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OccBin Smoother: do not write non-converged results to oo_ 

Closes https://git.dynare.org/Dynare/dynare/-/issues/1863
unit-tests
Johannes Pfeifer 2022-11-14 17:51:26 +01:00
parent 1a665fbdb4
commit 4d603fb335
3 changed files with 25 additions and 8 deletions
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20
matlab/+occbin/DSGE_smoother.m
View File

@ -255,7 +255,7 @@ while is_changed && maxiter>iter && ~is_periodic
err_TT(iter-1) = max(max(max(abs(TT-sto_TT))));
end
if occbin_smoother_debug
if occbin_smoother_debug || is_periodic
regime_ = cell(0);
regime_new = regime_;
start_ = regime_;
@ -333,18 +333,26 @@ regime_history0(max(iter+1,1),:) = regime_history;
oo_.occbin.smoother.regime_history=regime_history0(end,:);
oo_.occbin.smoother.regime_history_iter=regime_history0;
if occbin_smoother_debug
save('info1','regime_history0')
save('info1','regime_history0')
end
if (maxiter==iter && is_changed) || is_periodic
disp(['Occbin smoother did not converge.'])
disp('occbin.DSGE_smoother: smoother did not converge.')
fprintf('occbin.DSGE_smoother: The algorithm did not reach a fixed point for the smoothed regimes.\n')
if is_periodic
disp(['Occbin smoother algo loops between two solutions.'])
oo_.occbin.smoother.error_flag=0;
fprintf('occbin.DSGE_smoother: For the periods indicated above, regimes loops between the "regime_" and the "regime_new_" pattern displayed above.\n')
fprintf('occbin.DSGE_smoother: We provide smoothed shocks consistent with "regime_" in oo_.\n')
else
fprintf('occbin.DSGE_smoother: The respective fields in oo_ will be left empty.\n')
oo_.occbin.smoother=[];
oo_.occbin.smoother.error_flag=1;
end
else
disp(['Occbin smoother converged.'])
disp('occbin.DSGE_smoother: smoother converged.')
oo_.occbin.smoother.error_flag=0;
if occbin_smoother_fast && is_changed_start
disp('WARNING: fast algo is used, regime(s) duration(s) was not forced to converge')
disp('occbin.DSGE_smoother: WARNING: fast algo is used, regime duration was not forced to converge')
end
end
if (~is_changed || occbin_smoother_debug) && nargin==12

9
matlab/dynare_estimation_1.m
View File

@ -185,10 +185,13 @@ if isequal(options_.mode_compute,0) && isempty(options_.mode_file) && ~options_.
else
if options_.occbin.smoother.status
[atT,innov,measurement_error,updated_variables,ys,trend_coeff,aK,T,R,P,PK,decomp,Trend,state_uncertainty,M_,oo_,bayestopt_] = occbin.DSGE_smoother(xparam1,gend,transpose(data),data_index,missing_value,M_,oo_,options_,bayestopt_,estim_params_,dataset_,dataset_info);
if oo_.occbin.smoother.error_flag==0
[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);
end
else
[atT,innov,measurement_error,updated_variables,ys,trend_coeff,aK,T,R,P,PK,decomp,Trend,state_uncertainty,M_,oo_,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);
end
[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);
end
if options_.forecast > 0
oo_.forecast = dyn_forecast(var_list_,M_,options_,oo_,'smoother',dataset_info);
@ -600,8 +603,12 @@ if (~((any(bayestopt_.pshape > 0) && options_.mh_replic) || (any(bayestopt_.psha
else
if options_.occbin.smoother.status
[atT,innov,measurement_error,updated_variables,ys,trend_coeff,aK,T,R,P,PK,decomp,Trend,state_uncertainty,M_,oo_,bayestopt_] = occbin.DSGE_smoother(xparam1,dataset_.nobs,transpose(dataset_.data),dataset_info.missing.aindex,dataset_info.missing.state,M_,oo_,options_,bayestopt_,estim_params_,dataset_,dataset_info);
if oo_.occbin.smoother.error_flag==0
[oo_,yf]=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);
end
else
[atT,innov,measurement_error,updated_variables,ys,trend_coeff,aK,T,R,P,PK,decomp,Trend,state_uncertainty,M_,oo_,bayestopt_] = DsgeSmoother(xparam1,dataset_.nobs,transpose(dataset_.data),dataset_info.missing.aindex,dataset_info.missing.state,M_,oo_,options_,bayestopt_,estim_params_);
[oo_,yf]=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);
end
[oo_,yf]=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);
end

4
matlab/evaluate_smoother.m
View File

@ -120,7 +120,9 @@ else
DsgeSmoother(parameters,dataset_.nobs,transpose(dataset_.data),dataset_info.missing.aindex,dataset_info.missing.state,M_,oo_,options_,bayestopt_,estim_params_);
end
if ~(options_.occbin.smoother.status && options_.occbin.smoother.inversion_filter)
[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_.occbin.smoother.status || (options_.occbin.smoother.status && oo_.occbin.smoother.error_flag==0)
[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);
end
else
[oo_]=store_smoother_results(M_,oo_,options_,bayestopt_,dataset_,dataset_info,atT,innov,measurement_error,updated_variables,ys,trend_coeff);
end