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Merge branch 'singularity' into 'master' 

DsgeSmoother: add warning if there is stochastic singularity

See merge request Dynare/dynare!1751
time-shift
Sébastien Villemot 2020-07-15 10:45:06 +00:00
parent 51278b2f90 1cc29d765b
commit 62fc244576
1 changed files with 2 additions and 0 deletions
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2
matlab/DsgeSmoother.m
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@ -233,8 +233,10 @@ if kalman_algo == 1 || kalman_algo == 3
options_.nk,kalman_tol,diffuse_kalman_tol,options_.filter_decomposition,options_.smoothed_state_uncertainty);
if isinf(alphahat)
if kalman_algo == 1
fprintf('\nDsgeSmoother: Switching to univariate filter. This may be a sign of stochastic singularity.\n')
kalman_algo = 2;
elseif kalman_algo == 3
fprintf('\nDsgeSmoother: Switching to univariate filter. This may be a sign of stochastic singularity.\n')
kalman_algo = 4;
else
error('This case shouldn''t happen')