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Occbin smoother: try using smoothed shocks from linear smoother as last resort to initialize guess sequence of regimes

covariance-quadratic-approximation
Johannes Pfeifer 2023-12-18 12:06:18 +01:00
parent 90fbb9559e
commit ab6ea60967
1 changed files with 23 additions and 4 deletions
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27
matlab/+occbin/DSGE_smoother.m
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@ -65,8 +65,10 @@ regime_history=[];
if options_.occbin.smoother.linear_smoother && nargin==12
%% linear smoother
options_.occbin.smoother.status=false;
[alphahat,etahat,epsilonhat,ahat,SteadyState,trend_coeff,aK,T0,R0,P,PK,decomp,Trend,state_uncertainty,oo_,bayestopt_] = DsgeSmoother(xparam1,gend,Y,data_index,missing_value,M_,oo_,options_,bayestopt_,estim_params_);
tmp_smoother=store_smoother_results(M_,oo_,options_,bayestopt_,dataset_,dataset_info,alphahat,etahat,epsilonhat,ahat,SteadyState,trend_coeff,aK,P,PK,decomp,Trend,state_uncertainty);
[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_);
tmp_smoother=store_smoother_results(M_,oo_,options_,bayestopt_,dataset_,dataset_info,alphahat,etahat,epsilonhat,ahat,SteadyState,trend_coeff,...
aK,P,PK,decomp,Trend,state_uncertainty);
for jf=1:length(smoother_field_list)
oo_.occbin.linear_smoother.(smoother_field_list{jf}) = tmp_smoother.(smoother_field_list{jf});
end
@ -118,8 +120,25 @@ 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;
[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;
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
base_regime = struct();
if M_.occbin.constraint_nbr==1
base_regime.regime = 0;
base_regime.regimestart = 1;
else
base_regime.regime1 = 0;
base_regime.regimestart1 = 1;
base_regime.regime2 = 0;
base_regime.regimestart2 = 1;
end
for jper=1:size(alphahat,2)+1
oo_.occbin.smoother.regime_history(jper) = base_regime;
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;