stepan
/
dynare
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Implement and document keep_kalman_algo_if_singularity_is_detected option

time-shift
Johannes Pfeifer 2016-10-02 12:56:28 +02:00
parent 1da488db52
commit 2fe73fafdc
2 changed files with 13 additions and 2 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

9
doc/dynare.texi
View File

@ -6020,6 +6020,15 @@ the option is equal to @code{0}, Dynare will not automatically change
the filter, but rather use a penalty value for the likelihood when
such a singularity is encountered. Default: @code{1}.
@item keep_kalman_algo_if_singularity_is_detected
@anchor{keep_kalman_algo_if_singularity_is_detected}
With the default @ref{use_univariate_filters_if_singularity_is_detected}=1, Dynare will switch
to the univariate Kalman filter when it encounters a singular forecast error variance
matrix during Kalman filtering. Upon encountering such a singularity for the first time, all subsequent
parameter draws and computations will automatically rely on univariate filter, i.e. Dynare will never try
the multivariate filter again. Use the @code{keep_kalman_algo_if_singularity_is_detected} option to have the
@code{use_univariate_filters_if_singularity_is_detected} only affect the behavior for the current draw/computation.
@item qz_zero_threshold = @var{DOUBLE}
@xref{qz_zero_threshold}.

6
matlab/dsge_likelihood.m
View File

@ -894,8 +894,10 @@ if imag(fval)~=0
return
end
% Update DynareOptions.kalman_algo.
DynareOptions.kalman_algo = kalman_algo;
if ~DynareOptions.kalman.keep_kalman_algo_if_singularity_is_detected
% Update DynareOptions.kalman_algo.
DynareOptions.kalman_algo = kalman_algo;
end
if analytic_derivation==0 && nargout>3,
lik=lik(start:end,:);