Particle filtering: provide more informative error messages in typical problematic cases

Also adds test cases

matlab/get_error_message.m

@@ -166,6 +166,8 @@ switch info(1)
         message = 'Aim: A is NAN or INF.';
     case 164
         message = 'Aim: Problem in SPEIG.';
+    case 201
+        message = 'Particle Filter: Initial covariance of the states is not positive definite. Try a different nonlinear_filter_initialization';
     otherwise
         message = 'This case shouldn''t happen. Contact the authors of Dynare';
 end

matlab/initial_estimation_checks.m

@@ -51,6 +51,14 @@ if DynareOptions.order>1
     if BayesInfo.with_trend
         error('initial_estimation_checks:: particle filtering does not support trends')
     end
+    if Model.H==0
+        error('initial_estimation_checks:: particle filtering requires measurement error on the observables')
+    else
+        [~,flag]=chol(Model.H);
+        if flag
+            error('initial_estimation_checks:: the measurement error matrix must be positive definite')
+        end
+    end
 end
 
 non_zero_ME=length(EstimatedParameters.H_entries_to_check_for_positive_definiteness);
@@ -152,6 +160,10 @@ if ~isequal(DynareOptions.mode_compute,11) || ...
         fprintf('initial_estimation_checks:: If you think the latter is the case, you should try with different initial values for the estimated parameters.\n')
         error('initial_estimation_checks:: The forecast error variance in the multivariate Kalman filter became singular.')
     end
+    if info(1)==201
+        fprintf('initial_estimation_checks:: Initial covariance of the states is not positive definite. Try a different nonlinear_filter_initialization.\n')
+        error('initial_estimation_checks:: Initial covariance of the states is not positive definite. Try a different nonlinear_filter_initialization.')
+    end        
     %reset options
     DynareOptions.use_univariate_filters_if_singularity_is_detected=use_univariate_filters_if_singularity_is_detected_old;
 else

matlab/non_linear_dsge_likelihood.m

@@ -158,6 +158,14 @@ end
 ReducedForm.StateVectorMean = StateVectorMean;
 ReducedForm.StateVectorVariance = StateVectorVariance;
 
+[~, flag] = chol(ReducedForm.StateVectorVariance);%reduced_rank_cholesky(ReducedForm.StateVectorVariance)';
+if flag
+    fval = Inf;
+    info(1) = 201;
+    info(4) = 0.1;
+    exit_flag = 0;    
+    return;
+end
 %------------------------------------------------------------------------------
 % 4. Likelihood evaluation
 %------------------------------------------------------------------------------

tests/Makefile.am

@@ -417,6 +417,7 @@ MODFILES = \
 	bgp/nk-1/nk.mod \
 	bgp/ramsey-1/ramsey.mod \
 	dynare-command-options/ramst.mod \
+	particle/first_spec.mod \
 	particle/local_state_space_iteration_k_test.mod
 
 ECB_MODFILES = \
@@ -558,6 +559,8 @@ XFAIL_MODFILES = ramst_xfail.mod \
 	identification/LindeTrabandt/LindeTrabandt2019_xfail.mod \
 	steady_state/Linear_steady_state_xfail.mod \
 	optimal_policy/Ramsey/ramsey_histval_xfail.mod \
+	particle/first_spec_xfail_0.mod \
+	particle/first_spec_xfail_1.mod \
 	example1_extra_exo_xfail.mod \
 	estimation/tune_mh_jscale/fs2000_1_xfail.mod \
 	estimation/tune_mh_jscale/fs2000_2_xfail.mod
@@ -1150,6 +1153,7 @@ EXTRA_DIST = \
 	shock_decomposition/example1_calib_shock_decomp_data.mat \
 	shock_decomposition/fsdat_simul.m \
 	smoother2histval/fsdat_simul.m \
+	particle/first_spec_common.inc \
 	optimal_policy/Ramsey/find_c.m \
 	optimal_policy/Ramsey/oo_ramsey_policy_initval.mat \
 	observation_trends_and_prefiltering/generate_trend_stationary_AR1.m \

tests/kalman/lik_init/fs2000_common.inc

@@ -113,5 +113,7 @@ end;
 
 data(file='../../fs2000/fsdat_simul.m');
 
