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Bug fix in initializing analytic_derivation option. This is then checked in dynare_estimation_init for parameter endogenized in steady state. 

Ref. #1733
time-shift
Marco Ratto 2020-06-16 16:07:48 +00:00 committed by Sébastien Villemot
parent 7bec234f7f
commit 616d2b0faf
1 changed files with 5 additions and 9 deletions
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14
matlab/dynare_identification.m
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@ -191,15 +191,12 @@ else
if options_.diffuse_filter==1 %warning if estimation with diffuse filter was done, but not passed
fprintf('WARNING IDENTIFICATION: Previously the diffuse_filter option was used, but it was not passed to the identification command. This may result in problems if your model contains unit roots.\n');
end
if isfield(options_ident,'lik_init')
options_.lik_init=options_ident.lik_init; %make options_ inherit lik_init
if options_ident.lik_init==3 %user specified diffuse filter using the lik_init option
options_ident.analytic_derivation=0; %diffuse filter not compatible with analytic derivation
options_.analytic_derivation=0; %diffuse filter not compatible with analytic derivation
end
end
end
options_ident = set_default_option(options_ident,'lik_init',1);
options_.lik_init=options_ident.lik_init; %make options_ inherit lik_init
if options_ident.lik_init==3 %user specified diffuse filter using the lik_init option
options_ident.analytic_derivation=0; %diffuse filter not compatible with analytic derivation
end
% Type of initialization of Kalman filter:
% 1: stationary models: initial matrix of variance of error of forecast is set equal to the unconditional variance of the state variables
% 2: nonstationary models: wide prior is used with an initial matrix of variance of the error of forecast diagonal with 10 on the diagonal (follows the suggestion of Harvey and Phillips(1979))
@ -283,7 +280,6 @@ options_.order = options_ident.order;
if options_ident.order > 1
%order>1 is not compatible with analytic derivation in dsge_likelihood.m
options_ident.analytic_derivation=0;
options_.analytic_derivation=0;
%order>1 is based on pruned state space system
options_.pruning = true;
end
@ -294,7 +290,7 @@ options_.ar = options_ident.ar;
options_.prior_mc = options_ident.prior_mc;
options_.Schur_vec_tol = 1.e-8;
options_.nomoments = 0;
options_ = set_default_option(options_,'analytic_derivation',1); %if option was not already set
options_.analytic_derivation=options_ident.analytic_derivation;
% 1: analytic derivation of gradient and hessian of likelihood in dsge_likelihood.m, only works for stationary models, i.e. kalman_algo<3
options_ = set_default_option(options_,'datafile','');
options_.mode_compute = 0;