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- 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. 

- modified lyapunov_symm to return absolute value of unit roots in a third argument
time-shift
Michel Juillard 2010-12-21 21:26:57 +01:00
parent e6da2849c8
commit 8c0fb55206
2 changed files with 16 additions and 4 deletions
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10
matlab/DsgeLikelihood.m
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@ -170,7 +170,15 @@ if options_.lik_init == 1 % Kalman filter
if kalman_algo ~= 2
kalman_algo = 1;
end
Pstar = lyapunov_symm(T,R*Q*R',options_.qz_criterium,options_.lyapunov_complex_threshold);
[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
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] = lyapunov_symm(a,b,qz_criterium,lyapunov_complex_threshold,method)
function [x,u,unit_roots] = 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.
%
@ -15,6 +15,7 @@ function [x,u] = lyapunov_symm(a,b,qz_criterium,lyapunov_complex_threshold,metho
% 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
@ -57,10 +58,13 @@ if size(a,1) == 1
return
end
unit_roots = [];
if method<2
[U,T] = schur(a);
e1 = abs(ordeig(T)) > 2-qz_criterium;
k = sum(e1); % Number of unit roots.
roots = abs(ordeig(T));
e1 = roots > 2-qz_criterium;
k = sum(e1); % Number of unit roots.
unit_roots = roots(1:k);
n = length(e1)-k; % Number of stationary variables.
if k > 0
% Selects stable roots