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Particle filters: do not compute Kalman smoother 

Related to https://git.dynare.org/Dynare/dynare/-/issues/1757
time-shift
Johannes Pfeifer 2021-01-17 16:39:10 +01:00 committed by Stéphane Adjemian (Charybdis)
parent 0b87f66443
commit 417f038cc5
Signed by: stepan
GPG Key ID: 295C1FE89E17EB3C
1 changed files with 19 additions and 9 deletions
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28
matlab/dynare_estimation_1.m
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@ -174,16 +174,22 @@ catch % if check fails, provide info on using calibration if present
end
if isequal(options_.mode_compute,0) && isempty(options_.mode_file) && options_.mh_posterior_mode_estimation==0
if options_.smoother
[atT,innov,measurement_error,updated_variables,ys,trend_coeff,aK,T,R,P,PK,decomp,Trend,state_uncertainty,M_,oo_,options_,bayestopt_] = DsgeSmoother(xparam1,gend,transpose(data),data_index,missing_value,M_,oo_,options_,bayestopt_,estim_params_);
[oo_]=store_smoother_results(M_,oo_,options_,bayestopt_,dataset_,dataset_info,atT,innov,measurement_error,updated_variables,ys,trend_coeff,aK,P,PK,decomp,Trend,state_uncertainty);
if options_.forecast > 0
oo_.forecast = dyn_forecast(var_list_,M_,options_,oo_,'smoother',dataset_info);
if options_.order==1 && ~options_.particle.status
if options_.smoother
[atT,innov,measurement_error,updated_variables,ys,trend_coeff,aK,T,R,P,PK,decomp,Trend,state_uncertainty,M_,oo_,options_,bayestopt_] = DsgeSmoother(xparam1,gend,transpose(data),data_index,missing_value,M_,oo_,options_,bayestopt_,estim_params_);
[oo_]=store_smoother_results(M_,oo_,options_,bayestopt_,dataset_,dataset_info,atT,innov,measurement_error,updated_variables,ys,trend_coeff,aK,P,PK,decomp,Trend,state_uncertainty);
if options_.forecast > 0
oo_.forecast = dyn_forecast(var_list_,M_,options_,oo_,'smoother',dataset_info);
end
%reset qz_criterium
options_.qz_criterium=qz_criterium_old;
return
end
else %allow to continue, e.g. with MCMC_jumping_covariance
if options_.smoother
error('Estimation:: Particle Smoothers are not yet implemented.')
end
end
%reset qz_criterium
options_.qz_criterium=qz_criterium_old;
return
end
%% Estimation of the posterior mode or likelihood mode
@ -536,7 +542,11 @@ if (any(bayestopt_.pshape >0 ) && options_.mh_replic) || ...
if error_flag
error('Estimation::mcmc: I cannot compute the posterior statistics!')
end
prior_posterior_statistics('posterior',dataset_,dataset_info);
if options_.order==1 && ~options_.particle.status
prior_posterior_statistics('posterior',dataset_,dataset_info); %get smoothed and filtered objects and forecasts
else
error('Estimation::mcmc: Particle Smoothers are not yet implemented.')
end
end
else
fprintf('Estimation:mcmc: sub_draws was set to 0. Skipping posterior computations.')