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Impose the consistency of the count of unstable eigenvalues... 

... Between stoch_simul and check. Added sdim (the number of stable
eigenvalues) and edim (the complementary number of explosive eigenvalues) in dr
structure. The test is always done with sdim (or edim) returned by mjdgges.
time-shift
Stéphane Adjemian(Charybdis) 2018-05-05 16:36:50 +02:00
parent fa15c3dbc7
commit 8f53be2a6f
5 changed files with 15 additions and 6 deletions
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4
doc/dynare.texi
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@ -3729,6 +3729,9 @@ the square submatrix of the right Schur vectors corresponding to the
forward looking variables (jumpers) and to the explosive eigenvalues
must have full rank.
Note that the outcome may be different from what would be suggested by
@code{sum(abs(oo_.dr.eigval))} when eigenvalues are very close to @ref{qz_criterium}.
@optionshead
@table @code
@ -4348,6 +4351,7 @@ exogenous variables are made available in @code{oo_.exo_simul}
(@pxref{oo_.exo_simul}). Default: @code{0}.
@item qz_criterium = @var{DOUBLE}
@anchor{qz_criterium}
Value used to split stable from unstable eigenvalues in reordering the
Generalized Schur decomposition used for solving 1^st order
problems. Default: @code{1.000001} (except when estimating with

5
matlab/check.m
View File

@ -78,7 +78,6 @@ end
eigenvalues_ = dr.eigval;
[m_lambda,i]=sort(abs(eigenvalues_));
n_explod = nnz(abs(eigenvalues_) > options.qz_criterium);
% Count number of forward looking variables
if ~options.block
@ -91,7 +90,7 @@ else
end
result = 0;
if (nyf == n_explod) && (dr.full_rank)
if (nyf == dr.edim) && (dr.full_rank)
result = 1;
end
@ -101,7 +100,7 @@ if options.noprint == 0
disp(sprintf('%16s %16s %16s\n','Modulus','Real','Imaginary'))
z=[m_lambda real(eigenvalues_(i)) imag(eigenvalues_(i))]';
disp(sprintf('%16.4g %16.4g %16.4g\n',z))
disp(sprintf('\nThere are %d eigenvalue(s) larger than 1 in modulus ', n_explod));
disp(sprintf('\nThere are %d eigenvalue(s) larger than 1 in modulus ', dr.edim));
disp(sprintf('for %d forward-looking variable(s)',nyf));
skipline()
if result

3
matlab/dyn_first_order_solver.m
View File

@ -202,6 +202,9 @@ else
return
end
dr.sdim = sdim; % Number of stable eigenvalues.
dr.edim = length(dr.eigval)-sdim; % Number of exposive eigenvalues.
nba = nd-sdim;
if task==1

2
matlab/resol.m
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@ -140,6 +140,8 @@ end
if options.block
[dr,info,M,options,oo] = dr_block(dr,check_flag,M,options,oo);
dr.edim = nnz(abs(dr.eigval) > options.qz_criterium);
dr.sdim = dr.nd-dr.edim;
else
[dr,info] = stochastic_solvers(dr,check_flag,M,options,oo);
end

7
matlab/stochastic_solvers.m
View File

@ -232,10 +232,11 @@ if M_.maximum_endo_lead == 0
end
dr.eigval = eig(kalman_transition_matrix(dr,nstatic+(1:nspred),1:nspred,M_.exo_nbr));
dr.full_rank = 1;
if any(abs(dr.eigval) > options_.qz_criterium)
dr.edim = nnz(abs(dr.eigval) > options_.qz_criterium);
dr.sdim = nd-dr.edim;
if dr.edim
temp = sort(abs(dr.eigval));
nba = nnz(abs(dr.eigval) > options_.qz_criterium);
temp = temp(nd-nba+1:nd)-1-options_.qz_criterium;
temp = temp(dr.sdim+1:nd)-1-options_.qz_criterium;
info(1) = 3;
info(2) = temp'*temp;
end