+options_.order=1;
+
 [dataset_, dataset_info, xparam1, hh, M_, options_, oo_, estim_params_, bayestopt_, bounds] = ...
     dynare_estimation_init(char(), M_.fname, [], M_, options_, oo_, estim_params_, bayestopt_);

tests/particle/first_spec.mod

@@ -0,0 +1,16 @@
+//File testing error message if initial state vector is not positive definite
+
+@#include "first_spec_common.inc"
+
+shocks;
+var eeps = 0.04^2;
+var nnu = 0.03^2;
+var q = 0.01^2;
+var ca = 0.01^2;
+end;
+
+stoch_simul(order=3,periods=200, irf=0);
+
+save('my_data.mat','q','ca');
+
+estimation(datafile='my_data.mat',order=2,mode_compute=0,mh_replic=1,filter_algorithm=sis,nonlinear_filter_initialization=2);

tests/particle/first_spec_common.inc

@@ -0,0 +1,48 @@
+var c q m b u R uaux ca;
+
+varexo eeps nnu;
+
+parameters bbetaL ies crra gbar bbar eeta Rbar Rpers;
+
+bbetaL = 0.98;
+ies = 1.5;
+crra = 12.0;
+gbar = .01;
+bbar = -.04;
+eeta = 2.0;
+Rbar = 1.03;
+Rpers = .5;
+
+model;
+
+    q = m(+1)*R(+1);
+    uaux = u(+1)^(1-crra);
+    m = bbetaL*exp(-gbar/ies)*uaux(-1)^((ies-1)/(ies*(1-crra))-1)*u^(1/ies-crra)*c^(-1/ies)/c(-1)^(-1/ies);
+    b = bbar*q^eeta*exp(nnu);
+    c + q*b*exp(gbar) = 1 + R*b(-1);
+    u = ( (1-bbetaL)*c^((ies-1)/ies) + bbetaL*exp(gbar*(ies-1)/ies)*uaux^((ies-1)/(ies*(1-crra)))  )^(ies/(ies-1));
+    R = (1-Rpers)*Rbar + Rpers*R(-1) + eeps;
+    ca = b*exp(gbar)-b(-1);
+  
+end;
+
+initval;
+R = Rbar;
+m = bbetaL*exp(-gbar/ies);
+q = bbetaL*exp(-gbar/ies)*Rbar;
+b = bbar*(bbetaL*exp(-gbar/ies)*Rbar)^eeta;
+c = 1 + Rbar*bbar*(bbetaL*exp(-gbar/ies)*Rbar)^eeta - exp(gbar)*bbar*(bbetaL*exp(-gbar/ies)*Rbar)^eeta*bbetaL*exp(-gbar/ies)*Rbar;
+u = ((1-bbetaL)/(1-bbetaL*exp(gbar*(ies-1)/ies )) )^(ies/(ies-1))*(1 + Rbar*bbar*(bbetaL*exp(-gbar/ies)*Rbar)^eeta - exp(gbar)*bbar*(bbetaL*exp(-gbar/ies)*Rbar)^eeta*bbetaL*exp(-gbar/ies)*Rbar);
+uaux = (1 + Rbar*bbar*(bbetaL*exp(-gbar/ies)*Rbar)^eeta - exp(gbar)*bbar*(bbetaL*exp(-gbar/ies)*Rbar)^eeta*bbetaL*exp(-gbar/ies)*Rbar)^(1-crra);
+ca = (exp(gbar)-1)*bbar*(bbetaL*exp(-gbar/ies)*Rbar)^eeta;
+end;
+
+steady(solve_algo=3);
+
+varobs q ca;
+
+estimated_params;
+ies, normal_pdf, 1.5, .2;
+end;
+
+options_.plot_priors=0;

tests/particle/first_spec_xfail_0.mod

@@ -0,0 +1,14 @@
+//File testing error message if no measurement error present
+
+@#include "first_spec_common.inc"
+
+shocks;
+var eeps = 0.04^2;
+var nnu = 0.03^2;
+end;
+
+stoch_simul(order=3,periods=200, irf=0, nomoments, nofunctions);
+
+save('my_data.mat','q','ca');
+
+estimation(datafile='my_data.mat',order=2,mode_compute=0,mh_replic=0,filter_algorithm=sis);

tests/particle/first_spec_xfail_1.mod

@@ -0,0 +1,15 @@
+//File testing error message if measurement error is not positive definite
+
+@#include "first_spec_common.inc"
+
+shocks;
+var eeps = 0.04^2;
+var nnu = 0.03^2;
+var q = 0.01^2;
+end;
+
+stoch_simul(order=3,periods=200, irf=0);
+
+save('my_data.mat','q','ca');
+
+estimation(datafile='my_data.mat',order=2,mode_compute=0,mh_replic=0,filter_algorithm=sis);