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Revert "- added a test an a penalty in estimation (DsgeLikelihood.m) if, in a stationary model (lik_init==1), a particular parameter set generates unit roots." 

There is a better way of dealing with occasional non-stationary models in estimation

This reverts commit 8c0fb55206.
time-shift
Michel Juillard 2010-12-22 09:40:39 +01:00
parent 8c0fb55206
commit 6bb8d41909
2 changed files with 4 additions and 16 deletions
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10
matlab/DsgeLikelihood.m
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@ -170,15 +170,7 @@ if options_.lik_init == 1 % Kalman filter
if kalman_algo ~= 2
kalman_algo = 1;
end
[Pstar,junk,unit_roots] = lyapunov_symm(T,R*Q*R',options_.qz_criterium,...
options_.lyapunov_complex_threshold);
if ~isempty(unit_roots)
% if unit roots the penalty equals the sum of distance to 2-qz_criterium
fval = bayestopt_.penalty + sum(unit_roots-2+ ...
options_.qz_criterium);
cost_flag = 0;
return
end
Pstar = lyapunov_symm(T,R*Q*R',options_.qz_criterium,options_.lyapunov_complex_threshold);
Pinf = [];
elseif options_.lik_init == 2 % Old Diffuse Kalman filter
if kalman_algo ~= 2

10
matlab/lyapunov_symm.m
View File

@ -1,4 +1,4 @@
function [x,u,unit_roots] = lyapunov_symm(a,b,qz_criterium,lyapunov_complex_threshold,method)
function [x,u] = lyapunov_symm(a,b,qz_criterium,lyapunov_complex_threshold,method)
% Solves the Lyapunov equation x-a*x*a' = b, for b and x symmetric matrices.
% If a has some unit roots, the function computes only the solution of the stable subsystem.
%
@ -15,7 +15,6 @@ function [x,u,unit_roots] = lyapunov_symm(a,b,qz_criterium,lyapunov_complex_thre
% OUTPUTS
% x: [double] m*m solution matrix of the lyapunov equation, where m is the dimension of the stable subsystem.
% u: [double] Schur vectors associated with unit roots
% unit_roots [double] vector containing roots too close to 1
%
% ALGORITHM
% Uses reordered Schur decomposition
@ -58,13 +57,10 @@ if size(a,1) == 1
return
end
unit_roots = [];
if method<2
[U,T] = schur(a);
roots = abs(ordeig(T));
e1 = roots > 2-qz_criterium;
k = sum(e1); % Number of unit roots.
unit_roots = roots(1:k);
e1 = abs(ordeig(T)) > 2-qz_criterium;
k = sum(e1); % Number of unit roots.
n = length(e1)-k; % Number of stationary variables.
if k > 0
% Selects stable roots