_criterium and added Schur_vec_tol

time-shift
Willi Mutschler 2020-12-16 11:33:01 +01:00
parent 4d9ee3f8e5
commit 2359a1496c
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GPG Key ID: 91E724BF17A73F6D
1 changed files with 4 additions and 3 deletions
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matlab/method_of_moments/method_of_moments.m
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@ -221,9 +221,9 @@ options_mom_ = set_default_option(options_mom_,'lyapunov_fixed_point_tol',1e-10)
options_mom_ = set_default_option(options_mom_,'lyapunov_doubling_tol',1e-16); % convergence criterion used in the doubling algorithm
options_mom_ = set_default_option(options_mom_,'sylvester_fp',false); % determines whether to use fixed point algorihtm to solve Sylvester equation (gensylv_fp), faster for large scale models
options_mom_ = set_default_option(options_mom_,'sylvester_fixed_point_tol',1e-12); % convergence criterion used in the fixed point Sylvester solver
options_mom_ = set_default_option(options_mom_,'qz_criterium',1+1e-6); % value used to split stable from unstable eigenvalues in reordering the Generalized Schur decomposition used for solving first order problems
% if there are no unit roots one can use 1.0; if they are possible, you may have have multiple unit roots and the accuracy decreases when computing the eigenvalues in lyapunov_symm
% Hence, we use 1+1e-6. Note that unit roots are only possible at first-order, at higher order we set it to 1 in pruned_state_space_system and focus only on stationary observables.
options_mom_ = set_default_option(options_mom_,'qz_criterium',1-1e-6); % value used to split stable from unstable eigenvalues in reordering the Generalized Schur decomposition used for solving first order problems
% if there are no unit roots one can use 1.0 (or slightly below) which we set as defautl; if they are possible, you may have have multiple unit roots and the accuracy decreases when computing the eigenvalues in lyapunov_symm
% Note that unit roots are only possible at first-order, at higher order we set it to 1 in pruned_state_space_system and focus only on stationary observables.
options_mom_ = set_default_option(options_mom_,'qz_zero_threshold',1e-6); % value used to test if a generalized eigenvalue is 0/0 in the generalized Schur decomposition
if options_mom_.order > 2
fprintf('Dynare will use ''k_order_solver'' as the order>2\n');
@ -338,6 +338,7 @@ options_mom_.risky_steadystate = false; %needed by resol
options_mom_.threads = options_.threads; %needed by resol
options_mom_.jacobian_flag = true;
options_mom_.gstep = options_.gstep;
options_mom_.Schur_vec_tol = 1e-11; % used to find nonstationary variables in Schur decomposition of the transition matrix
% options_mom.dsge_var = false; %needed by check_list_of_variables
% options_mom.bayesian_irf = false; %needed by check_list_of_variables