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OccBin smoother: trap realtime smoother error and use linear smoother for first guess

covariance-quadratic-approximation
Marco Ratto 2023-12-13 23:37:00 +01:00 committed by Johannes Pfeifer
parent e8d82ad840
commit 75f5a463df
1 changed files with 22 additions and 4 deletions
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26
matlab/+occbin/DSGE_smoother.m
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@ -82,7 +82,9 @@ if options_.occbin.smoother.linear_smoother && nargin==12
oo_.occbin.linear_smoother.T0=T0;
oo_.occbin.linear_smoother.R0=R0;
oo_.occbin.linear_smoother.decomp=decomp;
oo_.occbin.linear_smoother.alphahat0=alphahat0;
oo_.occbin.linear_smoother.state_uncertainty0=state_uncertainty0;
fprintf('\nOccbin: linear smoother done.\n')
options_.occbin.smoother.status=true;
end
@ -120,11 +122,21 @@ occbin_options.first_period_occbin_update = options_.occbin.smoother.first_perio
occbin_options.opts_regime = opts_simul; % this builds the opts_simul options field needed by occbin.solver
occbin_options.opts_regime.binding_indicator = options_.occbin.likelihood.init_binding_indicator;
occbin_options.opts_regime.regime_history=options_.occbin.likelihood.init_regime_history;
error_indicator=false;
try
%blanket try-catch should be replaced be proper error handling, see https://git.dynare.org/Dynare/dynare/-/merge_requests/2226#note_20318
[alphahat,etahat,epsilonhat,ahat,SteadyState,trend_coeff,aK,T0,R0,P,PK,decomp,Trend,state_uncertainty,oo_,bayestopt_,alphahat0,state_uncertainty0] = DsgeSmoother(xparam1,gend,Y,data_index,missing_value,M_,oo_,options_,bayestopt_,estim_params_,occbin_options);% T1=TT;
catch
% realtime regimes could not converge, try guess shocks from linear smoother
catch ME
error_indicator=true;
disp(ME.message)
for iter = 1:numel(ME.stack)
ME.stack(iter)
end
end
if error_indicator || isempty(alphahat0)
etahat= oo_.occbin.linear_smoother.etahat;
alphahat0= oo_.occbin.linear_smoother.alphahat0;
base_regime = struct();
if M_.occbin.constraint_nbr==1
base_regime.regime = 0;
@ -135,10 +147,16 @@ catch
base_regime.regime2 = 0;
base_regime.regimestart2 = 1;
end
oo_.occbin.smoother.regime_history = [];
for jper=1:size(alphahat,2)+1
oo_.occbin.smoother.regime_history(jper) = base_regime;
if jper == 1
oo_.occbin.smoother.regime_history = base_regime;
else
oo_.occbin.smoother.regime_history(jper) = base_regime;
end
end
end
oo_.occbin.smoother.realtime_regime_history = oo_.occbin.smoother.regime_history;
regime_history = oo_.occbin.smoother.regime_history;
opts_regime.regime_history = oo_.occbin.smoother.regime_history;