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Merge branch 'online_filter' into 'master' 

Bug fixes for online filter

See merge request Dynare/particles!11
rm-particles^2
Stéphane Adjemian 2021-02-26 08:55:28 +00:00
parent 1c3153741f e685fa396f
commit 41320041c3
1 changed files with 17 additions and 8 deletions
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25
src/solve_model_for_online_filter.m
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@ -71,7 +71,7 @@ if EstimatedParameters.nvn
end
offset = offset+EstimatedParameters.nvn;
else
H = zeros(size(DynareDataset.data, 1));
H = zeros(size(DynareDataset.data, 2));
end
% Get the off-diagonal elements of the covariance matrix for the structural innovations. Test if Q is positive definite.
@ -165,11 +165,13 @@ if nargout>4
ReducedForm.use_k_order_solver = true;
ReducedForm.dr = dr;
else
n_states=size(dr.ghx,2);
n_shocks=size(dr.ghu,2);
ReducedForm.use_k_order_solver = false;
ReducedForm.ghxx = zeros(size(restrict_variables_idx,1),size(dr.kstate,2));
ReducedForm.ghuu = zeros(size(restrict_variables_idx,1),size(dr.ghu,2));
ReducedForm.ghxu = zeros(size(restrict_variables_idx,1),size(dr.ghx,2));
ReducedForm.constant = ReducedForm.steadystate ;
ReducedForm.ghxx = zeros(size(restrict_variables_idx,1),n_states^2);
ReducedForm.ghuu = zeros(size(restrict_variables_idx,1),n_shocks^2);
ReducedForm.ghxu = zeros(size(restrict_variables_idx,1),n_states*n_shocks);
ReducedForm.constant = ReducedForm.steadystate;
end
ReducedForm.state_variables_steady_state = dr.ys(dr.order_var(state_variables_idx));
ReducedForm.Q = Q;
@ -183,15 +185,22 @@ if setinitialcondition
switch DynareOptions.particle.initialization
case 1% Initial state vector covariance is the ergodic variance associated to the first order Taylor-approximation of the model.
StateVectorMean = ReducedForm.state_variables_steady_state;%.constant(mf0);
StateVectorVariance = lyapunov_symm(ReducedForm.ghx(mf0,:),ReducedForm.ghu(mf0,:)*ReducedForm.Q*ReducedForm.ghu(mf0,:)',DynareOptions.lyapunov_fixed_point_tol,DynareOptions.qz_criterium,DynareOptions.lyapunov_complex_threshold);
[A,B] = kalman_transition_matrix(dr,dr.restrict_var_list,dr.restrict_columns,Model.exo_nbr);
StateVectorVariance2 = lyapunov_symm(ReducedForm.ghx(mf0,:),ReducedForm.ghu(mf0,:)*ReducedForm.Q*ReducedForm.ghu(mf0,:)',DynareOptions.lyapunov_fixed_point_tol,DynareOptions.qz_criterium,DynareOptions.lyapunov_complex_threshold);
StateVectorVariance = lyapunov_symm(A, B*ReducedForm.Q*B', DynareOptions.lyapunov_fixed_point_tol, ...
DynareOptions.qz_criterium, DynareOptions.lyapunov_complex_threshold, [], DynareOptions.debug);
StateVectorVariance = StateVectorVariance(mf0,mf0);
case 2% Initial state vector covariance is a monte-carlo based estimate of the ergodic variance (consistent with a k-order Taylor-approximation of the model).
StateVectorMean = ReducedForm.state_variables_steady_state;%.constant(mf0);
old_DynareOptionsperiods = DynareOptions.periods;
DynareOptions.periods = 5000;
y_ = simult(oo_.steady_state, dr, Model, DynareOptions, DynareResults);
y_ = y_(state_variables_idx,2001:5000);
old_DynareOptionspruning = DynareOptions.pruning;
DynareOptions.pruning = DynareOptions.particle.pruning;
y_ = simult(dr.ys, dr, Model, DynareOptions, DynareResults);
y_ = y_(dr.order_var(state_variables_idx),2001:DynareOptions.periods);
StateVectorVariance = cov(y_');
DynareOptions.periods = old_DynareOptionsperiods;
DynareOptions.pruning = old_DynareOptionspruning;
clear('old_DynareOptionsperiods','y_');
case 3% Initial state vector covariance is a diagonal matrix.
StateVectorMean = ReducedForm.state_variables_steady_state;%.constant(mf0);