Filter out infinite likelihoods
parent
818befd4eb
commit
39e7c39243
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@ -660,7 +660,7 @@ end
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%------------------------------------------------------------------------------
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%------------------------------------------------------------------------------
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singularity_has_been_detected = false;
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singularity_has_been_detected = false;
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% First test multivariate filter if specified; potentially abort and use univariate filter instead
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if ((kalman_algo==1) || (kalman_algo==3))% Multivariate Kalman Filter
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if ((kalman_algo==1) || (kalman_algo==3))% Multivariate Kalman Filter
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if no_missing_data_flag
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if no_missing_data_flag
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if DynareOptions.block
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if DynareOptions.block
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@ -824,6 +824,14 @@ if imag(LIK)~=0
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return
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return
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end
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end
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if isinf(LIK)~=0
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fval = Inf;
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info(1) = 50;
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info(4) = 0.1;
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exit_flag = 0;
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return
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end
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likelihood = LIK;
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likelihood = LIK;
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% ------------------------------------------------------------------------------
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% ------------------------------------------------------------------------------
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@ -308,6 +308,14 @@ if imag(fval)~=0
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return
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return
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end
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end
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if isinf(fval)~=0
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fval = Inf;
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info(1) = 50;
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info(4) = 0.1;
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exit_flag = 0;
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return
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end
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if (nargout >= 10)
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if (nargout >= 10)
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if isinf(dsge_prior_weight)
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if isinf(dsge_prior_weight)
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iXX = iGXX;
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iXX = iGXX;
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@ -367,3 +367,12 @@ if imag(fval)~=0
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exit_flag = 0;
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exit_flag = 0;
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return
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return
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end
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end
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if isinf(LIK)~=0
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fval = Inf;
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info(1) = 50;
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info(4) = 0.1;
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exit_flag = 0;
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return
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end
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@ -116,6 +116,8 @@ if ~noprint
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error('Prior density is a complex number');
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error('Prior density is a complex number');
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case 49
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case 49
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error('The model violates one (many) endogenous prior restriction(s)')
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error('The model violates one (many) endogenous prior restriction(s)')
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case 50
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error('Likelihood is Inf')
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case 51
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case 51
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fprintf('\n The dsge_prior_weight is dsge_var=%5.4f, but must be at least %5.4f for the prior to be proper.\n',info(2),info(3));
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fprintf('\n The dsge_prior_weight is dsge_var=%5.4f, but must be at least %5.4f for the prior to be proper.\n',info(2),info(3));
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error('You are estimating a DSGE-VAR model, but the value of the dsge prior weight is too low!')
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error('You are estimating a DSGE-VAR model, but the value of the dsge prior weight is too low!')
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